Posted in Books, Kids, pictures, Travel with tags , , , , , , , on October 22, 2017 by xi'an

As our son is doing an internship in Luxembourg City this semester, we visited him last weekend and took the opportunity to visit the Museum of Modern Art (or MUDAM) there. The building itself is quite impressive, inserted in the walls of the 18th Century Fort Thüngen designed by Vauban, with a very luminous and airy building designed by Ming Pei. The main exhibit at the MUDAM is a coverage of the work on Su-Mei Tse, an artist from Luxembourg I did not know but whom vision I find both original and highly impressive, playing on scales and space, from atoms to planets… With connections to Monet’s nympheas. And an almost raw rendering of rock forms that I appreciate most particularly!

The bottom floor also contains an extensive display of the political drawings of Ad Reinhardt, who is more (?) famous for his black-on-black series…

end of my dream! [aka no free lunch]

Posted in pictures with tags , , , , , , , on October 21, 2017 by xi'an

In June, last June, I received a collection of nominal tickets for the National Theatre next door, Les Gémeaux, which animates a rich and diverse scene, attracting to my suburb spectators from all over Paris. Scene that I do not attend as much as I would like, except for a few contemporary dance shows now and then… As I had not ordered these tickets, I was rather pleasantly surprised and wondered at the source of this princely gift, ruling out close family and anonymous sponsors! And the size of it was way too much for a commercial teaser. The most likely explanation was thus a mistake send to the wrong X. Nonetheless, being at home for the first concert, I went to check whether or not my allotted seats were occupied. And unsurprisingly they were. (I did not push the cheek as far as engaging into a discussion with my homonym!) Missing an Austrian theme with Mozart and Haydn. (But I have regular tickets for ext weekend!)

Les Rouquins

Posted in pictures, University life, Wines with tags , , , , , , , on October 20, 2017 by xi'an

WBIC, practically

Posted in Statistics with tags , , , , , , , , , on October 20, 2017 by xi'an

“Thus far, WBIC has received no more than a cursory mention by Gelman et al. (2013)”

I had missed this 2015  paper by Nial Friel and co-authors on a practical investigation of Watanabe’s WBIC. Where WBIC stands for widely applicable Bayesian information criterion. The thermodynamic integration approach explored by Nial and some co-authors for the approximation of the evidence, thermodynamic integration that produces the log-evidence as an integral between temperatures t=0 and t=1 of a powered evidence, is eminently suited for WBIC, as the widely applicable Bayesian information criterion is associated with the specific temperature t⁰ that makes the power posterior equidistant, Kullback-Leibler-wise, from the prior and posterior distributions. And the expectation of the log-likelihood under this very power posterior equal to the (genuine) evidence. In fact, WBIC is often associated with the sub-optimal temperature 1/log(n), where n is the (effective?) sample size. (By comparison, if my minimalist description is unclear!, thermodynamic integration requires a whole range of temperatures and associated MCMC runs.) In an ideal Gaussian setting, WBIC improves considerably over thermodynamic integration, the larger the sample the better. In more realistic settings, though, including a simple regression and a logistic [Pima Indians!] model comparison, thermodynamic integration may do better for a given computational cost although the paper is unclear about these costs. The paper also runs a comparison with harmonic mean and nested sampling approximations. Since the integral of interest involves a power of the likelihood, I wonder if a safe version of the harmonic mean resolution can be derived from simulations of the genuine posterior. Provided the exact temperature t⁰ is known…

tramonto in Venezia [jatp]

Posted in pictures, Running, Travel with tags , , , , , , on October 19, 2017 by xi'an

Langevin on a wrong bend

Posted in Books, Statistics with tags , , , , , , , on October 19, 2017 by xi'an

Arnak Dalayan and Avetik Karagulyan (CREST) arXived a paper the other week on a focussed study of the Langevin algorithm [not MALA] when the gradient of the target is incorrect. With the following improvements [quoting non-verbatim from the paper]:

  1. a varying-step Langevin that reduces the number of iterations for a given Wasserstein precision, compared with recent results by e.g. Alan Durmus and Éric Moulines;
  2. an extension of convergence results for error-prone evaluations of the gradient of the target (i.e., the gradient is replaced with a noisy version, under some moment assumptions that do not include unbiasedness);
  3. a new second-order sampling algorithm termed LMCO’, with improved convergence properties.

What is particularly interesting to me in this setting is the use in all these papers of a discretised Langevin diffusion (a.k.a., random walk with a drift induced by the gradient of the log-target) without the original Metropolis correction. The results rely on an assumption of [strong?] log-concavity of the target, with “user-friendly” bounds on the Wasserstein distance depending on the constants appearing in this log-concavity constraint. And so does the adaptive step. (In the case of the noisy version, the bias and variance of the noise also matter. As pointed out by the authors, there is still applicability to scaling MCMC for large samples. Beyond pseudo-marginal situations.)

“…this, at first sight very disappointing behavior of the LMC algorithm is, in fact, continuously connected to the exponential convergence of the gradient descent.”

The paper concludes with an interesting mise en parallèle of Langevin algorithms and of gradient descent algorithms, since the convergence rates are the same.

unusual view of my office [jatp]

Posted in pictures, Travel with tags , , , , , , , , on October 18, 2017 by xi'an