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Inference and Learning from Data
Volume II
This extraordinary three-volume work, written in an engaging and rigorous style by a
world authority in the field, provides an accessible, comprehensive introduction to the
full spectrum of mathematical and statistical techniques underpinning contemporary
methods in data-driven learning and inference.
This second volume, Inference, builds on the foundational topics established in
Volume I to introduce students to techniques for inferring unknown variables and
quantities, including Bayesian inference, Markov chain Monte Carlo methods, max-
imum likelihood, variational inference, hidden Markov models, Bayesian networks,
and reinforcement learning.
A consistent structure and pedagogy is employed throughout this volume to
reinforce student understanding, with over 350 end-of-chapter problems (including
solutions for instructors), 180 solved examples, almost 200 figures, datasets, and
downloadable Matlab code. Supported by sister volumes Foundations and Learning,
and unique in its scale and depth, this textbook sequence is ideal for early-career
researchers and graduate students across many courses in signal processing, machine
learning, statistical analysis, data science, and inference.

Ali H. Sayed is Professor and Dean of Engineering at École Polytechnique Fédérale

de Lausanne (EPFL), Switzerland. He has also served as Distinguished Professor
and Chairman of Electrical Engineering at the University of California, Los Angeles
(UCLA), USA, and as President of the IEEE Signal Processing Society. He is a
member of the US National Academy of Engineering (NAE) and The World Academy
of Sciences (TWAS), and a recipient of several awards, including the 2022 IEEE
Fourier Award and the 2020 IEEE Norbert Wiener Society Award. He is a Fellow
of the IEEE, EURASIP, and AAAS.
Inference and Learning from Data
Volume II: Inference

A L I H . S AY E D
École Polytechnique Fédérale de Lausanne
University of California at Los Angeles
Shaftesbury Road, Cambridge CB2 8EA, United Kingdom
One Liberty Plaza, 20th Floor, New York, NY 10006, USA
477 Williamstown Road, Port Melbourne, VIC 3207, Australia
314–321, 3rd Floor, Plot 3, Splendor Forum, Jasola District Centre, New Delhi – 110025, India
103 Penang Road, #05–06/07, Visioncrest Commercial, Singapore 238467

Cambridge University Press is part of Cambridge University Press & Assessment,

a department of the University of Cambridge.
We share the University’s mission to contribute to society through the pursuit of
education, learning and research at the highest international levels of excellence.

www.cambridge.org
Information on this title: www.cambridge.org/highereducation/isbn/9781009218269
DOI: 10.1017/9781009218245
© Ali H. Sayed 2023
This publication is in copyright. Subject to statutory exception and to the provisions
of relevant collective licensing agreements, no reproduction of any part may take
place without the written permission of Cambridge University Press & Assessment.
First published 2023
Printed in the United Kingdom by Bell and Bain Ltd
A catalogue record for this publication is available from the British Library
ISBN - 3 Volume Set 978-1-009-21810-8 Hardback
ISBN - Volume I 978-1-009-21812-2 Hardback
ISBN - Volume II 978-1-009-21826-9 Hardback
ISBN - Volume III 978-1-009-21828-3 Hardback
Additional resources for this publication at www.cambridge.org/sayed-vol2.
Cambridge University Press & Assessment has no responsibility for the persistence
or accuracy of URLs for external or third-party internet websites referred to in this
publication and does not guarantee that any content on such websites is, or will
remain, accurate or appropriate.
In loving memory of my parents
 Contents

VOLUME I FOUNDATIONS
Preface page xxvii
P.1 Emphasis on Foundations xxvii
P.2 Glimpse of History xxix
P.3 Organization of the Text xxxi
P.4 How to Use the Text xxxiv
P.5 Simulation Datasets xxxvii
P.6 Acknowledgments xl
Notation xlv

1 Matrix Theory 1
1.1 Symmetric Matrices 1
1.2 Positive-Definite Matrices 5
1.3 Range Spaces and Nullspaces 7
1.4 Schur Complements 11
1.5 Cholesky Factorization 14
1.6 QR Decomposition 18
1.7 Singular Value Decomposition 20
1.8 Square-Root Matrices 22
1.9 Kronecker Products 24
1.10 Vector and Matrix Norms 30
1.11 Perturbation Bounds on Eigenvalues 37
1.12 Stochastic Matrices 38
1.13 Complex-Valued Matrices 39
1.14 Commentaries and Discussion 41
Problems 47
1.A Proof of Spectral Theorem 50
1.B Constructive Proof of SVD 52
References 53

2 Vector Differentiation 59
2.1 Gradient Vectors 59
2.2 Hessian Matrices 62
viii Contents

2.3 Matrix Differentiation 63

2.4 Commentaries and Discussion 65
Problems 65
References 67

3 Random Variables 68
3.1 Probability Density Functions 68
3.2 Mean and Variance 71
3.3 Dependent Random Variables 77
3.4 Random Vectors 93
3.5 Properties of Covariance Matrices 96
3.6 Illustrative Applications 97
3.7 Complex-Valued Variables 106
3.8 Commentaries and Discussion 109
Problems 112
3.A Convergence of Random Variables 119
3.B Concentration Inequalities 122
References 128

4 Gaussian Distribution 132

4.1 Scalar Gaussian Variables 132
4.2 Vector Gaussian Variables 134
4.3 Useful Gaussian Manipulations 138
4.4 Jointly Distributed Gaussian Variables 144
4.5 Gaussian Processes 150
4.6 Circular Gaussian Distribution 155
4.7 Commentaries and Discussion 157
Problems 160
References 165

5 Exponential Distributions 167

5.1 Definition 167
5.2 Special Cases 169
5.3 Useful Properties 178
5.4 Conjugate Priors 183
5.5 Commentaries and Discussion 187
Problems 189
5.A Derivation of Properties 192
References 195

6 Entropy and Divergence 196

6.1 Information and Entropy 196
6.2 Kullback–Leibler Divergence 204
6.3 Maximum Entropy Distribution 209
 Contents ix

6.4 Moment Matching 211

6.5 Fisher Information Matrix 213
6.6 Natural Gradients 217
6.7 Evidence Lower Bound 227
6.8 Commentaries and Discussion 231
Problems 234
References 237

7 Random Processes 240

7.1 Stationary Processes 240
7.2 Power Spectral Density 245
7.3 Spectral Factorization 252
7.4 Commentaries and Discussion 255
Problems 257
References 259

8 Convex Functions 261

8.1 Convex Sets 261
8.2 Convexity 263
8.3 Strict Convexity 265
8.4 Strong Convexity 266
8.5 Hessian Matrix Conditions 268
8.6 Subgradient Vectors 272
8.7 Jensen Inequality 279
8.8 Conjugate Functions 281
8.9 Bregman Divergence 285
8.10 Commentaries and Discussion 290
Problems 293
References 299

9 Convex Optimization 302

9.1 Convex Optimization Problems 302
9.2 Equality Constraints 310
9.3 Motivating the KKT Conditions 312
9.4 Projection onto Convex Sets 315
9.5 Commentaries and Discussion 322
Problems 323
References 328

10 Lipschitz Conditions 330

10.1 Mean-Value Theorem 330
10.2 δ-Smooth Functions 332
10.3 Commentaries and Discussion 337
Problems 338
References 340
x Contents

11 Proximal Operator 341

11.1 Definition and Properties 341
11.2 Proximal Point Algorithm 347
11.3 Proximal Gradient Algorithm 349
11.4 Convergence Results 354
11.5 Douglas–Rachford Algorithm 356
11.6 Commentaries and Discussion 358
Problems 362
11.A Convergence under Convexity 366
11.B Convergence under Strong Convexity 369
References 372

12 Gradient-Descent Method 375

12.1 Empirical and Stochastic Risks 375
12.2 Conditions on Risk Function 379
12.3 Constant Step Sizes 381
12.4 Iteration-Dependent Step-Sizes 392
12.5 Coordinate-Descent Method 402
12.6 Alternating Projection Algorithm 413
12.7 Commentaries and Discussion 418
Problems 425
12.A Zeroth-Order Optimization 433
References 436

13 Conjugate Gradient Method 441

13.1 Linear Systems of Equations 441
13.2 Nonlinear Optimization 454
13.3 Convergence Analysis 459
13.4 Commentaries and Discussion 465
Problems 466
References 469

14 Subgradient Method 471

14.1 Subgradient Algorithm 471
14.2 Conditions on Risk Function 475
14.3 Convergence Behavior 479
14.4 Pocket Variable 483
14.5 Exponential Smoothing 486
14.6 Iteration-Dependent Step Sizes 489
14.7 Coordinate-Descent Algorithms 493
14.8 Commentaries and Discussion 496
Problems 498
14.A Deterministic Inequality Recursion 501
References 505
 Contents xi

15 Proximal and Mirror-Descent Methods 507

15.1 Proximal Gradient Method 507
15.2 Projection Gradient Method 515
15.3 Mirror-Descent Method 519
15.4 Comparison of Convergence Rates 537
15.5 Commentaries and Discussion 539
Problems 541
References 544

16 Stochastic Optimization 547

16.1 Stochastic Gradient Algorithm 548
16.2 Stochastic Subgradient Algorithm 565
16.3 Stochastic Proximal Gradient Algorithm 569
16.4 Gradient Noise 574
16.5 Regret Analysis 576
16.6 Commentaries and Discussion 582
Problems 586
16.A Switching Expectation and Differentiation 590
References 595

17 Adaptive Gradient Methods 599

17.1 Motivation 599
17.2 AdaGrad Algorithm 603
17.3 RMSprop Algorithm 608
17.4 ADAM Algorithm 610
17.5 Momentum Acceleration Methods 614
17.6 Federated Learning 619
17.7 Commentaries and Discussion 626
Problems 630
17.A Regret Analysis for ADAM 632
References 640

18 Gradient Noise 642

18.1 Motivation 642
18.2 Smooth Risk Functions 645
18.3 Gradient Noise for Smooth Risks 648
18.4 Nonsmooth Risk Functions 660
18.5 Gradient Noise for Nonsmooth Risks 665
18.6 Commentaries and Discussion 673
Problems 675
18.A Averaging over Mini-Batches 677
18.B Auxiliary Variance Result 679
References 681
xii Contents

19 Convergence Analysis I: Stochastic Gradient Algorithms 683

19.1 Problem Setting 683
19.2 Convergence under Uniform Sampling 686
19.3 Convergence of Mini-Batch Implementation 691
19.4 Convergence under Vanishing Step Sizes 692
19.5 Convergence under Random Reshuffling 698
19.6 Convergence under Importance Sampling 701
19.7 Convergence of Stochastic Conjugate Gradient 707
19.8 Commentaries and Discussion 712
Problems 716
19.A Stochastic Inequality Recursion 720
19.B Proof of Theorem 19.5 722
References 727

20 Convergence Analysis II: Stochastic Subgradient Algorithms 730

20.1 Problem Setting 730
20.2 Convergence under Uniform Sampling 735
20.3 Convergence with Pocket Variables 738
20.4 Convergence with Exponential Smoothing 740
20.5 Convergence of Mini-Batch Implementation 745
20.6 Convergence under Vanishing Step Sizes 747
20.7 Commentaries and Discussion 750
Problems 753
References 754

21 Convergence Analysis III: Stochastic Proximal Algorithms 756

21.1 Problem Setting 756
21.2 Convergence under Uniform Sampling 761
21.3 Convergence of Mini-Batch Implementation 765
21.4 Convergence under Vanishing Step Sizes 766
21.5 Stochastic Projection Gradient 769
21.6 Mirror-Descent Algorithm 771
21.7 Commentaries and Discussion 774
Problems 775
References 776

22 Variance-Reduced Methods I: Uniform Sampling 779

22.1 Problem Setting 779
22.2 Naïve Stochastic Gradient Algorithm 782
22.3 Stochastic Average-Gradient Algorithm (SAGA) 785
22.4 Stochastic Variance-Reduced Gradient Algorithm (SVRG) 793
22.5 Nonsmooth Risk Functions 799
22.6 Commentaries and Discussion 806
Problems 808
 Contents xiii

22.A Proof of Theorem 22.2 810

22.B Proof of Theorem 22.3 813
References 815

23 Variance-Reduced Methods II: Random Reshuffling 816

23.1 Amortized Variance-Reduced Gradient Algorithm (AVRG) 816
23.2 Evolution of Memory Variables 818
23.3 Convergence of SAGA 822
23.4 Convergence of AVRG 827
23.5 Convergence of SVRG 830
23.6 Nonsmooth Risk Functions 831
23.7 Commentaries and Discussion 832
Problems 833
23.A Proof of Lemma 23.3 834
23.B Proof of Lemma 23.4 838
23.C Proof of Theorem 23.1 842
23.D Proof of Lemma 23.5 845
23.E Proof of Theorem 23.2 849
References 851

24 Nonconvex Optimization 852

24.1 First- and Second-Order Stationarity 852
24.2 Stochastic Gradient Optimization 860
24.3 Convergence Behavior 865
24.4 Commentaries and Discussion 872
Problems 874
24.A Descent in the Large Gradient Regime 876
24.B Introducing a Short-Term Model 877
24.C Descent Away from Strict Saddle Points 888
24.D Second-Order Convergence Guarantee 897
References 900

25 Decentralized Optimization I: Primal Methods 902

25.1 Graph Topology 903
25.2 Weight Matrices 909
25.3 Aggregate and Local Risks 913
25.4 Incremental, Consensus, and Diffusion 918
25.5 Formal Derivation as Primal Methods 935
25.6 Commentaries and Discussion 940
Problems 943
25.A Proof of Lemma 25.1 947
25.B Proof of Property (25.71) 949
25.C Convergence of Primal Algorithms 949
References 965
Discovering Diverse Content Through
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 10. By this eager love of souls, he was even constrained at the
time we had no preacher among us, himself to exhort, first our own,
and then other societies, to continue in the grace of God. But he had
many sharp trials concerning this, fearing he should run before he
was sent: till one day in May last, being in deep distress, he went up
into his room, threw himself down before God, and ceased not to
wrestle with him in prayer, till all his doubts fled away, and he was
fully convinced what was the will of God concerning him.

11. He often complained, that the world was a burthen to him,

and he wanted to be wholly sequestered from it. But God convinced
him at length, this was not right. “I now, said he, see plainly, there is
such a thing as going through any business, and taking all prudent
care, yet so as it shall only pass through our hands, without either
troubling or intangling our hearts.”

12. For some time he was under another mistake. He was even
to an extreme, negligent of his apparel, thinking it was below the
character of a Christian, to have any, the least concern about it. But
afterwards he was clearly convinced, that in this also he had gone
too far, and that a Christian ought even by his outward neatness, to
shew forth the purity of his mind.
 13. The last great temptation into which he fell, was that of
denying to the body even what was necessary for its support.
Though he worked hard at his own business, and spent his strength
very much, in all the intervals of his work, in going up and down and
exhorting the societies, he could not be prevailed on to take any
cordial, or any thing for the preserving of his lungs. For a
considerable time before he was sick, he wholly abstained from
flesh. And even other victuals he took at his father’s table, as if he
was stealing it; and it seemed by his manner, as if he seldom or
never eat so as to satisfy nature. The error of this was not shewed
him, till a day or two before he was taken ill: when he was fully
convinced, that seeing the body as well as the soul is committed to
our charge, we ought with prudence and moderation to use all
proper means, for preserving the one as well as the other.

14. This temptation, I believe, began and ended, while he walked

in the broad light of God’s countenance: which he enjoyed with little
intermission for two or three months before his last sickness. Indeed
it increased very much toward the period of his life: He saw the
corruptions that remained in his heart. But though they were not
destroyed, yet they were fast bound, so that they could not hurt
him. The only shadow of doubt which he had was this: Whether the
peace he had was not too great, while sin remained? But this was
but a few moments at a time. And “e’er he was aware (he said) his
soul flew back and center’d in God.”
 15. On Wednesday, August 13. John Trembath, being ill of a
malignant fever, and as it was believed both by himself and others,
ready to depart, desired to take his leave of the family. Samuel
stooped down to kiss him, and was immediately sensible he had
caught the distemper. However he met the society in the evening,
and was unusually vehement in prayer. Thursday, the 14th, he
continued working at his trade, till about four in the afternoon. Being
then obliged to leave off, he came in to his parents, and said, he was
not well. He talked of sickness and death with as much ease as of
going to sleep, and mostly with a smiling countenance. Towards
evening he took his bed: As he lay down he said, “Once I laid on this
bed, full of guilt and fears; but now they are all taken away. Blessed
be the God and Father of our Lord Jesus Christ, for sending his
messengers into these parts. Now is the harvest come. Now I shall
reap the end of all my prayers.”

16. About nine his mother and I came to him, and he said,
“mother, you are troubled about many things. I know you have a
great cross now sickness is in the house, over and above the care of
this large family. Father, you must bear your part. There is a want in
you both. You are religious singly: But you are not free in confessing
your faults and temptations one to another. It would be a great help,
if you would set apart a time for this, for the family in general, once
a week. God has made you an instrument of keeping his little flock
together in this place. I believe you do it with all your heart. Let us
do it chearfully, and he will greatly bless us all.”

17. He passed the night without sleep; but continually praising

God, and exhorting all that came in his sight. To one who stood by
him he said, “I opened my bible to-day on the cxii. Psalm. Take the
prayer-book and find it.” She did so, and he took especial notice of
the 6th, 7th, and 8th verses. “’Tis sweet (said he) to speak those
words experimentally: He shall never be moved. He will not be afraid
of any evil tidings; for his heart standeth fast, believing in the Lord.
His heart is established, and will not shrink, until he shall see his
desire upon his enemies.”
 18. In the morning, Friday, 15. He was full of the spirit of grace,
and of supplication: always expressing an unshaken confidence in
God, and making strong intercession for the church. “O said he,
could I but see the church of Christ, in peace and unity! Of one
heart, and of one mind! then I should die rejoicing indeed!”

19. Three of the leaders of classes coming in, he said, “We have
been neglectful in one thing, in not going more diligently after
backsliders, and bringing back the sheep that were lost. O it is a
great thing, to bring one soul unto the Lord! Let me desire you to
remember it for the time to come.” One of them asked, “Shall I pray
for you?” He said, “Yes: but do not pray for my recovery.” After
praying, he asked, “How do you find yourself now?” He said, “Clear
of doubt: full of God.”

20. The man coming to him who used to work with him in the
shop, he said, “John, how is the case between God and your soul?
Of late you have not been so earnest as you was. Why do you not
join in the society? I believe you are kept from outward sin. But that
will not do.” A few days after the man came to me, desiring to be
admitted into the society, and saying, “He hoped the words would
never go out of his mind, and that he should never rest till he knew
the Lord.”

21. Speaking of some who were intangled with inordinate

affection, and talked of their “wanting to know the will of God,” he
said, “When we can give up our own wills, then we shall know the
will of God. And when that is known and carefully followed, all
temptations of this kind are at an end.”
 22. He asked one ¹ who was much with him, “Are you willing to
die?” And on her saying, “If I knew it was the will of God, I could lie
down and not leave a wish behind:” He answered, “I think I am
drawn two ways. I have a strong desire to depart and to be with
Christ; but sometimes I am drawn a little backward, not knowing
whether my abiding awhile in the flesh, may not be for the glory of
God. These are two opposite points. When they are brought to
meet, my way will lie strait before me.”

¹ The same person who wrote part of this relation.

23. He often made her repeat those lines of Dr. Watts’s:

“Say, live for ever, glorious King,

Born to redeem and strong to save!”

And catch’d the two next from her, repeating with triumph,

“Then ask the monster, Where’s his sting?

And where’s thy victory, boasting grave?”

24. Those three verses in one of the funeral hymns he was

almost continually repeating,
“Thou know’st, in the spirit of prayer,

We groan thy appearing to see,

Resign’d to the burden we bear,

But longing to triumph with thee.

’Tis good at thy word to be here,

’Tis better in thee to be gone,

And see thee in glory appear,

And rise to a share of thy throne.

“To mourn for thy coming is sweet,

To weep at thy longer delay:

But thou whom we hasten to meet

Shall chase all our sorrows away.

The tears shall be wip’d from our eyes,

When thee we behold in the cloud,

And echo the joys of the skies,

And shout to the trumpet of God.

“Come then to thy languishing bride,

Who went’st to prepare us a place,

Receive us with thee to abide,

And rest in thy mercy’s embrace.

Our heaven of heavens be this,

Thy fulness of mercy to prove,

Implung’d in the glorious abyss,

 And lost in the ocean of love.”

25. Elizabeth Thomas being with him on Friday night, he asked

her to pray, and said, “I can pour out my whole heart, and soul, and
spirit, and life in prayer.” She asked, “Can you rejoice in God?” He
replied, “Yes; I have not the least doubt of my salvation. I know that
my Redeemer liveth, and that I shall stand before him in that day. I
know my Saviour is now at the right hand of God, and that he is
praying for me. I see the gates of heaven stand open, and Jesus
stands with open arms to receive me.” Then he cried, “Let me go! I
must be gone!” She asked him, “Whither he would go?” He said, “To
my God;” and burst out, “Come, Lord Jesus! The harvest is ready.
Come, Lord, and put in the sickle!”

26. The next morning, Saturday 16. his sweats stopped. All
proper means were used to recover them. He said, “I believe they
will not return. But I have left all to God. My heart is full of God. I
know he will appear the second time, without sin, unto salvation.”

After lying a short time he broke out into vehement prayer, first
for the church, and then for himself: crying out aloud, “Open the
heavens, O my God, and come down into my soul! Come, Father,
Son and Holy Ghost, and plunge me into God! Carry me ye angels,
to the bosom of my God. Bear me to the feet of Jesus!” Then with
smiles of triumph, not to be exprest, he cried, “Jesus is coming! Now
I shall see the unclouded face of Jesus! ’Tis finish’d! ’Tis finish’d!
Jesus is come! Jesus is come!
 “For us is prepar’d

The angelical guard,

The convoy attends

A minist’ring host of invisible friends!

“Ready-wing’d for their flight

To the regions of light

The horses are come,

The chariots of Israel to carry me home!”

*One called aloud to his mother to come. He said, “You may call;
but God will not stop one moment.” He spake no more till he
resigned his spirit into the hands of God.
 A short A C C O U N T

Of the L I F E and D E A T H of

NATHANAEL
O T H E N,
Who was shot in Dover-Castle, October 26, 1757.

1. WAS born at Ogham in Hampshire, of honest parents, and when

I about thirteen years old, went to service to a farmer near
Ogham, whom I served faithfully for a year. I was then for a year
and a half postilion to the Exeter stage-coach. Afterwards I went up
to London, and hired myself again, in the place of a postilion. It was
here I was soon led into drunkenness, and by that means not long
after into lewdness. Leaving this place after six months, I hired
myself for another year as a postilion, at the White-Horse in
Piccadilly. Here I got more money, but could keep none, squandering
it all away in drink and debauchery. My mistress reproving me for
this, I was so enraged, that I went and entered on board a privateer.
I went down as far as Exeter, in my way to Plymouth, in order to
embark. But my mind then changed: so I came back to London, and
hired myself in the Hay-Market as a second coachman. I soon
quitted this place, and served Lord H―― in the same post for a year
and a half, who when he wanted me no longer, recommended me to
Colonel B―― with whom I had large wages. But I wasted all among
lewd women, ’till I embarked with my master for Holland.
 2. In eight days we arrived at Williamstadt. Thence we went to
Breda, where I was again drawn into drunkenness. My master
hearing ♦ of it, desired the groom to reprove me, which made me
reflect on my past life. I went out into the fields, and went to
prayers, repeating the prayers which I had been taught by my
parents. And this I did many times while we staid at Breda: And I
had more power over sin than formerly.

♦ duplicate word “of” removed

3. We now removed to Mastricht. Soon after my master parted

with the horses I took care of, and recommended me to another
master. But I stayed with him only a fortnight, before I relapsed into
drunkenness, and was persuaded to inlist among the Welch
Fusileers, in the year 1747. I remained at camp till Michaelmas:
thence we marched to Rudenburgh, where I remained all the winter.
On the first day of March, 1748, we marched to Ruremond, where
we encamped, tho’ the weather was cold and the snow deep. After
the cessation of arms, we removed from place to place, till in
November we came to Williamstadt.
 4. Here we lay five weeks on board the Seaflower, a ship
belonging to Whitby. On December 18, new stile, we set sail for
Burnt-island: our ship having 41 horses on board. About sun-rise,
just as we got over the bar, it looking as if we should have hard
weather, the man of war that sailed with us prepared for it, backing
his sails, and making fast his guns. Before we lost sight of land, we
saw one of the transports break her yard. Soon after we came up
along-side of a man of war, who advised us, to take in some of our
sails. But our captain, being head strong, did not regard him, but
kept all his sails set, except the main-top-gallant. About two hours
before sun-set, it blew a hurricane; and we having but few sailors,
before they were able to furl the sails, the wind tore them all in
pieces. And it was well it did. For we lay gunnel to; so that had the
sails stood, we must have overset. Suddenly a great outcry was
made below, that the horses were broke loose. I ran down and
found seven of them had broke loose, which made the rest so wild,
that we were obliged to kill them all but one. But it was six days
before we could get them over-board: during which the smell was so
offensive, that it made the whole ship’s crew sick. Two days after we
saw the shore; but we could not possibly make it, the wind was so
high. We then endeavoured to make Aberdeen: but were beat to sea
again. The next morning we lost sight of land, the weather
continued as before for five days. The sixth, at day-break, we were
surprised to see in the midst of the sea a rock very high out of the
water, and the ship was almost upon it: so all hands were called.
The captain standing on the deck, cried, “O my ship, my ship.” Some
of the soldiers cursed him for disheartening them, he answered,
“You need not swear and curse, for you may look over the side of
the ship, and see your graves.” Many were then frighted, and some
went to prayer. When we got to the lee-side of the rock, we strove
to anchor; but the wind blew so hard, and the sea was so rough, we
could not. The ship was now taking in water apace, so that we had
two foot water in our hold already. Ten soldiers were employed, of
whom I was one, to ♦bale the water out with their camp-kettles. In
a little while our steward perished with cold, as did the carpenter
soon after. And several of the boys had their limbs frozen, so that
they were unable to work. Eight soldiers who had been on board a
man of war were ordered to supply their place.

♦ “hale” replaced with “bale”

5. The wind continued to blow hard at south which drove us on

the coast of Greenland. We were now so far north that I believe we
had not above four hours day-light. The captain now came into the
cabin, and cried, “Lord, have mercy upon us! What shall we do? I
am afraid we shall be drove so far north, as to have no day-light at
all.” Quickly after, he went out of his senses, and was confined in his
cabin. But just then the wind shifted from south to north; and
Lieutenant Eyres, understanding the theory of navigation, undertook
the management of the ship. The 10th of March we came in sight of
a rocky coast, but knew not what land it was. We tried to take
soundings; but could find no bottom. A strong current ran between
the rocks, which was against us: but the wind blew strong for us.
We hung out a flag of distress at our main-top-mast, and fired
several guns and several platoons.
 6. During this distress most in the ship called upon God, and if
any man spoke profanely, he was reproved for it. At the same time,
a thought came into the minds of many, that there was some
grievous sinner in the ship: and all agreed to cast lots, that they
might find the man, for whose sake this was come upon us. But they
did not execute what they had agreed. Here we remained five days.
One who had been a sailor, then swore, that it was the Orkneys we
saw, and undertook to bring us safe in. But we had not gone far,
before our passage was quite shut up, and we were just upon the
rocks. In the morning a man was sent to the main-top-mast head,
and ordered to keep a good look-out. Before twelve he cried, “A boat
a-head.” Our boat was quickly manned in order to row to them. In a
short time they came on board: they brought us into the harbour
about sun-set. Here we remained, till we had liberty from the king of
Denmark, to come to North-Bergen in Norway. When we came
thither, several lost the use of their limbs, and many died in an
hospital erected for us. Here we continued a month. Having then
repaired our ship, and got a new captain, (for the old one was still
disordered) we set sail for Scotland, intending for Burnt-island,
which we hoped to reach in a short time.

7. But we had scarce lost sight of land two hours, when another
violent storm arose. I then renewed the good resolutions I made in
the last, and which I forgot almost as soon as I had made them. It
blew exceeding hard; however on April 9, we came with great
difficulty to Leith. When we were safe on shore, instead of returning
God thanks, I soon fell to my old trade of drunkenness: and during
our several removes, I continually plunged deeper and deeper into
all manner of wickedness.
 8. After being at several other places we marched to Glasgow,
where I met with a sober woman, and one that feared God, whom I
married and lived comfortably with, till orders came for my remove
to England. We past the winter at Dover, where the advice of my
wife made such an impression upon me, that I began to take up,
and be a good husband, and worked hard to maintain myself and
her. So I continued to do at Exeter, where I had a son born, and
stayed eleven months. Thence we marched to Plymouth, where we
embarked for Minorca. We landed there May 25, and I lived happy
with my wife for two months. Then both she and my child were
taken sick and died. This was a loss indeed! I believe if she had
lived, it would have been the saving of my life.
 9. After her death I soon fell back to drunkenness, and to supply
the expence of it, took to coining. The next spring, April 20, the
French invested the castle of St. Philip. Toward the end of the siege,
my companion and I got drunk together and quarrelled: upon which
he threatened to inform against me, for which a great reward was
offered. Being soon after told that he was gone to give information,
I thought there was but one way to save my life. So I and he that
told me determined to desert together. In getting out of the castle, I
fell into the sea, and was very near being drowned. With much
difficulty we then got to an old house, and took shelter therein. But
we were between the fire of the French and the English; so we
stayed not above a quarter of an hour. I would now fain have
returned; but our case was desperate: so we went on hand in hand.
As we advanced, the French gave the signal, which was three slaps
with their hand on the cartouch-box. As we did not answer it, or
speak, (for neither of us could speak French) they immediately fired
upon us. But here also the hand of God was over us. The shot all
flew over our heads. They then came and took us to the
commanding officer, who sent us to the town as prisoners. In the
morning we were removed to a prison near one of the general’s
quarters, who sent for us about noon, and asked, what our design
was? I answered, it was our desire to go into France and work. He
said, “this could not be allowed by any means, unless I first serv’d in
the army for three years.” I said, I would only comply, on condition I
should not serve on the island, he replied, if I would not serve on
the island, I must go back to prison, I was going, but he called me
back and ask’d, “in what regiment in France would you like to
serve?” I answer’d in Fitz-James’s. He said, I should. However for
the present, I was remanded to prison. Two days after I was carried
before the Duke de Richlieu, who asked me many questions. But I
continued a prisoner during the whole siege, and was so, till we
came to Valenciennes.
 10. Here I was enlisted into Fitz-James’s horse, and continued
two months: but with an aking heart. I longed to be in England
again, and only waited for an opportunity. This was suspected: so
that when we marched hence, I was confined every night, till we got
a great way into France. By interceding with the quarter-master, I
then got my liberty. After many removes, we marched to Hanau, and
from thence about thirty leagues toward Muscovy. Here four of us
agreed to desert the next night, and make the best of our way to
the Duke of Cumberland’s army. At eleven we set out in thunder,
lightning and rain. We took each of us a brace of pistols, with our
swords, and plenty of powder and ball. With great difficulty we past
the guards, and then not knowing the roads, quickly lost our way: so
that at break of day, we had got but nine miles. However we were
now got into the right road: but day-light approaching, we went into
a wood, and stayed there till six in the evening: having been all this
time without victuals, we were weak and faint; however we walk’d
all night. In the morning we learn’d from a waggoner, that a party of
French horse were within a mile and a half of us. We ask’d what he
thought they came there for? He said he knew not unless it was to
look for deserters. Upon this, finding no way to get to the duke, we
agreed to make for Holland, having changed our clothes with some
of the boors, who likewise behaved kindly to us, or we must have
perished.

11. Having sold our arms to buy us provisions, after many

difficulties and dangers, in passing by both the French and Imperial
troops, we at length came to Mastricht. Thence we went to
Middleburgh, and afterward to Flushing, where we got on board an
English man of war, which the next morning sailed, and brought us
into the Downs. The third day after we landed, we were
apprehended as deserters, and laid in irons for six days. We were
then removed to Brumpton camp, near Chatham, where I was tried
by a court martial, for deserting from the castle of St. Philips, which
I acknowledg’d and was condemned to die.
 12. I now began to be in great trouble, not knowing what to do.
At length my companion and I determined to lay violent hands on
ourselves. In this resolution I continued till night. Then I began to
think of the consequences of self-murder. Betimes in the morning I
went to prayer, and continued praying ’till about ten o’clock. In my
distress I bethought me of one James Harbuckle, a drummer in our
regiment. When he came I told him of my condition, and he began
to talk to me of the love of Christ to sinners: of repentance toward
God, and faith in our Lord Jesus Christ. In the evening he was
obliged to go; but he promised to send some of his brethren to me.
Two of them came at night and explained more at large what James
Harbuckle had said. From this time I found another kind of trouble:
my sins were so set in array against me, that not an evil work or
word, or thought, I had ever given way to, but was brought to my
remembrance. Yet I was not so much troubled for fear of hell, as for
grief that I had offended so good a God, and had crucified the Son
of God afresh. For three days and three nights my distress was so
great, that it was as if all my flesh was tearing off my bones, and my
bones breaking in pieces, which made me often look at my hands
and legs, to see if it was not so.

13. My load so increased, that I was just ready to despair of

mercy, when on a sudden it all dropt off. I was on my knees at
prayer, when in a moment all my fear was gone. I knew I had
redemption in the blood of Christ, the forgiveness of my sins: and
the love of God was shed abroad in my heart, enabling me to love all
mankind, even my enemies: and him in particular who had been the
cause of my deserting. And I had an earnest desire to see and tell
him so. And I found every day an increase in love, and in the
knowledge of our Lord Jesus Christ. I was so delivered from the fear
of death, that I could have rejoiced to have died that instant; being
filled with prayer, and praise, and thanksgiving, such as no tongue
can express. And this sense of the love of God to my soul, I never
since lost, not for a moment.
 14. I was removed from hence to Dover-Castle, where I sent for
Mr. Edwards, the minister of St. Mary’s. He came the next morning,
and afterwards attended me very diligently. I desire to thank God for
his help, and hope the Lord will bless him for his kindness to me. But
I could not be satisfied, till I had sent into the town to enquire, if
there were any of the people call’d Methodists there? They sent
word, they would come when their day’s work was done: but it
being then late, they could not be admitted. On Sunday they came
again, and we prayed, and sang, and rejoiced together in the
salvation of God, I desired they would come again if I was spared,
which they did the following Sunday, when my spirit was so revived,
that I could not help declaring to my fellow-soldiers what God had
done for my soul. And now my prison was turned into a church, an
house of prayer and praise. People crowded in, soldiers and others,
to whom Mr. W――r gave an exhortation. When he had done, I
stood up, and begged my fellow-soldiers, to cry to God for mercy,
and grace to forsake all their sins, lest the day of grace should be
past, and they be given over to a reprobate mind.

15. I spent the remaining part of the day in giving a relation of

my life, to one who wrote it down from my mouth; but I could not
finish it then. Monday, October 23, Mr. Edwards administered the
Lord’s Supper to me. In the afternoon Mr. W――r gave another
exhortation as I did likewise when he had done, and we sang praises
to God with a good courage, and poured out our souls in prayer. The
soldier who had threatened to inform against me at St. Philip’s now
came in. Formerly I was resolved to kill him, wherever I met him:
but I now felt nothing but love and pity. So I earnestly exhorted him
to forsake his sins, and seek mercy while it might be found.
 16. What follows is added by him who wrote the forgoing
relation. We now parted, after I had promised to be with him, during
the short remainder of his life, as much as my business would
permit. Tuesday the 25th, Mr. Edwards administered the Sacrament
to him, and examined him closely as to the state of his soul. He
readily answered every question, and declared his desire to depart
and to be with Christ. About ten at night I came to him again, and
found him employed in exhorting his fellow soldiers, and in praise
and prayer. In the same employment he had been the greatest part
of the day. In the same he continued till about twelve: when his
strength being quite exhausted, he was forced to take some rest. He
would fain have slept on his coffin; but we persuaded him to lie on
the straw: when he waked, he asked, what o’clock it was? And being
answered “about three,” he complained that he had slept too long;
but found himself much refresh’d. After Mr. W――r had read and
expounded a chapter, and spent some time in prayer and praise, he
again exhorted his fellow soldiers, to forsake their sins, particularly
those to which he knew they were addicted.

*17. The morning now advancing, he exprest much longing for

the happy hour, when he was to “put on, as he called it, his wedding
dress” and to be with the Lord. We then left him awhile and when
we returned, found him drest in white, standing on a long form, and
exhorting all the people. We all joined in prayer, after which he broke
out in praise to God his Saviour. Mr. Edwards coming in, asked, how
he did? He answered, “Blessed be God, never happier.” After a few
more questions he withdrew, and Othen getting on the form again,
exhorted all that were present with such joy and fervency of spirit,
as testified a hope full of immortality.
 18. He was thus employed, when the officer came, to tell him,
the time was come; he then chearfully stept off the bench, and
without any delay went forwards, and said, “I had a good wife, and I
loved her well: but I now go forth with greater pleasure to die, than
I did on my wedding day to be married.” When he was out of prison
and delivered to the soldiers who were to guard him to the place of
execution, he began singing that hymn with a loud voice,

“Behold the Saviour of mankind,

“Nail’d to a shameful tree!”

Walking on he took notice of a company of young soldiers, to whom

he earnestly said, “take warning by me, I am young; but 27 years of
age, in full health and strength. And yet I shall soon be as water
spilt on the ground, which cannot be gathered up. My morning sun
goes down at ten o’clock. Yet I have found mercy: and so may you.
O that you saw the danger of being out of Christ! If you felt this in
the manner I felt it, especially for three days and three nights, it
would make the stoutest of you tremble.”
 19. Then turning to me and some others, who walked near him,
he said, “come which of you will help me to sing?” On which he gave
out his favourite hymn (that on the crucifixion) and we all sang it
with him. When he came to the spot where he was to suffer, the
minister was ready to pray with him, in which we all joined.
Afterwards the officer gave him liberty to go round and exhort all the
soldiers. He began at the right and ended at the left, sparing neither
officers nor private men: though to some he spoke more particularly,
and in a manner which I trust they will never forget. He then asked
the serjeant if the major thought him too long. He said, no: upon
which he gave out, the lamentation of a sinner. While we were
singing, the men were drawn out that were to shoot him, and stood
a little behind him. He turned and looked upon them, and Mr. W――r
asked him, “whether he felt any fear of death?” He said, “none at all
blessed be God: I feel my faith stronger and stronger,” here we all
took our last farewel of him, and ♦parted with a kiss of love. He then
chearfully walked to the mark, kneeled down, and having
commended his soul to God, gave the signal. In that instant his body
pitched forward, and his soul sprang into eternity.

♦ “preted” replaced with “parted”

20. Some of our friends told the serjeant, that if it was agreeable
to the major, Mr. W――r would preach a sermon on the occasion.
The offer was readily accepted. So in the afternoon he stood near
the place of execution, and all the soldiers were ordered out, and
formed a ring round about him. The officers as well as soldiers were
present, and behaved with the utmost seriousness.

As I was coming back, a soldier said to the people, “If I was as

well prepared for death as Othen, I did not care if I was to be
carried up to the green, and shot this moment.”
 Another said, I was so prejudiced against him by reports, that I
would have shot him, as soon as I would a dog. And I waited at the
prison door, expecting to see a monstrous creature, when I saw a
man with grace shining in his face. And I hope what I then saw and
heard will be a blessing to me as long as I live.
 Some A C C O U N T

Of the L I F E and D E A T H of

M A T T H E W L E E.
M ATTHEW LEE was born at Croft in Lincolnshire, was educated in
that neighbourhood; and at eleven years of age, put
apprentice to a shoe-maker in Brator near Spillsbury, and served his
time to the approbation of his master: was of a sober, quiet
disposition, and esteemed for his good-nature and integrity. Shortly
after the expiration of his apprenticeship, by the invitation of his
brother, he came to London; but being used to coarse country work,
unskilled in the method of working in London, and but a slow hand
withal, he was incapable, by his business, of gaining even the
necessaries of life. This involved him in great difficulties and
distresses, his relations not being in circumstances to grant him any
assistance. On his application to them for advice, he was advised to
get a waiter’s or drawer’s place at an inn.
 After some time he was hired to the Swan at Fulham, where he
lived contentedly and agreeably, gained the good-will of those whom
he conversed with, and kept his character unblemished. He
afterwards lived at a public-house in Carnaby-market: from thence
he went to the Three Tuns in New-street, Fetter-lane, where he
continued to live, till a person who came frequently to drink at his
master’s house, and with whom Matthew had contracted an
intimacy, one day told him that it lay in his power to be of great
benefit to him, and if he would hearken to his advice, he might live
more advantageously than he could do in a public house: Matthew
enquired into the particulars of the affair: Walton (for so was his
companion’s name) informed him, that his aunt had left him a large
legacy, and he was now going to receive the same, and if he would
quit his present service, and attend on him, he would give him great
wages, and he should live as himself. He the more readily agreed
thereto, from a desire to be freed from the threatenings of a woman
with whom he had sinful commerce. He had borrowed money of her,
which he was at present incapable of paying her, for which she
frequently threatened him with a gaol. This made him the more
willing to leave his place, to be freed from her importunity.
Accordingly he packed up his cloaths, with what money he had, and
went from his place with his new pretended master.

But he soon found his mistake: they wandered up and down, till
their money being expended, Walton shewed Lee a pistol, and said,
“This must stand our friend, and supply us with all we want.” When
he objected to the proposal, the other with dreadful curses
threatened to blow his brains out, if he did not comply. While they
were arguing upon the point, they had an opportunity of putting
their design in execution: for in the midst of their discourse, Mr.
Chalmer came in sight. Walton gave Lee the pistol to attack him, but
his heart failed; he sat down on the side of the field, and Mr.
Chalmer passed by uninterrupted.
 For this, Walton reproached him bitterly; upon which they both
followed him, Lee with his pistol, and Walton with a large stick, and
robbed the gentleman of his watch and fourteen shillings. Had
Walton been contented with what the gentleman had given him, in
all probability they might have escaped; but Walton perceiving a bulk
in his pocket (which was thirteen guineas) demanded it, which Mr.
Chalmer refused, and recovering his spirits, told them, “Except they
would give him his watch, he would follow them.” Walton observing
this, took the pistol from Lee, and made his escape over the fields;
but Lee having the watch, was closely pursued, and taken with the
watch upon him.

He was first committed to Bridewell, and continued there six

weeks: during his stay there, God was pleased to incline the heart of
one to visit those who were there confined, and to publish the glad
tidings of salvation; and God gave Lee an ear to hear the gospel-
sound, and an heart to embrace it. He took great delight in hearing:
and a visible alteration was observed in his whole behaviour. He was
convinced of his lost and undone state; was sensible how vile and
guilty he was before God: was much by himself in reading and
prayer, frequently and earnestly crying for mercy. But he was very
fearful lest his many and great sins would exclude him from the
favour of God; and though he was only guilty of this robbery, yet he
acknowledged himself a vile and hell-deserving creature, for his
whole life. It was now the grief of his heart that he had ever sinned
against such a good and gracious God: who he acknowledged had
been frequently striving with him. For (said he) I remember when I
have been drinking and merry-making with my companions, in the
midst of my mirth, great horror and distress have seized me, that I
have often times been forced to leave my company, and retire by
myself. I have been frequently distressed on account of my sin: my
conscience has checked me in, and after the committing of it; but by
company and mirth it would soon wear off, though not so, but at
times it would return again.
 The very first time he heard the preaching in Bridewell, the
terrors of the Almighty fell upon him, and the arrows of God stuck
fast in his soul. The sense of his crime (not as it was merely against
the laws of man, but as it was against the law of God) and all his
former sins greatly distressed him. The thoughts of death, but
especially of a judgment to come, made him tremble exceedingly. He
feared the wrath to come, and knew not how to flee from it. He was
desirous to know what he must do to be saved; but did not see
Christ the way of salvation. He was now crying out undone! undone!
and writing bitter things against himself. He was so desirous to hear
the gospel, that he would rather lose the favour of his relations and
friends, that visited him, than lose one opportunity: saying, “He had
but one friend to please, and that was Christ.”

He heard with such attention and affection, that he seemed even

to eat the words of the preacher. He earnestly longed for the pardon
of his sins: but for the first three weeks he had not the least glimpse
of comfort.

Shortly after, as he was in prayer, crying earnestly for mercy,

under great horror of soul, God broke in upon him in a wonderful
manner, which he thus expressed to the person that preached.

*“I believe now my peace is made with God through Jesus Christ.
I experience a great change in my soul, for while I was at prayer,
last night, in great terror, apprehensive that I was going immediately
body and soul to hell: I cry’d out so loud that my fellow-prisoners in
the next ward heard me, and called to know what was the matter: I
told them that I was going to hell, and begged their prayers for me:
but while I was in the midst of this horror and despair, I suddenly
experienced a blessed and comfortable change: my mind was
immediately calmed: I believed my sins were forgiven: the fear of
hell was taken away: and I was so far from fearing death, that I was
now more desirous to die, than to live.”
 He earnestly desired prayer to God in his behalf, and wept
bitterly that ever he should sin against him. It was very observable
from this time, that the greater sense he experienced of the mercy
of God to him, the greater abhorrence he had of sin, and of himself
for committing it.

He was now more serious in hearing the word than ever; and
was frequently singing of psalms and hymns. He could not bear to
hear any of his fellow-prisoners profane the name of God, but would
reprove them and exhort them with a serious concern to reflect on
the consequences of such a behaviour.

“Oh! (said he) did you but feel the terrors I lately did for my sins,
you would dread the thoughts of ever sinning again.”

“I have (says he, to a friend) deserved eternal death; but blessed

be God who hath taken away the sting of death, and the guilt of sin;
and now I can walk through the valley of the shadow of death, and
not be afraid: now I can lay down and rise up, can live and die in
peace.”

Being removed from Bridewell to Newgate, to be tried at the Old

Bailey, the day before he was brought to the bar, he said, “Shortly I
shall appear before the bar of man, and receive a sentence of death
on this body; but this is my comfort, before man condemns me,
God, the eternal God, has pardoned me: I shall stand guilty before
man, but guiltless before God.”

Being asked, “How he, who acknowledged himself a sinner could

stand guiltless before God.”

He replied, “Because Jesus Christ hath washed away my sins in

his own blood; and I am justified by his grace: my sins are blotted
out of the book of his remembrance.”

It was asked again, “How he knew that Christ had taken away his
sins, and that he was washed in his blood.”
 *He replied: “As a lost and undone sinner, I have laid hold on
Jesus Christ by faith: I rest the whole of my salvation upon him: I
have believed in him: and he hath adopted me into his family: the
Spirit of God bears witness with my spirit, that I am a child of God.
Thus I know that all my sins are pardoned, and let death come when
it will, I am ready; for I am assured, as soon as this body is dead,
my soul will be with Jesus in paradise.”

One present said, “That we need be cautious of deceiving our

own souls, and advised him to be modest in his expressions: for
many who had made a great profession for many years, could not
speak with such confidence as he did.”

He answered, “I speak it from a certainty of the thing; that which

I see and feel, I testify unto you.”

*“Sir, If these heavy irons were removed from me, should not I
be sensible of it; and could not I by experience declare to others
that my irons were removed, and my legs were at liberty? Would not
the alteration I felt, be a sufficient foundation to assert the
satisfaction I found by the removal of them? Why thus it was lately
with my soul: it was fettered down to sin: I was a slave to my lusts,
and I could no more get rid of my sins, than I can of these irons. But
while I was fearing and expecting to be cast into hell every moment,
Jesus Christ came and knocked off my irons, my sins: he shut the
doors of hell, and opened the doors of heaven; and set my soul at
liberty. God has made me, who was a slave of the devil, to be a
subject of Christ. I am brought from my lusts and pleasures, which I
loved, to love nothing else but Jesus Christ. And can such an
alteration be wrought in my soul, and I be ignorant thereof?――O
blessed be God, this change fills me with joy: I am full of joy: joy,
not to be expressed: for Christ loves me, and I love Christ, and I
shall shortly be with him for ever.”