Optimally thinning of output from a sampling procedure, such as MCMC. Here the red samples are automatically chosen by Stein Thinning to provide a more accurate approximation to the distributional target, compared with the original MCMC output. [Read more]
View the Project on GitHub wilson-ye-chen/stein_thinning_start
Stein Thinning is a tool for post-processing the output of a sampling procedure, such as Markov chain Monte Carlo (MCMC). It aims to minimise a Stein discrepancy, selecting a subsequence of samples that best represent the distributional target.
The user provides two arrays: one containing the samples and another containing the corresponding gradients of the log-target. Stein Thinning returns a vector of indices, indicating which samples were selected.
In favourable circumstances, Stein Thinning is able to:
Implementations of Stein Thinning are available for Python, R, and MATLAB:
First, it is important to parametrise the distributional target so that it has a positive and differentiable density on .
In Python, R, or MATLAB, it takes a single function call to start Stein Thinning:
indices = thin(samples, gradients, m)
samplesis an array with rows and columns, whose rows are the samples produced by a sampling method, such as MCMC,
gradientsis an array with rows and columns, whose rows contain the gradients where is the corresponding row of
mis an integer, specifying the number of representative samples required,
indicesis a vector of length , whose elements are integers in , indicating which samples were selected.
Stein Thinning can be used to post-process the output directly from the Stan family of probabilistic programming languages:
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This work was supported by the Lloyd’s Register Foundation Programme on Data-Centric Engineering and the Programme on Health and Medical Sciences at The Alan Turing Institute (UK), the British Heart Foundation (SP/18/6/33805, RG/15/9/31534, PG/15/91/31812, FS/18/27/33543), the UK Research and Innovation Strategic Priorities Fund (EP/T001569/1), the UK Engineering and Physical Sciences Research Council (EP/P01268X/1, NS/A000049/1, EP/M012492/1), the UK National Institute for Health Research (II-LB-1116-20001) and the Wellcome Trust (WT 203148/Z/16/Z).