Bayes 250 in Durham

Reproducing an email from ISBA (sorry about the confusion purposely created by the title, this is Durham, North Carolina, not Durham, England, just as the London in Bayes 250 in London was London, England, not London, Ontario!):

ISBA announces a special celebration of the 250th anniversary of the presentation (December 23, 1763) of Thomas Bayes’ seminal paper “An Essay towards solving a Problem in the Doctrine of Chances” that will be held at Duke University in conjunction with the O-Bayes 13 Workshop (December 15-19) and EFab@ Bayes250 Workshop (December 15-17). (I am part of the scientific committee for O-Bayes 13!)

Speakers for the anniversary celebration are legendary contributors to the Bayesian literature, spanning a range of fields:

• Stephen Fienberg, Carnegie-Mellon University
• Michael Jordan, University of California, Berkeley
• Christopher Sims, Princeton University
• Adrian Smith, University of London
• Stephen Stigler, University of Chicago

There will be a banquet in the evening, with a speech by Sharon Bertsch McGrayne, noted author of the popular book “The Theory That Would Not Die: How Bayes’ Rule Cracked the Enigma Code, Hunted Down Russian Submarines and Emerged Triumphant From Two Centuries of Controversy.”

off to Florida

Today I am off (again!) to Florida, taking part in the Winter Workshop at the University of Florida, Gainesville. The theme this year is New Directions in Monte Carlo Methods. I am quite excited to meet again with many old friends (this almost sounds like a rehearsal for MCMSki 4!), but also sad that George Casella who would have been my oldest friend there will be missing. Dearly missing and missed. At the same time, I appreciate that this workshop gives me the opportunity to meet at last with George’s family (with whom I share so many memories) and his colleagues at UFL. I am sure we will have plenty of pizzas, wine(s), and laughs in remembrance of the numerous good times we all had with George. And I will run the streets we ran together, quite a while ago…

ICERM, Brown, Providence, RI (#3)

Just yet another perfect day in Providence! Especially when I thought it was going to be a half-day: After a longer and slightly warmer run in the early morning around the peninsula, I attended the lecture by Eric Moulines on his recent results on adaptive MCMC and the equi-energy sampler. At this point, we were told that, since Peter Glynn was sick, the afternoon talks were drifted forward. This meant that I could attend Mylène Bédard’s talk in the morning and most of Xiao-Li Meng’s talk, before catching my bus to the airport, making it a full day in the end!

The research presented by Mylène (and coauthored with Randal Douc and Eric Moulines) was on multiple-try MCMC and delayed-rejection MCMC, with optimal scaling results and a comparison of the efficiency of those involved schemes. I had not seen the work before and got quite impressed by the precision of the results and the potential for huge efficiency gains. One of the most interesting tricks was to use an antithetic move for the second step, considerably improving the acceptance rate in the process. An aside exciting point was to realise that the hit-and-run solution was also open to wide time-savings thanks to some factorisation.

While Xiao-Li’s talk had connections with his earlier illuminating talk in New York last year, I am quite desolate to have missed [the most novel] half of it (and still caught my bus by a two minute margin!), esp. because it connected beautifully with the constant estimation controverse! Indeed, Xiao-Li started his presentation with the pseudo-paradox that the likelihood cannot be written as a function of the normalising constant, simply because this is not a free parameter. He then switched to his usual theme that the dominating measure was to be replaced with a substitute and estimated.The normalising constant being a function of the dominating measure, it is a by-product of this estimation step. And can even be endowed within a Bayesian framework. Obviously, one can always argue against the fact that the dominating measure is truly unknown, however this gives a very elegant safe-conduct to escape the debate about the constant that did not want to be estimated…So to answer Xiao-Li’s question as I was leaving the conference room, I have now come to a more complete agreement with his approach. And think further advances could be contemplated along this path…

ICERM, Brown, Providence, RI (#2)

Just another perfect day in Providence! After a brisk run in the eearly morning which took me through Brown campus, I attended the lecture by Sean Meyn on feedback particle filters. As it was mostly on diffusions with control terms, just too far from my field, I missed most of the points. (My fault, not Sean’s!) Then Ramon von Handel gave a talk about the curse(s) of dimensionality in particle filters, much closer to my interests, with a good summary of why (optimal) filters were not suffering from a curse in n, the horizon size, but in d, the dimension of the space, followed by an argument that some degree of correlation decay could overcome this dimensional curse as well. After the lunch break (where I thought further about the likelihood principle!), Dana Randall gave a technical talk on mixing properties of the hardcore model on Z² and bounding the cutoff parameter, which is when I appreciated the ability to follow talks from the ICERM lounge, watching slides and video of the talk taking place on the other side of the wall! At last, and in a programming contrapoint from slowly mixing to fastest mixing, Jim Fill presented his recent work on ordering Markov chains and finding fastest-mixing chains, which of course reminded me of Peskun ordering although there may be little connection in the end. The poster session in the evening had sufficiently few posters to make the discussion with each author enjoyable and relevant.A consistent feature of the meeting thus, allowing for quality interacting time between participants. I am now looking forward the final day with a most intriguing title by my friend Eric Moulines on TBA…

ICERM, Brown, Providence, RI (#0)

I have just arrived in Providence, RI, for the ICERM workshop on Performance Analysis of Monte Carlo Methods. While the plane trip was uneventful and even relaxing, as I could work on the revision to our ABCel (soon to be BCel!) paper, the bus trip from Boston to Providence, while smooth, quiet, wirelessed, and on-time, was a wee too much as it was already late for my standards… Anyway, I am giving one of the talks tomorrow, with a pot-pourri on ABC and empirical likelihood as in Ames and Chicago last month. The format of the workshop sounds very nice, with only four talks a day, which should leave a lot of space for interactions between participants (if I do not crash from my early early rise…) And, as mentioned earlier, I am looking forward visiting the futuristic building.