Advances in scalable Bayesian computation [day #4]

Posted in Books, Mountains, pictures, R, Statistics, University life with tags , , , , , , , , , , , , , , , , , on March 7, 2014 by xi'an

Final day of our workshop Advances in Scalable Bayesian Computation already, since tomorrow morning is an open research time ½ day! Another “perfect day in paradise”, with the Banff Centre campus covered by a fine snow blanket, still falling…, and making work in an office of BIRS a dream-like moment.

Still looking for a daily theme, parallelisation could be the right candidate, even though other talks this week went into parallelisation issues, incl. Steve’s talk yesterday. Indeed, Anthony Lee gave a talk this morning on interactive sequential Monte Carlo, where he motivated the setting by a formal parallel structure. Then, Darren Wilkinson surveyed the parallelisation issues in Monte Carlo, MCMC, SMC and ABC settings, before arguing in favour of a functional language called Scala. (Neat entries to those topics can be found on Darren’s blog.) And in the afternoon session, Sylvia Frühwirth-Schnatter exposed her approach to the (embarrassingly) parallel problem, in the spirit of Steve’s , David Dunson’s and Scott’s (a paper posted on the day I arrived in Chamonix and hence I missed!). There was plenty to learn from that talk (do not miss the Yin-Yang moment at 25 mn!), but it also helped me to break a difficulty I had with the consensus Bayes representation for two weeks (more on that later!). And, while Marc Suchard mostly talked about flu and trees in a very pleasant and broad talk, he also had a slide on parallelisation to fit the theme! While unrelated with parallelism,  Nicolas Chopin’s talk was on sequential quasi-Monte Carlo algorithms: while I had heard previous versions of this talk in Chamonix and BigMC, I found it full of exciting stuff. And it clearly got the room truly puzzled by this possibility, in a positive way! Similarly, Alex Lenkoski spoke about extreme rain events in Norway with no trace of parallelism, but the general idea behind the examples was to question the notion of the calibrated Bayesian (with possible connections with the cut models).

This has been a wonderful week and I am sure the participants got as much as I did from the talks and the informal exchanges. Thanks to BIRS for the sponsorship and the superb organisation of the week (and to the Banff Centre for providing such a paradisical environment). I feel very privileged to have benefited from this support, even though I deadly hope to be back in Banff within a few years.

Robin Ryder’s interview

Posted in Statistics, University life with tags , , , , on March 9, 2011 by xi'an

Robin Ryder—with whom I am sharing an office at CREST, and who is currently doing a postdoc on ABC methods—, got interviewed in the March issue of La Recherche. (The interviewer was Philippe Pajot who wrote “Parcours de mathématiciens”, reviewed in a recent post.) The interview is reproduced on Robin’s blog (in French) and gives in a few words the principles of Bayesian linguistics. This two-page interview also includes a few lines of a technical entry to MCMC (called Monte Carlo Markov chains rather than Markov chain Monte Carlo) that focus on the exploration of huge state-spaces associated with trees. Overall, a very good advertising for MCMC methods for the general public through the highly attractive story of the history of languages…

Posted in Statistics, University life with tags , , , , , , , , , on September 29, 2010 by xi'an

“Logical overlap is the norm for the complex models analyzed with ABC, so many ABC posterior model probabilities published to date are wrong.” Alan R. Templeton, PNAS, doi:10.1073/pnas.1009012107

Our letter in PNAS about Templeton’s surprising diatribe on Bayesian inference is now appeared in the early edition, along with Templeton’s reply. This reply is unfortunately missing any novelty element compared with the original paper. First, he maintains that the critcism is about ABC (which is, in case you do not know, a computational technique and not a specific statistical methodology!). Second, he insists on the inappropriate Venn diagram analogy by reproducing the basic identity

$P(A\cup B\cup C) = P(A)+P(B)+P(C)-P(A\cap B)-P(B\cap C)-P(C\cap A)+P(A\cap B\cap C)$

(presumably in case we had lost sight of it!) to argue that using instead

$P(A)+P(B)+P(C)$

is incoherent (hence rejecting Bayes factors, Bayesian model averaging and so on). I am not particularly surprised by this immutable stance, but it means that there is little point in debate when starting from such positions… Our main goal in publishing this letter was actually to stress that the earlier tribune had no statistical ground and I think we achieved this goal.

Welcome, Robin!

Posted in R, Statistics, University life with tags , , , on February 26, 2010 by xi'an

Robin Ryder started his new blog with his different solutions to Le Monde puzzle of last Saturday (about the algebraic sum of products…), solutions that are much more elegant than my pedestrian rendering. I particularly like the one based on the Jacobian of a matrix! (Robin is doing a postdoc in Dauphine and CREST—under my supervision—on ABC and other computational issues, after completing a PhD in Oxford on philogenic trees for language history with Geoff Nicholls. His talk at the Big’MC seminar last month is reproduced there.)

And, in a totally unrelated way, here is the Sudoku (in Le Monde) that started my post on simulated annealing, nicely represented on Revolutions. (Although I cannot see why the central columns are set in grey…) I must mention that I am quite surprised at the number of visits my post received, given that using simulated annealing for solving Sudokus has been around for a while. Even my R code, while original, does not compete with simulated annealing solutions that take a few seconds… I thus completely share Dirk Eddelbuettel‘s surprise in this respect (but point to him that Robin’s blog entry has nothing to do with Sudokus, but with another Le Monde puzzle!)