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Similar question to posted here: Metropolis-Hastings using log of the density however my question is around sampling a random number from a uniform distribution. I am following the steps outlined in Murphy: Machine Learning A Probabilistic Perspective on page 850 for Metropolis Hastings algorithm. The difference is I am working with log probability densities as they are large and negative, so exponentiating them effecitvely results in 0.

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I have started by taking the log of step 5: $$ log(\alpha) = log(P(x')) - log(P(x)) $$ Assuming q is symmetric which it is in my case. Then to compute $r$, I am taking the lesser of $log(1)$ and $log(\alpha)$, so essentially if $\alpha$ is negative, I am assigning it to $r$, otherwise I am assigning $r$ as 0. Now for the issue: what do I do at step 6? The link above doesn't describe this. Obviously $r$ is either 0 or negative, and so it would always be less than $u$ and hence we always step where we are. Also, $r$ isn't bounded below - $\alpha$ could be very negative (though unlikely), so it is hard to redefine a uniform distribution range to sample from. Any ideas how to proceed from here?

spacexyz
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    I think that if you took $log(\alpha)$ then you will have to take $log(u)$ to preserve inequality. – jassis Feb 13 '22 at 01:53
  • So draw a random number from 0 to 1, and then take the log of it? – spacexyz Feb 13 '22 at 01:54
  • Precisely! I didn't get to the point, but as I like samplers, I found this post https://umbertopicchini.wordpress.com/2017/12/18/tips-for-coding-a-metropolis-hastings-sampler/ – jassis Feb 13 '22 at 02:14
  • @jassis Thanks for the help - I have managed to get it to work. Out of interest, I have written the code two ways. In one instance I exponentiate $log(\alpha)$ and then continue the method in the image in the OP, in a second method I do the whole method in log format, doing as you said above and taking the log of $u$. Out of curiosity, do you know if the two methods should be equivalent? Or if one would be better than the other? I suspect there may be a difference when comparing $u$ to an exponentiated $log(\alpha)$ vs comparing $log(\alpha)$ to $log(u)$ due to different scales? – spacexyz Feb 13 '22 at 03:27
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    Both methods give exactly the same answer, they are more than equivalent. Note also that the `min` step is unnecessary for the comparison. – Xi'an Feb 13 '22 at 09:25

1 Answers1

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In log scale, here is what your pseudocode should read from step 5 onwards:

5. Compute acceptance probability

$$\log(\alpha) = \log \frac{p(x')}{p(x)} = \log p(x')- \log p(x).$$

Compute

$$\log(r) =\min(0, \log(\alpha))$$

6. Sample $u \sim U(0,1)$

7. Set new sample to

$$x^{s+1} = \begin{cases} x' \quad \text{if} \quad \log(u) < \log(r) \\ x^s \quad \text{if} \quad \log(u) \geq \log(r)\end{cases}$$

As you've correctly noted, because $q$ is symmetric, we have that $q(x | x') = q(x' | x)$ and so these cancel in your expression for $\log (\alpha)$.

For $\log(r)$, note that $\log(r) = \log \min(1, \alpha) = \min(\log(1), \log(\alpha)).$

Now that you have $\log(r)$ you just need to compare it to $\log(u)$ as we can log both sides of the inequalities in the decision rule.

microhaus
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