Archive for WSC 2012

MCqMC 2014 [closup]

Posted in pictures, Running, Statistics, Travel, University life, Wines with tags , , , , , , , on April 16, 2014 by xi'an

Leuven6As mentioned earlier, this was my very first MCqMC conference and I really enjoyed it, even though (or because) there were many topics that did not fall within my areas of interest. (By comparison, WSC is a serie of conferences too remote from those areas for my taste, as I realised in Berlin where we hardly attended any talk and hardly anyone attended my session!) Here I appreciated the exposure to different mathematical visions on Monte Carlo, without being swamped by applications as at WSC… Obviously, our own Bayesian computational community was much less represented than at, say, MCMSki! Nonetheless, I learned a lot during this conference for instance from Peter Glynn‘s fantastic talk, and I came back home with new problems and useful references [as well as a two-hour delay in the train ride from Brussels]. I also obviously enjoyed the college-town atmosphere of Leuven, the many historical landmarks  and the easily-found running routes out of the town. I am thus quite eager to attend the next MCqMC 2016 meeting (in Stanford, an added bonus!) and even vaguely toying with the idea of organising MCqMC 2018 in Monaco (depending on the return for ISBA 2016 and ISBA 2018). In any case, thanks to the scientific committee for the invitation to give a plenary lecture in Leuven and to the local committee for a perfect organisation of the meeting.

Denkmal für die ermordeten Juden Europas, Berlin

Posted in pictures, Travel with tags , , , on December 13, 2012 by xi'an

Denkmal für die ermordeten Juden Europas, Berlin, Dec. 10, 2012. This time, the analogy with the jewish cemetery on the Mount of Olives struck me as obvious.

WSC 2012, Berlin

Posted in pictures, Running, Travel, University life with tags , , , , , , , on December 13, 2012 by xi'an

Berliner Dom, from Schoßplatz, Berlin, Dec. 10, 2012For once, while being away at a conference (WSC 2012), I will not be reporting on every day and session, for the simple reason I attended very few sessions and have therefore little to report! Last year in Phoenix, I had already resented a certain difficulty to relate with most of the talks and felt it unprofitable to attend most sessions, except those organised by Pierre Lécuyer and co-authors. This year, the pervasive combination of snowed-in Berlin, of a nice rental apartment (five time cheaper than the fancy Intercontinental), shared with Jean-Michel Marin whose inputs on the book were way overdue, of the distance to the Intercontinental, and of moderately exciting sessions meant that we spent most of the conference closeted in this apartment in Schöneberg, except for a quick stroll on Unter den Linden and for the inaugural conference by Stefan Rahmstorf on climate change (whose contents were surely worth broadcasting, although mildly related with simulation), a session on rare event simulation, and the session I organised on Monte Carlo Methods in Statistics (same title as the special issue of TOMACS, not coincidentally!). Actually, the feeling was mutual, apparently!, as our session attracted very few WSC 2012 attendees, a shame when considering the three great talks delivered by Anthony Lee, Jean-Michel Marin, and Nial Friel. To wit, Anthony talked about several scenarios for running ABC (see my earlier post of yesterday), Jean-Michel explained the tolerance selection developed in our recent paper, and Nial Friel discussed an on-going project dealing with composite likelihood in Gibbs random fields, a topic obviously close to my interests and the just accepted PNAS paper!

Special Issue of ACM TOMACS on Monte Carlo Methods in Statistics

Posted in Books, R, Statistics, University life with tags , , , , , , , , , , , , on December 10, 2012 by xi'an

As posted here a long, long while ago, following a suggestion from the editor (and North America Cycling Champion!) Pierre Lécuyer (Université de Montréal), Arnaud Doucet (University of Oxford) and myself acted as guest editors for a special issue of ACM TOMACS on Monte Carlo Methods in Statistics. (Coincidentally, I am attending a board meeting for TOMACS tonight in Berlin!) The issue is now ready for publication (next February unless I am confused!) and made of the following papers:

* Massive parallelization of serial inference algorithms for a complex generalized linear model
MARC A. SUCHARD, IVAN ZORYCH, PATRICK RYAN, DAVID MADIGAN
*Convergence of a Particle-based Approximation of the Block Online Expectation Maximization Algorithm
SYLVAIN LE CORFF and GERSENDE FORT
* Efficient MCMC for Binomial Logit Models
AGNES FUSSL, SYLVIA FRÜHWIRTH-SCHNATTER, RUDOLF FRÜHWIRTH
* Adaptive Equi-Energy Sampler: Convergence and Illustration
AMANDINE SCHRECK and GERSENDE FORT and ERIC MOULINES
* Particle algorithms for optimization on binary spaces
CHRISTIAN SCHÄFER
* Posterior expectation of regularly paved random histograms
RAAZESH SAINUDIIN, GLORIA TENG, JENNIFER HARLOW, and DOMINIC LEE
* Small variance estimators for rare event probabilities
MICHEL BRONIATOWSKI and VIRGILE CARON
* Self-Avoiding Random Dynamics on Integer Complex Systems
FIRAS HAMZE, ZIYU WANG, and NANDO DE FREITAS
* Bayesian learning of noisy Markov decision processes
SUMEETPAL S. SINGH, NICOLAS CHOPIN, and NICK WHITELEY

Here is the draft of the editorial that will appear at the beginning of this special issue. (All faults are mine, of course!) Continue reading

Reuven Rubinstein (1938-2012)

Posted in Statistics with tags , , , , , , , , on December 10, 2012 by xi'an

I just learned last night that Professor Reuven Rubinstein passed away. While I was not a close collaborator of him, I met Reuven Rubinstein a few times at conferences and during a short visit to Paris, and each time learned from the encounter. I also appreciated his contributions to the field of simulation, esp. his cross-entropy method that culminated in the book The Cross-Entropy Method with Dirk Kroese. Reuven was involved in many aspects of simulation along his prolific career, he will be especially remembered for his 1981 book Simulation and the Monte Carlo Method that is arguably the very first book on simulation as a Monte Carlo method. This book had a recent second edition, co-authored with Dirk Kroese as well. It is thus quite a sad day to witness this immense contributor to the field leave us. (Here is a link to his webpage at Technion, including pictures of a trip to the Gulag camp where he spent most of his childhood.) I presume there will be testimonies about his influence at the WSC 2012 conference here in Berlin.

nach Berlin! [WSC 2012]

Posted in Running, Statistics, Travel, University life with tags , , , on December 9, 2012 by xi'an

Berliner Dom, July 01, 2011I am off to Berlin this afternoon with Jean-Michel Marin to attend the Winter SImulation Conference (WSC 2012). I hope I can go running around the nearby Tiergarten despite the sub-zero temperatures…(I am also of course looking forward the Monte Carlo sessions of the conference. And am curious at how well attended it will be for its first trip outside North-America.)

WSC [2]011

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , on December 15, 2011 by xi'an

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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