JSM 2018 [#3]

Third day at JSM2018 and the audience is already much smaller than the previous days! Although it is hard to tell with a humongous conference centre spread between two buildings. And not getting hooked by the tantalising view of the bay, with waterplanes taking off every few minutes…

Still, there were (too) few participants in the two computational statistics (MCMC) sessions I attended in the morning, the first one being organised by James Flegal on different assessments of MCMC convergence. (Although this small audience made the session quite homely!) In his own talk, James developed an interesting version of multivariate ESS that he related with a stopping rule for minimal precision. Vivek Roy also spoke about a multiple importance sampling construction I missed when it came upon on arXiv last May.

In the second session, Mylène Bédard exposed the construction of and improvement brought by local scaling in MALA, with 20% gain from using non-local tuning. Making me idle muse over whether block sizes in block-Gibbs sampling could also be locally optimised… Then Aaron Smith discussed how HMC should be scaled for optimal performances, under rather idealised conditions and very high dimensions. Mentioning a running time of d, the dimension, to the power ¼. But not addressing the practical question of calibrating scale versus number of steps in the discretised version. (At which time my hands were [sort of] frozen solid thanks to the absurd air conditioning in the conference centre and I had to get out!)

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