Banff workshop [BIRS 12w5105 meeting [#3]]

As I left Banff in the early afternoon of Thursday, I only attended the morning session of the BIRS 12w5105 workshop (just like yesterday since there was a free afternoon!). Yesterday morning, Gareth Roberts gave a brilliant talk on importance sampling for diffusions, explaining why he could use importance functions that were not absolutely continuous wrt the target distribution. I also like Jun Liu’s talk on sequential Monte Carlo. This idea of using partial or controlled rejection sampling is quite interesting indeed, even though I always wonder at why rejection is at all necessary since it introduces extra (white?) noise… Rao-Blackwellised solutions, as mentioned by Jun, should be more efficient. An issue certainly not fit for an airport lounge! This morning, the first talk by Hélène Massam was also close to my interests, since it dealt simultaneously with model choice and Bayes factors and their limit as the prior becomes improper and graphical models… I should read the recent work of Hélène on this. Her talk also mentioned the issue of computing simultaneously thousands of Bayes factors, a good challenge (even though ABC seems ill-fitted to the task). Jim Hobert gave the last talk of the morning on geometric convergence and its verification by construction a potential function: as usual, Jim’s slides were fantastically pedagogical, make sure to watch them! I am very much sorry to have missed the three afternoon talks, but will watch them over the weekend, thanks to this new incredible feature of BIRS where all videos are now on-line.

Overall, this week at BIRS, staying at the Banff Centre, and doing mountaineering, has been exhilarating if exhausting! The incredible conditions offered by the Centre go beyond the reasonable and it takes alas little time to get used to them, from the sport facilities, with my very early morning swim (6am), to the superb Sally Borden cafetaria, to the auditorium in the TransCanada Pipeline Pavilion with its video-recording facilities, and I am only sorry I could not find a climbing partner to enjoy the indoor climbing wall! Scientifically speaking, the structure of the meeting allowed for intense exchanges (even though I did not exploit those to their full extent, due to my early bedtime, trying to keep on French time, a habit which allowed me to review Pierre Simon Laplace’s book, Théorie Analytique des Probabilités, over the week, during the wee hours of the morning…, but also led to almost sure micro-naps during the talks…!)