Main Idea Metropolis-Hastings (MH) is one of the simplest kinds of MCMC algorithms. The idea with MH is that at each step, we propose to move from the current state $x$ to a new state $x’$ with probability $q(x’|x)$, where $q$ is the proposal distribution. The user is free to choose the proposal distribution and the choice of the proposal is dependent on the form of the target distribution. Once a proposal has been made to move to $x’$, we then decide whether to accept or reject the proposal according to some rule. If the proposal is accepted, the new state is $x’$, else the new state is the same as the current state $x$. ...

Inference In the probabilistic approach to machine learning, all unknown quantities—predictions about the future, hidden states of a system, or parameters of a model—are treated as random variables, and endowed with probability distributions. The process of inference corresponds to computing the posterior distribution over these quantities, conditioning on whatever data is available. Given that the posterior is a probability distribution, we can draw samples from it. The samples in this case are parameter values. The Bayesian formalism treats parameter distributions as the degrees of relative plausibility, i.e., if this parameter is chosen, how likely is the data to have arisen? We use Bayes’ rule for this process of inference. Let $h$ represent the uknown variables and $D$ the known variables, i.e., the data. Given a likelihood $p(D|h)$ and a prior $p(h)$, we can compute the posterior $p(h|D)$ using Bayes’ rule: ...

We don’t know the real posterior so we are going to choose a distribution $Q(\theta)$ from a family of distributions $Q^*$ that are easy to work with and parameterized by $\theta$. The approximate distribution should be as close as possible to the true posterior. This closeness is measured using KL-Divergence. If we have the joint $p(x, z)$ where $x$ is some observed data, the goal is to perform inference: given what we have observed, what can we infer about the latent states?, i.e , we want the posterior. ...

Modernity and Abstraction ‘Programmers’, loosely speaking, in some form or another have always been developing software to automate tedious and repetitive tasks. Rightly so, as this is one of the tasks computers are designed to perform. As science and technology progresses, and gets more technological, there is a growing seperation between the maker and the user. This is one of the negative externalities of modernism - we enjoy the benefits of a more advanced and technologically adept society, but fewer and fewer people understand the inner workings. Andrej Karpathy has a jokingly short paragraph in his blog on the matter, “A courageous developer has taken the burden of understanding query strings, urls, GET/POST requests, HTTP connections, and so on from you and largely hidden the complexity behind a few lines of code. This is what we are now familiar with and expect”. ...