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Version: 0.90

Model fitting using MCMC - The basic framework

In this tutorial we show how Bayesian model fitting using Markov Chain Monte Carlo can be done in Scalismo. To be able to focus on the main components of the framework instead of technical details, we start in this tutorial with a simple toy example, namely 1D Bayesian linear regression. The application to 3D shape modelling is discussed in depth in the next tutorial.

Week 2 of our online course on shape model fitting may provide some helpful context for this tutorial.

To run the code from this tutorial, download the following Scala file:

Problem setting

In a Bayesian linear regression an outcome variable yy is modelled a linear function of the explanatory variable xx. The normal linear model assumes that the distribution of yy is a normal distribution with a mean ax+ba \cdot x + b and variance σ2\sigma^2.

yN(ax+b,σ2).y \sim N(a \cdot x + b, \sigma^2 ).

In the following we will denote the unknown parameters aa, bb and σ2\sigma^2 by θ\theta; I.e. θ=(a,b,σ2)\theta = (a, b, \sigma^2). The inference problem is to estimate the parameters θ\theta, given observations X=(x1,,xn)X=(x_1, \ldots, x_n) and Y=(y1,,yn)Y=(y_1, \ldots, y_n). This is done by computing the posterior distribution:

p(θY,X)=p(Yθ,X)p(θ)P(Yθ,X)p(θ)dθp(\theta | Y, X) = \frac{p(Y | \theta, X)p(\theta)}{\int P(Y | \theta, X)p(\theta) \, d\theta}

The likelihood term p(Yθ,X)p(Y | \theta, X) is given by the normal distribution N(ax+b,σ2)N(a \cdot x + b,\sigma^2) define above. Hence the likelihood of observing the data X,YX, Y is

i=1np(yiθ,xi)=i=1nN(yiaxi+b,σ2)\prod_{i=1}^n p(y_i | \theta, x_i) = \prod_{i=1}^n N(y_i | a \cdot x_i + b, \sigma^2)

As prior distribution p(θ)p(\theta) we define

aN(0,5)bN(0,10)σ2logNormal(0,0.25)a \sim N(0, 5) \\ b \sim N(0, 10) \\ \sigma^2 \sim logNormal(0, 0.25)

Metropolis Hastings Algorithm

The way we approach such an inference problem in Scalismo is by using the Metropolis-Hastings algorithm. The Metropolis-Hastings algorithm allows us to draw samples from any distribution, given that the unnormalized distribution can be evaluated point-wise. This requirement is easy to fulfill for all shape modelling applications.

For setting up the Metropolis-Hastings algorithm, we need two things:

  1. The (unnormalized) target distribution, from which we want to sample. In our case this is the posterior distribution p(θY,X))p(\theta \mid Y, X)). In Scalismo the corresponding class is called the DistributionEvaluator.
  2. A proposal distribution Q(θθ)Q(\theta' \mid \theta), which generates for a given sample θ\theta a new sample θ\theta'.

The Metropolis Hastings algorithm introduces an ingenious scheme for accepting and rejecting the samples from this proposal distribution, based on their probability under the target density, such that the resulting sequence of samples is guaranteed to be distributed according to the target distribution. In practice, the algorithm works as follows: It uses the proposal generator to perturb a given sample θ\theta to obtain a new sample θ\theta'. Then it checks, using the evaluator, which of the two samples, θ\theta or θ\theta' is more likely and uses this ratio as a basis for rejecting or accepting the new sample.

Implementation in Scalismo


As in the previous tutorials, we start by importing some commonly used objects and initializing the system.

 import scalismo.sampling.algorithms.MetropolisHastings
import scalismo.sampling.evaluators.ProductEvaluator
import scalismo.sampling.loggers.AcceptRejectLogger
import scalismo.sampling.proposals.MixtureProposal
import scalismo.sampling.{DistributionEvaluator, ProposalGenerator, TransitionProbability}
import breeze.stats.distributions.Gaussian
import breeze.stats.meanAndVariance
implicit val rng = scalismo.utils.Random(42)

To make the setup simple, we generate artificial data, which follows exactly our assumptions. In this way we will be able to see how well we estimated the parameters.

val a = 0.2
val b = 3
val sigma2 = 0.5
val errorDist = breeze.stats.distributions.Gaussian(0, sigma2)
val data = for (x <- 0 until 100) yield {
(x.toDouble, a * x + b + errorDist.draw())

Before we discuss the two main components, the Evaluator and Proposal generator in detail, we first define a class for representing the parameters θ=(a,b,σ2)\theta = (a, b, \sigma^2):

case class Parameters(a : Double, b:  Double, sigma2 : Double)

We introduce a further class to represent a sample from the chain. A sample is simply a set of parameters together with a tag, which helps us to keep track later on, which proposal generator generated the sample:

case class Sample(parameters : Parameters, generatedBy : String)

Evaluators: Modelling the target density

In Scalismo, the target density is represented by classes, which we will refer to as Evaluators. Any Evaluator is a subclass of the class DistributionEvalutor, which is defined in Scalismo as follows:

trait DistributionEvaluator[A] {
/** log probability/density of sample */
def logValue(sample: A): Double

Note: This trait is already defined in Scalismo, don't paste it into your code.

We see that the only thing we need to define is the log probability of a sample.

In our case, we will define separate evaluators for the prior distribution p(θ)p(\theta) and the likelihood p(Yθ,X)p(Y | \theta, X).

The likelihood function, defined above, can be implemented as follows:

case class LikelihoodEvaluator(data : Seq[(Double, Double)]) extends DistributionEvaluator[Sample] {

override def logValue(theta: Sample): Double = {

val likelihoods = for ((x, y) <- data) yield {
val likelihood = breeze.stats.distributions.Gaussian(
theta.parameters.a * x + theta.parameters.b, theta.parameters.sigma2)


Notice that we work in Scalismo with log probabilities, and hence the product in above formula becomes a sum.

In a similar way, we encode the prior distribution:

object PriorEvaluator extends DistributionEvaluator[Sample] {

val priorDistA = breeze.stats.distributions.Gaussian(0, 1)
val priorDistB = breeze.stats.distributions.Gaussian(0, 10)
val priorDistSigma = breeze.stats.distributions.LogNormal(0, 0.25)
override def logValue(theta: Sample): Double = {
+ priorDistB.logPdf(theta.parameters.b)
+ priorDistSigma.logPdf(theta.parameters.sigma2)

The target density (i.e. the posterior distribution) can be computed by taking the product of the prior and the likelihood.

  val posteriorEvaluator = ProductEvaluator(PriorEvaluator, LikelihoodEvaluator(data))

Note that the posteriorEvaluator represents the unnormalized posterior, as we did not normalize by the probability of the data p(y)p(y).

The proposal generator

In Scalismo, a proposal generator is defined by extending the trait ProposalGenerator, which is defined as follows

trait ProposalGenerator[A] {
/** draw a sample from this proposal distribution, may depend on current state */
def propose(current: A): A

In order to be able to use a proposal generator in the Metropolis-Hastings algorithm, we also need to implement the trait TransitionProbability:

trait TransitionProbability[A] extends TransitionRatio[A] {
/** rate of transition from to (log value) */
def logTransitionProbability(from: A, to: A): Double

Note: The above traits are already defined in Scalismo, don't paste them into your code.

We use here one of the simples possible proposals, namely a random walk proposal. This is a proposal which updates the current state by taking a step of random length in a random direction. For simplicity, we update all three parameters together:

  case class RandomWalkProposal(stepLengthA: Double, stepLengthB : Double, stepLengthSigma2 : Double)(implicit rng : scalismo.utils.Random)
extends ProposalGenerator[Sample] with TransitionProbability[Sample] {

override def propose(sample: Sample): Sample = {
val newParameters = Parameters(
a = sample.parameters.a + rng.breezeRandBasis.gaussian(0, stepLengthA).draw(),
b = sample.parameters.b + rng.breezeRandBasis.gaussian(0, stepLengthB).draw(),
sigma2 = sample.parameters.sigma2 + rng.breezeRandBasis.gaussian(0, stepLengthSigma2).draw(),

Sample(newParameters, s"randomWalkProposal ($stepLengthA, $stepLengthB)")

override def logTransitionProbability(from: Sample, to: Sample) : Double = {

val stepDistA = breeze.stats.distributions.Gaussian(0, stepLengthA)
val stepDistB = breeze.stats.distributions.Gaussian(0, stepLengthB)
val stepDistSigma2 = breeze.stats.distributions.Gaussian(0, stepLengthSigma2)
val residualA = to.parameters.a - from.parameters.a
val residualB = to.parameters.b - from.parameters.b
val residualSigma2 = to.parameters.sigma2 - from.parameters.sigma2
stepDistA.logPdf(residualA) + stepDistB.logPdf(residualB) + stepDistSigma2.logPdf(residualSigma2)

Remark: the second constructor argument implicit rng : scalismo.utils.Random is used to automatically pass the globally defined random generator object to the class. If we always use this random generator to generate our random numbers, we can obtain reproducible runs, by seeding this random generator at the beginning of our program.

Let's define two random walk proposals with different step length:

val smallStepProposal = RandomWalkProposal(0.01, 0.01, 0.01)
val largeStepProposal = RandomWalkProposal(0.1, 0.1, 0.1)

Varying the step length allow us to sometimes take large step, in order to explore the global landscape, and sometimes smaller steps, to explore a local environment. We can combine these proposal into a MixtureProposal, which chooses the individual proposals with a given probability. Here We choose to take the large step 20% of the time, and the smaller steps 80% of the time:

val generator = MixtureProposal.fromProposalsWithTransition[Sample](
(0.8, smallStepProposal),
(0.2, largeStepProposal)

Building the Markov Chain

Now that we have all the components set up, we can assemble the Markov Chain.

val chain = MetropolisHastings(generator, posteriorEvaluator)

To run the chain, we obtain an iterator, which we then consume to drive the sampling generation. To obtain the iterator, we need to specify the initial sample:

val initialSample = Sample(Parameters(0.0, 0.0, 1.0), generatedBy="initial")
val mhIterator = chain.iterator(initialSample)

Our initial parameters might be far away from a high-probability area of our target density. Therefore it might take a few hundred or even a few thousand iterations before the produced samples start to follow the required distribution. We therefore have to drop the samples in this burn-in phase, before we use the samples:

val samples = mhIterator.drop(5000).take(15000).toIndexedSeq

As we have generated synthetic data, we can check if the expected value, computed from this samples, really corresponds to the parameters from which we sampled our data:

val meanAndVarianceA = meanAndVariance(
println(s"Estimates for parameter a: mean = ${meanAndVarianceA.mean}, var = ${meanAndVarianceA.variance}")
val meanAndVarianceB = meanAndVariance(
println(s"Estimates for parameter b: mean = ${meanAndVarianceB.mean}, var = ${meanAndVarianceB.variance}")
val meanAndVarianceSigma2 = meanAndVariance(
println(s"Estimates for parameter sigma2: mean = ${meanAndVarianceSigma2.mean}, var = ${meanAndVarianceSigma2.variance}")

In the next tutorial, we see an example of how the exact same mechanism can be used for fitting shape models. Before we discuss this, we should, however, spend some time to discuss how the chain can be debugged in case something goes wrong. You can safely skip this section and come back to it later if you first want to see a practical example.

Debugging the Markov chain

Sometimes a chain does not work as expected. The reason is usually that our proposals are not suitable for the target distribution. To diagnose the behaviour of the chain we can introduce a logger. To write a logger, we need to extend the trait AcceptRejectLogger, which is defined as follows:

trait AcceptRejectLogger[A] {
def accept(current: A, sample: A, generator: ProposalGenerator[A], evaluator: DistributionEvaluator[A]): Unit

def reject(current: A, sample: A, generator: ProposalGenerator[A], evaluator: DistributionEvaluator[A]): Unit

Note: This trait is already defined in Scalismo, don't paste it into your code.

The two methods, accept and reject are called whenever a sample is accepted or rejected. We can overwrite these methods to implement our debugging code.

The following, very simple logger counts all the accepted and rejected samples and computes the acceptance ratio. This acceptance ratio is a simple, but already useful indicator to diagnose if all proposal generators function as expected.

  class Logger extends AcceptRejectLogger[Sample] {
private val numAccepted = collection.mutable.Map[String, Int]()
private val numRejected = collection.mutable.Map[String, Int]()

override def accept(current: Sample,
sample: Sample,
generator: ProposalGenerator[Sample],
evaluator: DistributionEvaluator[Sample]
): Unit = {
val numAcceptedSoFar = numAccepted.getOrElseUpdate(sample.generatedBy, 0)
numAccepted.update(sample.generatedBy, numAcceptedSoFar + 1)

override def reject(current: Sample,
sample: Sample,
generator: ProposalGenerator[Sample],
evaluator: DistributionEvaluator[Sample]
): Unit = {
val numRejectedSoFar = numRejected.getOrElseUpdate(sample.generatedBy, 0)
numRejected.update(sample.generatedBy, numRejectedSoFar + 1)

def acceptanceRatios() : Map[String, Double] = {
val generatorNames = numRejected.keys.toSet.union(numAccepted.keys.toSet)
val acceptanceRatios = for (generatorName <- generatorNames ) yield {
val total = (numAccepted.getOrElse(generatorName, 0)
+ numRejected.getOrElse(generatorName, 0)).toDouble
(generatorName, numAccepted.getOrElse(generatorName, 0) / total)

To use the logger, we simply rerun the chain, but pass the logger now as a second argument to the iterator method:

  val logger = new Logger()
val mhIteratorWithLogging = chain.iterator(initialSample, logger)

val samples2 = mhIteratorWithLogging.drop(5000).take(15000).toIndexedSeq

We can now check how often the individual samples got accepted.

  println("acceptance ratio is " +logger.acceptanceRatios())

We see that the acceptance ratio of the random walk proposal, which takes the smaller step is quite high, but that the larger step is often rejected. We might therefore want to reduce this step size slightly, as a proposal that is so often rejected is not very efficient.

In more complicated applications, this type of debugging is crucial for obtaining efficient fitting algorithms.