Production-level probabilistic inference is usually said to be about very high-dimensional problems. The usual argument for the techniques one learns (importance sampling, Markov chain Monte Carlo, etc) starts from the curse of dimensionality—that classic quadrature is hopelessly inefficient in many (i.e., more than four) dimensions. But what if one wants probability in a low-dimensional problem? For example, one might have a low-dimensional sub-problem of a more complex problem, or one might want to test a scalable sampling technique on a low-d version of some problem of interest. How can quadrature be useful?

One way to use quadrature is to explicitly compute the normalization constant of an unnormalized probability density. Then, up to the numerical error in the quadrature, one has the *normalized* density function, with which one can proceed to do whatever one wants.

Another way to use the same sort of grid of evaluations of the un-normalized density is the technique called “Griddy Gibbs”. Griddy Gibbs is applicable when the density of interest is \(p(x) = Z \tilde p(x)\), where \(Z\) is unknown but independent of \(x\), and \(\tilde p(x)\) is computationally tractable. One needs, furthermore, that

- \(X\) is one-dimensional;
^{1} - one wants to sample from an approximation to \(p(x)\); and
- one can afford to evaluate \(\tilde p(x)\) a fair number of times, say 100.

When might this happen? The general lore is that if one’s entire problem were one-dimensional, one would not need samples. Nonetheless, I can imagine at least two uses for high-quality one-dimensional sampling methods: testing, and participating in a larger Gibbs-style sampler.

I have seen the latter arise in hierarchical Bayes quite often. Generally, a hierarchical Bayesian model often factors as \(p(D|\theta) p(\theta|z) p(z)\), where \(D\) are the data, \(\theta\) are some latent parameters of immediate interest (like the means of some clusters one is trying to infer) and \(z\) are some deeper latent parameters, like the concentration parameter of one’s prior on the number of clusters. If, as happens all too often, there aren’t enough conjugacies to elimiate \(z\) or \(\theta\), one many choose a Gibbs-style sampler for the overall problem, alternating sampling \(\theta_{t+1} \sim p(\theta|D, z_t)\) and \(z_{t+1} \sim p(z|\theta_{t+1})\).^{2} This kind of case fits Griddy Gibbs very well: I have often seen the distribution \(p(z|\theta)\) factor completely into one-dimensional parts that can be sampled independently. Furthermore, \(\theta\) is often much smaller than \(D\), so the \(\theta_{t+1} \sim p(\theta|D, z_t)\) steps dominate the overall computation, and therefore one can afford to evaluate \(\tilde p(z|\theta)\) many times in each \(z_{t+1} \sim p(z|\theta_{t+1})\) step to get a good \(z_{t+1}\). Since these models can be quite sensitive to the \(z\) parameters, the investment can pay off handsomely. For example, every sampler I know of for the CrossCat model uses some variant of Griddy Gibbs for the hyperparameters.

So, how does one actually do Griddy Gibbs? The way I learned it was this:

Evaluate \(\tilde p(x)\) at some grid of points \(x_i\).

Compute the normalization constant \(\hat Z = \sum \tilde p(x_i)\).

Approximate \(p(x)\) as a categorical distribution on that grid, \(p(x) \approx \frac{1}{\hat Z} \sum \tilde p(x_i) \delta_{x_i}(x)\).

Sample from that.

This has always felt unsatisfying to me. For instance, this approxmation never admits an off-grid value for \(x\). Surely, I thought, one can do better. So I finally read the original Ritter and Tanner 1991 techreport,^{3} and found that Mssrs Ritter and Tanner indeed suggested doing better: they argue in the paper that any quadrature technique of one’s choosing can form a legitimate approximation to \(p(x)\) from a grid of evaluations of \(\tilde p(x)\), wherefrom one can then sample.

Here’s one such algorithm, with a piecewise linear rather than piecewise constant approximation to the CDF of \(p(x)\):

Evaluate \(\tilde p(x)\) at some ordered grid of points \(x_0 < x_1 < \ldots < x_i < \ldots < x_n\).

Compute \(\hat Z = \sum_{i=0}^{n-1} \tilde p(x_i) (x_{i+1} - x_i)\).

Approximate \(p(x)\) as the piecewise constant PDF \[ p(x) \approx \hat p(x) = \begin{cases} 0 & x < x_0 \\ \frac{\tilde p(x_i)}{Z} & x_i \leq x < x_{i+1} \\ 0 & x \geq x_n \end{cases} \] (whose CDF is therefore piecewise linear).

Sample from that.

This looks a lot better. One reason I suspect it may not have caught on as much is that there are several free choices embedded in what I presented, leaving more work for the practitioner who wishes to adopt it. For instance, instead of using the value of \(\tilde p\) at the lower end point of the interval \((x_i, x_{i+1})\), one can use the average: \(\hat p(x) = (\tilde p(x_i) + \tilde p(x_{i+1})) / 2 \hat Z'\) (which \(\hat Z'\) needs to be computed accordingly, and is not equal to \(\hat Z\)). Also, instead of setting the mass outside \((x_0, x_n)\) to \(0\) as I have done, one can posit some tails of some functional form with total mass \(\varepsilon\) (which becomes a parameter of the method) and scale the rest of the PDF accordingly. One can alternately deal with infinite support by using some change of variable formula to do the quadrature over a finite interval. In the context of defining a general library or programming language for inference, I think the gain is worth the cost, but I can see why a practitioner writing a one-off inference scheme may decide to avoid this choice space.

I want to point out one more possible adjustment.^{4} As I learned Griddy Gibbs, one performs inference by sampling directly from the computed \(\hat p(x)\), accepting the difference between it and the target \(p(x)\) as error in one’s ultimate solution. However, if one is trying to set up a convergent Markov chain, one can also treat \(\hat p(x)\) as a Metropolis-Hastings proposal distribution, and guarantee convergence to the right target by accepting or rejecting it. Such a step looks like

As above.

As above.

As above.

Propose to move to \(x_{t+1} \sim \hat p(x)\).

Compute the acceptance ratio

^{5}\[ \alpha = \frac{\tilde p(x_{t+1}) \hat p(x_t)}{\tilde p(x_t) \hat p(x_{t+1})}. \]Move to \(x_{t+1}\) with probability \(\max(1, \alpha)\), otherwise stay at \(x_t\).

Here we have gained (as one always does with Metropolis-Hastings) accuracy in the limiting distribution in exchange for the speed of reaching it. Indeed, if the approximation \(\hat p(x)\) is good everywhere, then each term \(\hat p(x_t) / \tilde p(x_t)\) will be close to \(1\), and this chain will almost always accept. However, if the approximation is off somewhere, that will show up as rejections.

As a further refinement, a practitioner could monitor the rejection rate in order to assess how good of an approximation they got out of their quadrature technique. I can even imagine automatically adapting the fineness of the grid, say, to maintain a target acceptance rate as a chain proceeds.

A benefit, as far as I can tell, of embedding Griddy Gibbs in Metropolis-Hastings is that the usual problems of trying to develop a generic numerical quadrature method get masked by the accept/reject step. For instance, suppose \(\tilde p(x)\) has a pole inside the domain of integration. Then any approximation \(\hat p(x)\) must cut off substantial mass, due to finite resolution near the pole.^{6} Evaluated as quadrature, this leads to potentially unacceptable error in the answers. But evaluated as a proposal distribution, this just leads to a slowdown in convergence—the chain will fix the underapproximation of the pole by tending to reject moves away from it. The same thing happens if the approximation’s tails are too thin (as long as they are non-zero). The accept/reject step provides an automatic mis-fit detection mechiansm.

In summary, I think quadrature is a very useful tool in the inferential kit, and I’m sad that I didn’t get a chance to implement it in Venture.

## References

Ritter, C. & Tanner, M., “The Griddy Gibbs sampler”, 1991, Technical Report #878, Department of Statistics, University of Wisconsin-Madison https://www.stat.wisc.edu/sites/default/files/tr878_0.pdf

Ritter, C. & Tanner, M., “Facilitating the Gibbs Sampler: The Gibbs Stopper and the Griddy-Gibbs Sampler”, 1992, Journal of the American Statistical Association (87) pp. 861-868

## Notes

The idea generalizes to any dimensionality, of course. It is even plausibly useful in up to three or four, but I want to present in 1-D for simplicity.↩

Both samples may be approximate. As long as the transition operators \(T_{z_t}(\theta_{t+1}|\theta_t)\) and \(T_{\theta_{t+1}}(z_{t+1}|z_t)\) are ergodic and have the stationary distributions \(p(\theta|D, z_t)\) and \(p(z|\theta_{t+1})\), respectively, the overall chain will converge to \(p(\theta, z|D)\) as \(t \to \infty\).↩

The published version, Ritter and Tanner 1992, does not appear to be open access.↩

I have not seen this refinement in the literature, but that’s probably because I didn’t look hard enough.↩

As written, \(\alpha\) is correct if the choice of grid \(x_i\) does not depend on the current state \(x_t\). If \(x_i\) does depend on \(x_t\), computing the reverse probability calls for repeating the quadrature on the grid points \(x_{t+1}\) determines. This is fine—one gives up 2x in affordable grid resolution in exchange for adapting the grid to the areas the chain wants to explore. For instance, doing a pair of tanh-sinh integrations over \((-\infty, x_t)\) and \((x_t, \infty)\) would be a way to focus a lot of computational attention near the current point, which should be good for exploring a tall peak (once the chain found it).↩

Unless, of course, the operator knows where the pole is and deploys appropriate tactics to tame it, but that can only work on a case-by-case basis.↩