Gibbs Sampling Algorithm

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A Gibbs sampling algorithm is an MCMC algorithm that generates a sequence of random samples from the joint probability distribution of two or more random variables.



References

2011


2009

2008

  • (Porteous et al., 2008) ⇒ I. Porteous, D. Newman, A. Ihler, A. Asuncion, P. Smyth, and M. Welling. (2008). “Fast Collapsed Gibbs Sampling for Latent Dirichlet Allocation.” In: Proceedings of ACM SIGKDD Conference (KDD-2008).

2006

2005

  1. Prior uses in NLP of which we are aware include: Kim et al. (1995), Della Pietra et al. (1997) and Abney (1997).

2004

  • http://web.mit.edu/~wingated/www/introductions/mcmc-gibbs-intro.pdf
    • ABSTRACT: A major limitation towards more widespread implementation of Bayesian approaches is that obtaining the posterior distribution often requires the integration of high-dimensional functions. This can be computationally very difficult, but several approaches short of direct integration have been proposed (reviewed by Smith 1991, Evans and Swartz 1995, Tanner 1996). We focus here on Markov Chain Monte Carlo (MCMC) methods, which attempt to simulate direct draws from some complex distribution of interest. MCMC approaches are so-named because one uses the previous sample values to randomly generate the next sample value, generating a Markov chain (as the transition probabilities between sample values are only a function of the most recent sample value).
    • QUOTE: The realization in the early 1990’s (Gelfand and Smith 1990) that one particular MCMC method, the Gibbs sampler, is very widely applicable to a broad class of Bayesian problems has sparked a major increase in the application of Bayesian analysis, and this interest is likely to continue expanding for sometime to come. MCMC methods have their roots in the Metropolis algorithm (Metropolis and Ulam 1949, Metropolis et al. 1953), an attempt by physicists to compute complex integrals by expressing them as expectations for some distribution and then estimate this expectation by drawing samples from that distribution. The Gibbs sampler (Geman and Geman 1984) has its origins in image processing. It is thus somewhat ironic that the powerful machinery of MCMC methods had essentially no impact on the field of statistics until rather recently. Excellent (and detailed) treatments of MCMC methods are found in Tanner (1996) and Chapter two of Draper (2000). Additional references are given in the particular sections below.

2003

1999

1993

1992

1991

random effect]]s model in a Bayesian framework and use a Monte Carlo method, the Gibbs sampler, to overcome the current computational limitations. The resulting algorithm is flexible to easily accommodate changes in the number of random effects and in their assumed distribution when warranted. The methodology is illustrated through a simulation study and an analysis of infectious disease data.

1990

1984

  • (Geman & Geman, 1984) ⇒ Stuart Geman, and Donald Geman. (1984). “Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images.” In: IEEE Transactions on Pattern Analysis and Machine Intelligence, 6(6). doi:10.1109/TPAMI.1984.4767596
    • ABSTRACT: We make an analogy between images and statistical mechanics systems. Pixel gray levels and the presence and orientation of edges are viewed as states of atoms or molecules in a lattice-like physical system. The assignment of an energy function in the physical system determines its Gibbs distribution. Because of the Gibbs distribution, Markov random field (MRF) equivalence, this assignment also determines an MRF image model. The energy function is a more convenient and natural mechanism for embodying picture attributes than are the local characteristics of the MRF. For a range of degradation mechanisms, including blurring, nonlinear deformations, and multiplicative or additive noise, the posterior distribution is an MRF with a structure akin to the image model. By the analogy, the posterior distribution defines another (imaginary) physical system. Gradual temperature reduction in the physical system isolates low energy states (``annealing), or what is the same thing, the most probable states under the Gibbs distribution. The analogous operation under the posterior distribution yields the maximum a posteriori (MAP) estimate of the image given the degraded observations. The result is a highly parallel relaxation algorithm for MAP estimation. We establish convergence properties of the algorithm and we experiment with some simple pictures, for which good restorations are obtained at low signal-to-noise ratios.