## last Big MC [seminar] before summer [June 19, 3pm]

Posted in pictures, Statistics, University life with tags , , , , , , , , , , , on June 17, 2014 by xi'an

Last session of our Big’MC seminar at Institut Henri Poincaré this year, on Tuesday Thursday, June 19, with

Chris Holmes (Oxford) at 3pm on

Robust statistical decisions via re-weighted Monte Carlo samples

and Pierre Pudlo (iC3M, Université de Montpellier 2) at 4:15pm on [our joint work]

ABC and machine learning

## lazy ABC

Posted in Books, Statistics, University life with tags , , , , , , , on June 9, 2014 by xi'an

“A more automated approach would be useful for lazy versions of ABC SMC algorithms.”

Dennis Prangle just arXived the work on lazy ABC he had presented in Oxford at the i-like workshop a few weeks ago. The idea behind the paper is to cut down massively on the generation of pseudo-samples that are “too far” from the observed sample. This is formalised through a stopping rule that puts the estimated likelihood to zero with a probability 1-α(θ,x) and otherwise divide the original ABC estimate by α(θ,x). Which makes the modification unbiased when compared with basic ABC. The efficiency appears when α(θ,x) can be computed much faster than producing the entire pseudo-sample and its distance to the observed sample. When considering an approximation to the asymptotic variance of this modification, Dennis derives a optimal (in the sense of the effective sample size) if formal version of the acceptance probability α(θ,x), conditional on the choice of a “decision statistic” φ(θ,x).  And of an importance function g(θ). (I do not get his Remark 1 about the case when π(θ)/g(θ) only depends on φ(θ,x), since the later also depends on x. Unless one considers a multivariate φ which contains π(θ)/g(θ) itself as a component.) This approach requires to estimate

$\mathbb{P}(d(S(Y),S(y^o))<\epsilon|\varphi)$

as a function of φ: I would have thought (non-parametric) logistic regression a good candidate towards this estimation, but Dennis is rather critical of this solution.

I added the quote above as I find it somewhat ironical: at this stage, to enjoy laziness, the algorithm has first to go through a massive calibration stage, from the selection of the subsample [to be simulated before computing the acceptance probability α(θ,x)] to the construction of the (somewhat mysterious) decision statistic φ(θ,x) to the estimation of the terms composing the optimal α(θ,x). The most natural choice of φ(θ,x) seems to be involving subsampling, still with a wide range of possibilities and ensuing efficiencies. (The choice found in the application is somehow anticlimactic in this respect.) In most ABC applications, I would suggest using a quick & dirty approximation of the distribution of the summary statistic.

A slight point of perplexity about this “lazy” proposal, namely the static role of ε, which is impractical because not set in stone… As discussed several times here, the tolerance is a function of many factors incl. all the calibration parameters of the lazy ABC, rather than an absolute quantity. The paper is rather terse on this issue (see Section 4.2.2). It seems to me that playing with a large collection of tolerances may be too costly in this setting.

## ¼th i-like workshop in St. Anne’s College, Oxford

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , on March 27, 2014 by xi'an

Due to my previous travelling to and from Nottingham for the seminar and back home early enough to avoid the dreary evening trains from Roissy airport (no luck there, even at 8pm, the RER train was not operating efficiently!, and no fast lane is planed prior to 2023…), I did not see many talks at the i-like workshop. About ¼th, roughly… I even missed the poster session (and the most attractive title of Lazy ABC by Dennis Prangle) thanks to another dreary train ride from Derby to Oxford.

After a few discussions on and around research topics, it was too soon time to take advantage of the grand finale of a March shower to walk from St. Anne’s College to Oxford Station, in order to start the trip back home. I was lucky enough to find a seat and could start experimenting in R the new idea my trip to Nottingham had raised! While discussing a wee bit with my neighbour, a delightful old lady from the New Forest travelling to Coventry, recovering from a brain seizure, wondering about my LaTeX code syntax despite the tiny fonts, and who most suddenly popped a small screen from her bag to start playing Candy Crush!, apologizing all the same. The overall trip was just long enough for my R code to validate this idea of mine, making this week in England quite a profitable one!!!

## i-like Oxford [workshop, March 20-21, 2014]

Posted in Statistics, Travel, University life with tags , , , , , on February 5, 2014 by xi'an

There will be another i-like workshop this Spring, over two days in Oxford, St Anne’s College, involving talks by Xiao-Li Meng and Eric Moulines, as well as by researchers from the participating universities. Registration is now open. (I will take part as a part-time participant, travelling from Nottingham where I give a seminar on the 20th.)

## OxWaSP (The Oxford-Warwick Statistics Programme)

Posted in Kids, Statistics, University life with tags , , , , , , on January 21, 2014 by xi'an

This is an official email promoting OxWaSP, our joint doctoral training programme, which I [objectively] think is definitely worth considering if planning a PhD in Statistics. Anywhere.

The Statistics Department – University of Oxford and the Statistics Department – University Of Warwick, supported by the EPSRC, will run a joint Centre of Doctoral Training in the theory, methods and applications of Statistical Science for 21st Century data-intensive environments and large-scale models. This is the first centre of its type in the World and will equip its students to work in an area in growing demand both in academia and industry.

Each year from October 2014 OxWaSP will recruit at least 5 students attached to Warwick and at least 5 attached to Oxford. Each student will be funded with a grant for four years of study. Students spend the first year at Oxford developing advanced skills in statistical science. In the first two terms students are given research training through modular courses: Statistical Inference in Complex Models; Multivariate Stochastic Processes; Bayesian Analyses for Complex Structural Information; Machine Learning and Probabilistic Graphical Models; Stochastic Computation for Intractable Inference. In the third term, students carry out two small research projects. At the end of year 1, students begin a three-year research project with a chosen supervisor, five continuing at Oxford and five moving to the University of Warwick.

Training in years 2-4 includes annual retreats, workshops and a research course in machine learning at Amazon (Berlin). There are funded opportunities for students to work with our leading industrial partners and to travel in their third year to an international summer placement in some of the strongest Statistics groups in the USA, Europe and Asia including UC Berkeley, Columbia University, Duke University, the University of Washington in Seattle, ETH Zurich and NUS Singapore.

Applications will be considered in gathered fields with the next deadline of 24 January 2014 (Non-EU applicants should apply by this date to maximise their chance of funding). Interviews for successful applicants who submit by the January deadline will take place at the end of February 2014. There will be a second deadline for applications at the end of February (Warwick) and 14th March (Oxford).