Available Optimizers: How to Find Maximum A Posteriori?

library(gips)
?find_MAP()

What are we optimizing?

The goal of the find_MAP() is to find the permutation \(\sigma\) that maximizes the a posteriori probability (MAP - Maximum A Posteriori). Such a permutation represents the most plausible symmetry given the data.

This a posteriori probability function is described in-depth in the Bayesian model selection section of the vignette("Theory", package="gips"), also available as a pkgdown page. gips can calculate the logarithm of it by the log_posteriori_of_gips() function. In the following paragraphs, we will refer to this a posteriori probability function as \(f(\sigma)\). We have \(f(\sigma) > 0\).

Available optimizers

The space of permutations is enormous - for the permutation of size \(p\), the space of all permutations is of size \(p!\) (\(p\) factorial). Even for \(p=12\), this space is practically impossible to browse. This is why find_MAP() implements multiple (3) optimizers to choose from:

Note on computation time

The max_iter parameter works differently in Metropolis-Hastings and hill climbing.

For Metropolis-Hastings, it computes the a posteriori probability for max_iter permutations, whereas for hill climbing, it computes \({p\choose 2} \cdot\) max_iter of them.

In the case of the Brute Force optimizer, it computes all \(f(\sigma)\) values. The number of all different \(\sigma\) follows OEIS sequence A051625.

Brute Force

It searches through the whole space at once.

This is the only optimizer that will certainly find the true MAP estimator.

Brute Force is only recommended for small spaces (\(p \le 10\)). It can also browse bigger spaces, but the required time is probably too long.

The table below reports one measurement per dimension on an Apple M2, using n_reps = 1 and n_cores = 1. Runs were executed sequentially, each preceded by a BF warmup at \(p = 6\). The recorded optimizer times exclude data generation and the warmup and are rounded for display.

p=2 p=3 p=4 p=5 p=6 p=7 p=8 p=9 p=10
0.000676 sec 0.00138 sec 0.00394 sec 0.0156 sec 0.0887 sec 0.522 sec 3.86 sec 31 sec 5 min

Example

Let’s say we have the data Z from the unknown process:

dim(Z)
#> [1] 13  6
number_of_observations <- nrow(Z) # 13
perm_size <- ncol(Z) # 6
S <- cov(Z) # Assume we have to estimate the mean

g <- gips(S, number_of_observations)

g_map <- find_MAP(g, optimizer = "brute_force")
#> ================================================================================
g_map
#> The permutation (1,2,3,4,5,6):
#>  - was found in a search using 362 posterior calculations;
#>  - is 28979.967 times more likely than the () permutation.

Brute Force needed 362 calculations, as predicted in OEIS sequence A051625 for \(p = 6\).

Metropolis-Hastings

This optimizer is based on the Second approach from [1, Sec 4.1.2].

It uses the Metropolis-Hastings algorithm to optimize the space; see Wikipedia. This algorithm used in this context is a special case of the Simulated Annealing the reader may be more familiar with; see Wikipedia.

The MH optimizer supplements ordinary Metropolis steps with forced moves and temporary restrictions on reversing them to help escape local optima. It searches for MAP; visit frequencies should not be interpreted as posterior probabilities. See issue #115 for details.

Short description

In an ordinary Metropolis step, the algorithm considers a permutation, say, \(\sigma_i\). Then a random transposition is drawn uniformly \(t_i = (j,k)\), and the value of \(f(\sigma_i \circ t_i)\) is computed.

  • If a new value is bigger than the previous one (i.e., \(f(\sigma_i \circ t_i) \ge f(\sigma_i)\)), then we set \(\sigma_{i+1} = \sigma_i \circ t_i\).
  • If a new value is smaller (\(f(\sigma_i \circ t_i) < f(\sigma_i)\)), then we will choose \(\sigma_{i+1} = \sigma_i \circ t_i\) with probability \(\frac{f(\sigma_i \circ t_i)}{f(\sigma_i)}\). Otherwise, we set \(\sigma_{i+1} = \sigma_i\) with complementary probability \(1 - \frac{f(\sigma_i \circ t_i)}{f(\sigma_i)}\).

The final value is the best \(\sigma\) ever computed.

Notes

This algorithm was tested in multiple settings and turned out to be a good optimizer for this problem. Especially given it does not need any hyperparameters tuned.

The only parameter it depends on is max_iter, which determines the number of steps described above. One should choose this number rationally. When set too small, there is a missed opportunity to find a much better permutation. When set too big, there is a lost time and computational power that does not lead to growth. We recommend plotting the convergence plot with a logarithmic OX scale: plot(g_map, type = "best", logarithmic_x = TRUE), then decide if the line has flattened already. Keep in mind that the OY scale is also logarithmic. For example, a marginal change on the OY scale could mean \(10000\) times the change in A Posteriori.

For more information about continuing the optimization, see the Continuing the optimization section below.

Example

Let’s say we have the data Z from the unknown process:

dim(Z)
#> [1] 50 70
number_of_observations <- nrow(Z) # 50
perm_size <- ncol(Z) # 70
S <- cov(Z) # Assume we have to estimate the mean

g <- gips(S, number_of_observations)
suppressMessages( # message from ggplot2
  plot(g, type = "heatmap") +
    ggplot2::scale_x_continuous(breaks = c(1, 10, 20, 30, 40, 50, 60, 70)) +
    ggplot2::scale_y_reverse(breaks = c(1, 10, 20, 30, 40, 50, 60, 70))
)

g_map <- withr::with_seed(2023,
  code = find_MAP(g, max_iter = 150, optimizer = "Metropolis_Hastings")
)
#> ===============================================================================
g_map
#> The permutation (1,30,6,8,21,64,24,61,7,62,31,25,52,14,35,33,40,51,68,4,11,50,42,16,34,54,27,60,46,20,45,38,2,65,55,59,15,67,5,12,63,22,28,70,23)(3,37,66,18,56,36,57,29,58,9,17,10,41,43,53,69,39,48,47,44,19,32,26):
#>  - was found in a search using 150 posterior calculations;
#>  - is 5.915e+657 times more likely than the () permutation.

After 150 iterations, the best group found is unimaginably more likely than the trivial group generated by the identity permutation (): its posterior probability is approximately \(10^{658}\) times as large.

plot(g_map, type = "best", logarithmic_x = TRUE)

Hill climbing

It uses the Hill climbing algorithm to optimize the space; see Wikipedia.

It is performing the local optimization iteratively.

Short description

In every iteration \(i\), an algorithm considers a permutation; call it \(\sigma_i\). Then, all the values of \(f(\sigma_i \circ t)\) are computed for every possible transposition \(t = (j,k)\). Then the next \(\sigma_{i+1}\) will be the one with the biggest value:

\[\sigma_{i+1} = \operatorname*{arg\,max}_{\text{perm} \in \text{neighbors}(\sigma_{i})}\{f(\text{perm})\}\]

Where: \[\text{neighbors}(\sigma) = \{\sigma \circ (j,k) : 1 \le j < k \le \text{p}\}\]

The algorithm ends when all neighbors are less likely, or the max_iter is achieved. In the first case, the algorithm will finish at a local maximum, but there is no guarantee that this is also the global maximum.

Pseudocode

Example

Let’s say we have the data Z from the unknown process:

dim(Z)
#> [1] 20 25
number_of_observations <- nrow(Z) # 20
perm_size <- ncol(Z) # 25
S <- cov(Z) # Assume we have to estimate the mean

g <- gips(S, number_of_observations)
plot(g, type = "heatmap")

# we will see a warning:
g_map <- find_MAP(g, max_iter = 2, optimizer = "hill_climbing")
#> ================================================================================
#> Warning: Hill Climbing algorithm did not converge in 2 iterations!
#> ℹ We recommend to run the `find_MAP(optimizer = 'continue')` on the acquired output.
#> Warning: The found permutation has n0 = 24, which is bigger than the number_of_observations = 20.
#> ℹ The covariance MLE is unavailable because the sample-size requirement is not met.
#> ℹ For a more in-depth explanation, see the 'Project Matrix - Equation (6)' section in the `vignette('Theory', package = 'gips')` or its pkgdown page: https://przechoj.github.io/gips/articles/Theory.html.
g_map
#> The permutation (1,13)(5,21):
#>  - was found in a search using 601 posterior calculations;
#>  - is 2.234e+21 times more likely than the () permutation.
plot(g_map, type = "best")

Continuing the optimization

When max_iter is reached during Metropolis-Hastings or hill climbing, the optimization stops and returns the result. Plot the best result found so far to assess whether it is still improving. A flat segment does not guarantee that the global maximum has been reached. Users can continue the optimization, as shown below.

g <- gips(S, number_of_observations)

g_map <- withr::with_seed(2023,
  code = find_MAP(g, max_iter = 50, optimizer = "Metropolis_Hastings")
)
#> ==============================================================================
plot(g_map, type = "best")

We see the value is still increasing steadily. We now run 100 additional iterations and compare the best results before and after the continuation:

g_map2 <- withr::with_seed(2024,
  code = find_MAP(g_map, max_iter = 100, optimizer = "continue")
)
#> ===============================================================================
plot(g_map2, type = "best")

log_gain <- compare_log_posteriories_of_perms(
  g_map2, g_map, print_output = FALSE
)

The posterior probability of the best group found after 150 iterations is approximately \(10^{275}\) times that of the best group found after 50 iterations. Keep in mind that the y scale is logarithmic, so a visually small increase can represent a large posterior ratio. Use the plot to decide whether the best result is stabilizing and whether to run further iterations.

Additional parameters

The find_MAP() function has three additional logical parameters: show_progress_bar, save_all_perms, and return_probabilities.

When show_progress_bar = TRUE, gips prints “=” characters on the console during optimization. With return_probabilities = TRUE, a second progress bar shows probability calculation. For BF with \(p \le 10\), this bar tracks preparation of probability names from the canonical group representatives.

The save_all_perms = TRUE will save all visited permutations in the outputted object, which significantly increases the required RAM. For instance, with \(p=150\) and max_iter = 150000, we needed 400 MB to store it, whereas save_all_perms = FALSE only required 2 MB. However, save_all_perms = TRUE is necessary for return_probabilities = TRUE or more complex path analysis.

With return_probabilities = TRUE, probabilities are calculated from unnormalized posterior weights \(w(\Gamma)\), conditional on the set \(V\) of distinct visited cyclic groups:

\[P(\Gamma \mid Z,\Gamma\in V)=\frac{w(\Gamma)}{\sum_{H\in V}w(H)}.\]

Each group contributes one weight, regardless of repeated visits or different generators. BF uses all cyclic groups and gives the full posterior. A high conditional probability after MH does not establish that all important groups were found.

get_probabilities_from_gips() only reads the stored probabilities; saving permutations alone is not enough.

Probabilities after MH continuation or HC followed by MH use the combined saved visited groups. Keep save_all_perms = TRUE in every stage, and request probabilities in the final MH call:

g_small <- gips(diag(c(1, 1.4, 2)), 8, was_mean_estimated = FALSE)
g_hc <- find_MAP(g_small, optimizer = "HC", max_iter = Inf,
  save_all_perms = TRUE, show_progress_bar = FALSE)
set.seed(1)
g_mh <- find_MAP(g_hc, optimizer = "MH", max_iter = 10,
  save_all_perms = TRUE, return_probabilities = TRUE,
  show_progress_bar = FALSE)
get_probabilities_from_gips(g_mh)
#>     (1,2,3)       (2,3)          () 
#> 0.905590568 0.089759534 0.004649898

Standalone HC does not support return_probabilities = TRUE.

Discussion

We encourage everyone to discuss available and potential new optimizers on ISSUE#21. One can also see why some optimizers were implemented but not yet added to gips there.

References

[1] Piotr Graczyk, Hideyuki Ishi, Bartosz Kołodziejek, Hélène Massam. “Model selection in the space of Gaussian models invariant by symmetry.” The Annals of Statistics, 50(3) 1747-1774 June 2022. arXiv link; DOI: 10.1214/22-AOS2174

[2] “Learning Permutation Symmetry of a Gaussian Vector with gips in R” by gips developers Adam Chojecki, Paweł Morgen, and Bartosz Kołodziejek, Journal of Statistical Software.