Chapter 12: Markov Chain Monte Carlo

This Jupyter notebook is the Python equivalent of the R code in section 12.4 R, pp. 512 - 517, Introduction to Probability, 1st Edition, Blitzstein & Hwang.

In [1]:
import matplotlib.pyplot as plt
import numpy as np

%matplotlib inline


Here's how to implement the Metropolis-Hastings algorithm for Example 12.1.8, the Normal-Normal model. First, we choose our observed value of $Y$ and decide on values for the constants $\sigma$, $\mu$, and $\tau$:

In [2]:
y = 3
sigma = 1
mu = 0
tau = 2

We also need to choose the standard deviation of the proposals for step 1 of the algorithm, as explained in Example 12.1.8; for this problem, we let $d = 1$. We set the number of iterations to run, and we allocate a NumPy array theta of length 104 which we will fill with our simulated draws:

In [3]:
d = 1
niter = 10**4
theta = np.zeros(niter)

Now for the main loop. We initialize $\theta$ to the observed value $y$, then run the algorithm described in Example 12.1.8:

In [4]:
theta[0] = y


from scipy.stats import binom, norm

for i in range(1, niter):
    theta_p = theta[i-1] + norm.rvs(loc=mu, scale=2, size=1)[0]
    numer = norm.pdf(y, loc=theta_p, scale=sigma) * norm.pdf(theta_p, loc=mu, scale=tau)
    denom = norm.pdf(y, loc=theta[i-1], scale=sigma) * norm.pdf(theta[i-1], loc=mu, scale=tau)
    r = numer / denom
    flip = binom.rvs(1, np.min([r, 1]), size=1)[0]
    theta[i] = theta_p if flip==1 else theta[i-1]

Let's step through each line inside the loop. The proposed value of $\theta$ is theta_p, which equals the previous value of $\theta$ plus a Normal random variable with mean 0 and standard deviation $d$ (recall that scipy.stats.norm.rvs function takes as parameter scale the standard deviation and not the variance). The ratio r is

\begin{align} \frac{f_{\theta|Y}(x^{\prime}|y)}{f_{\theta|Y}(x|y)} &= \frac{e^{-\frac{1}{2 \, \sigma^2}(y-x^{\prime})^2} \,\, e^{-\frac{1}{2 \, \tau^2}(x^{\prime}-\mu)^2}}{e^{-\frac{1}{2 \, \sigma^2}(y-x)^2} \,\, e^{-\frac{1}{2 \, \tau^2}(x-\mu)^2}} \end{align}

where theta_p is playing the role of $x^{\prime}$ and theta[i-1] is playing the role of $x$. The coin flip to determine whether to accept or reject the proposal is flip, which is a coin flip with probability numpy.min([r, 1]) of Heads (encoding Heads as 1 and Tails as 0). Finally, we set theta[i] equal to the proposed value if the coin flip lands Heads, or keep it at the previous value otherwise.

The array theta now contains all of our simulation draws. We typically discard some of the initial draws to give the chain some time to approach the stationary distribution. The following line of code discards the first half of the draws:

In [5]:
theta = theta[-int(niter/2):]

To see what the remaining draws look like, we can create a histogram using matplotlib.axes.Axes.hist function. We can also compute summary statistics such as numpy.mean(theta) and numpy.var(theta), which give us the sample mean and sample variance.

In [6]:
_, ax = plt.subplots(figsize=(8, 5))

ax.hist(theta, bins=16)

ax.set_title(r'Metropolis-Hastings: Histogram of posterior distribution of $\theta | Y=3$')
In [7]:
sample_mean = np.mean(theta)
print('sample mean = {}'.format(sample_mean))

sample_var = np.var(theta, ddof=1)
print('sample var = {}'.format(sample_var))
sample mean = 2.3538455429726173
sample var = 0.8442196578144929


Now let's implement Gibbs sampling for Example 12.2.6, the chicken-egg problem with unknown hatching probability and invisible unhatched eggs. The first step is to decide on our observed value of $X$, as well as the constants $\lambda$, $a$, $b$:

In [8]:
x = 7
# 'lambda' is a reserved keyword in Python!
lambd = 10 
a = 1 
b = 1

Next we decide how many iterations to run, and we allocate space for our results, creating two NumPy arrays p and N of length 104 which we will fill with our simulated draws:

In [9]:
niter = 10**4 
p = np.zeros(niter) 
N = np.zeros(niter)

Finally, we're ready to run the Gibbs sampler. We initialize p and N to the values 0.5 and $2x$, respectively, and then we run the algorithm as explained in Example 12.2.6:

In [10]:
p[0] = 0.5 
N[0] = 2*x


from scipy.stats import beta, poisson
for i in range(1, niter):
    p[i] = beta.rvs(x+b, N[i-1]-x+b, size=1)[0]
    N[i] = x + poisson.rvs(lambd*(1-p[i-1]), size=1)[0]

Again, we discard the initial draws:

In [11]:
p = p[-int(niter/2):]
N = N[-int(niter/2):]

To see what the remaining draws look like, we can make histograms using Axes.hist(p) and Axes.hist(N), which will result in graphs similar to those R-generated ones in Figure 12.5. We can also compute summary statistics such as numpy.mean(p) or numpy.median(p).

In [12]:
_, (ax1, ax2) = plt.subplots(1, 2, figsize=(14, 6))

# graph for hist(p)
ax1.hist(p, bins=16)
ax1.set_title(r'Histogram of $p$')

# graph for hist(N)
ax2.hist(N, bins=16)
ax2.set_title(r'Histogram of $N$')

plt.suptitle(r'Gibbs: Histograms of posterior distributions $p$ and $N$')
In [13]:
mean_p = np.mean(p)
print('mean of p = {}'.format(mean_p))

med_p = np.median(p)
print('median of p = {}'.format(med_p))
mean of p = 0.6822187872541091
median of p = 0.6921336843178136

© Blitzstein, Joseph K.; Hwang, Jessica. Introduction to Probability (Chapman & Hall/CRC Texts in Statistical Science).