AISTAT 2013

In case you have missed the announcement, the AISTAT 2013 conference will take place in Phoenix, Arizona, on April 29-May 01, 2013.  This is the Sixteenth International Conference on Artificial Intelligence and Statistics. Registration and hotel reservation are now open. (Not that this is particularly relevant but I will attend the conference and give a lecture on, surprise, surprise!… ABC. Looking at the past location, it seems this is the first one not taking place on a beach, for which I am grateful! I am looking forward climbing near Phoenix, welcoming any suggestion to this effect.)

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Last day at WSC 2011: as it was again raining, I could not run a second time into the South Mountain Preserve park. (I had a swim at 5am instead and ended up having a nice chat with an old man in the pool under the rain!) My first morning session was rather disappointing with two talks that remained at such a high level of generality as to be useless and a mathematical talk about new forms of stochastic approximation that included proofs and no indication on the calibration of its many parameters. During the coffee break, I tried to have a chat with a vendor of a simulation software but we were using so different vocabularies that I soon gave up. (A lot of the software on display was a-statistical in that users would build a network, specify all parameters, incl. the distributions at the different nodes and start calibrating those parameters towards a behaviour that suited them.) The second session was much more in my area of interest/expertise, with Paul Dupuis giving a talk in the same spirit as the one he gave in New York last September. using large deviations and importance sampling on diffusions. Both following talks were about specially designed importance sampling techniques for rare events and about approximating the zero variance optimal importance function: Yixi Shin gave a talk on cross-entropy based selection of mixtures for the simulation of tail events, connecting somehow with the talk on mixtures of importance sampling distributions I attended yesterday. Although I am afraid I dozed a while during the talk, it was an interesting mix with the determination of the weights by cross-entropy arguments reminded me of what we did for the population Monte Carlo approach (since it also involved some adaptive entropy optimisation). Zdravko Botev gave a talk on approximating the ideal zero variance importance function by MCMC and a sort of Rao-Blackwell estimator that gives an unbiased estimator of this density under stationarity. Then it was time to leave for the airport (and wait in a Starbucks for the plane to Minneapolis and then London to depart, as there is no such thing as a lounge in Phoenix airport…). I had an interesting exchange with a professional magician in the first plane, The Amazing Hondo!, who knew about Persi and was a former math teacher. He explained a few tricks to me, plus showed me his indeed amazing sleight of hands in manipulating cards. In exchange, I took Persi’s book on Magic and Mathematics out of my bag so that he could have look at it. (The trip to London was completely uneventful as I slept most of the way.)

Overall, WSC 2011 was an interesting experience in that (a) the talks I attended on zero variance importance simulation set me thinking again on potential applications of the apparently useless optimality result; (b) it showed me that most people using simulation do not, N.O.T., relate to Monte Carlo techniques (to the extent of being completely foreign to my domains of expertise); and (c) among the parallel sessions that cover military applications, health care simulation, &tc., there always is a theme connecting to mines, which means that I will find sessions to attend when taking part in WSC 2012 in Berlin next year (since I have been invited for a talk). This will be the first time WSC is held outside North America. Hopefully, this will attract simulation addicts from Europe as well as elsewhere.

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This morning I attended the “Bruce Schmeiser session” at WSC 2011. I had once a meeting with Bruce (and Jim Berger) in Purdue to talk about MCMC methods but I never interacted directly with him. The first two talks were about batch methods, which I did not know previously, and I had trouble understanding what was the problem: for a truly iid normal sample, building an optimal confidence interval on the mean relies on the sufficient statistic rather than on the batch mean variance… It is only through the second talk that I understood that neither normality nor independence was guaranteed, hence the batches. I still wonder whether or a bootstrap strategy could be used instead, given the lack of confidence in the model assumptions. The third talk was about a stochastic approximation algorithm developed by Bruce Schmeiser, called retrospective approximation, where successive and improving approximations of the target to maximise are used in order not to waste time at the beginning. I thus found the algorithm had a simulated annealing flavour, even though the connection is rather tenuous…

The second session of WSC 2011 I attended was about importance sampling, The first talk was about mixtures of importance sampling distributions towards improved efficiency for cross-entropy, à la Rubinstein and Kroese. Its implementation seemed to depend very much on some inner knowledge of the target problem. The second talk was on zero-variance approximations for computing the probability that two notes are connected in a graph, using clever collapsing schemes. The third talk of the session was unrelated with the theme since it was about cross-validated non-parametric density estimation.

My own session was not terribly well attended and, judging from some questions I got at the end I am still unsure I had chosen the right level. Nonetheless, I got interesting discussions afterwards which showed that ABC was also appealing to some members of the audience. And I had a long chat with Enlu Zhou, a nice assistant professor from Urbana-Champaign who was teaching out of Monte Carlo Statistical Method, and had challenging questions about restricted support MCMC. Overall, an interesting day, completed with a light conference dinner in the pleasant company of Jingchen Liu from Columbia and some friends of his.

Cacti

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I have now registered for the WSC 2011 conference and I am looking forward the first day of talks tomorrow. Especially since, reading from the abstracts to the talks, it sounds as if many participants have a different understanding of the word simulation than I have. (I had the same impression this summer when taking part in a half-day of talks in Lancaster.) I am however slightly worried at having prepared my (advanced) tutorial for the right crowd, being unable to judge the background of the audience. Some of the talks are highly technical, others seem much more elementary… (I spent the whole night and morning, except for a fairly long and great run in the hills at sunrise, collating and adapting my slides from my graduate course and from different talks. The outcome is on slideshare.)