As I was crossing the street, on my way to Institut Henri Poincaré to attend the Big’MC seminar with talks by Yves Atchadé on confidence intervals on MCMC ouput and Omiros Papaspiliopoulos on exact filtering, I thought the Panthéon had a nice enough background to deserve a picture. I also stopped by a nearby art shop to buy 0.7mm leads for my mechanical pencil and ended up discussing Charles Rennie Mackintosh with the seller, as I was wearing my University of Glasgow sweatshirt…
Archive for Glasgow
We have now completed our revision of the paper Relevant statistics for Bayesian model choice, written with Judith Rousseau, Jean-Michel Marin, and Natesh Pillai. It has been resubmitted to Series B and reposted on arXiv. The major change in the paper is the inclusion of a check about the relevance of a given summary statistics, as already explained in the talks I presented in Bristol and Glasgow. We also ran a realistic (and, I think, illuminating!) experiment to assess the impact of using one or two (δμ)² statistics as summaries in a simple population experiment, along with a theoretical explanation of the difference between both cases. This methodological addition answers in my opinion the major criticism contained in the review and I thus hope we can envision the eventual publication of this paper… In any case, the reviews have been tremendously helpful in improving the paper.
I had a nice run along the Kelvin river in Glasgow this morning, passing an incredible number of old bridges, some of them derelict with trees growing on them… Then came back to reorganise my slides towards a better introduction to ABC and a faster focus on the consistency result and assessment.
Last day of a great workshop! I filled more pages of my black notebook (“bloc”) than in the past month!!! This morning started with an Hamiltonian session, Paul Fearnhead presenting recent developments in this area. I liked his coverage very much, esp. because it went away from the physics analogies that always put me off. The idea of getting away from the quadratic form had always seemed natural to me and provided an interesting range for investigations. (I think I rediscovered the topic during the talks, rephrasing almost the same questions as for Girolami’s and Calderhead’s Read Paper!) One thing that still intrigues me is the temporal dimension of the Hamiltonian representation. Indeed, it is “free” in the sense that the simulation problem does not depend on the time the pair (x,p) is moved along the equipotential curve. (In practice, there is a cost in running this move because it needs to be discretised.) But there is no clear target function to set the time “right”. The only scale I can think of is when the pair comes back by its starting point. Which is less silly than it sounds because the discretisation means that all intermediate points can be used, as suggested by Paul via a multiple try scheme. Mark then presented an application of Hamiltonian ideas and schemes to biochemical dynamics, with a supplementary trick of linearisation. Christian Lorenz Müller gave an ambitious grand tour of gradient free optimisation techniques that sounded appealing from a simulation perspective (but would require a few more hours to apprehend!), Geoff Nicholls presented on-going research on approximating Metropolis-Hastings acceptance probabilities in a more general perspective than à la Andrieu-Robert, i.e. accepting some amount of bias, an idea he has explained to me when I visited Oxford. And Pierre Jacob concluded the meeting in the right tone with a pot-pourri of his papers on Wang-Landau. (Once again a talk I had already heard but that helped me make more sense of a complex notion…)
Overall and talk-by-talk, a truly exceptional meeting. Which also set the bar quite high for us to compete at the ICMS meeting on advances in MCM next Monday! Esp. when a portion of the audience in Bristol will appear in Edinburgh as well!an In the meanwhile, I have to rewrite my talk for the seminar in Glasgow tomorrow in order to remove the overlap with my talk there last year… (I note that I have just managed to fly to Scotland with no lost bag, a true achievement!)