**A **fairly good race in Argentan, despite (relatively) hot weather that saw the winning time increase by two minutes and a half. (Last year’s winner actually lost 3 and half minutes on the same track). Gaining 18 seconds over my time from last year was thus a significant achievement. This was my 17th—or 18th including one I ran on my own as it had been cancelled—Argentan half-marathon. The first half [of the half] was a bit unpleasant under the relentless sun, and each wee slope made me miss my 3:52 kilometre goal. But very few runners passed me for good after the 5th kilometre and reaching the forest part was a blessing, providing shade and cool. A single runner passed me there, although I had not slowed down, and I did not realise it was another runner in my V2 category as I could have tried to keep up. The last kilometres were indeed much smoother than in previous, thanks to a change in my training where I increased the number of long distance trainings. And presumable thanks to the previous week abroad when I trained twice a day. Anyway, I was still surprised to end up as the second V2, 15 seconds from both the first and third V2 runners. Which got me a nice Timex watch as a reward! And a pretty ugly cup… [Thanks again and again to the photographs of Normandiecourseapied for their free pictures!]

## Archive for the pictures Category

## Argentan half-marathon [1 24′ 46″ – 22/496 – V2: 2/116 – 17°C]

Posted in pictures, Running with tags Argentan, cup, half-marathon, Normandy, race, Timex, veteran (V2) on October 5, 2015 by xi'an## Banff snapshot [#3]

Posted in pictures, Travel with tags Alberta, Banff, Banff Centre, BIRS, Canada, Canadian Rockies, Fall on October 4, 2015 by xi'an## importance sampling with multiple MCMC sequences

Posted in Mountains, pictures, Statistics, Travel, University life with tags adaptive MCMC, Ames, AMIS, Amsterdam, Charlie Geyer, importance sampling, Iowa, MCMC, Monte Carlo Statistical Methods, normalising constant, splitting data on October 2, 2015 by xi'an**V**ivek Roy, Aixian Tan and James Flegal arXived a new paper, Estimating standard errors for importance sampling estimators with multiple Markov chains, where they obtain a central limit theorem and hence standard error estimates when using several MCMC chains to simulate from a mixture distribution as an importance sampling function. Just before I boarded my plane from Amsterdam to Calgary, which gave me the opportunity to read it completely (along with half a dozen other papers, since it is a long flight!) I first thought it was connecting to our AMIS algorithm (on which convergence Vivek spent a few frustrating weeks when he visited me at the end of his PhD), because of the mixture structure. This is actually altogether different, in that a mixture is made of unnormalised complex enough densities, to act as an importance sampler, and that, due to this complexity, the components can only be simulated via separate MCMC algorithms. Behind this characterisation lurks the challenging problem of estimating multiple normalising constants. The paper adopts the resolution by reverse logistic regression advocated in Charlie Geyer’s famous 1994 unpublished technical report. Beside the technical difficulties in establishing a CLT in this convoluted setup, the notion of mixing importance sampling and different Markov chains is quite appealing, especially in the domain of “tall” data and of splitting the likelihood in several or even many bits, since the mixture contains most of the information provided by the true posterior and can be corrected by an importance sampling step. In this very setting, I also think more adaptive schemes could be found to determine (estimate?!) the optimal weights of the mixture components.

## a simulated annealing approach to Bayesian inference

Posted in Books, pictures, Statistics, University life with tags ABC, ABC-MCMC, ABC-SMC, Bayesian Analysis, endoreversibility, mixture, Monte Carlo Statistical Methods, particle system, sequential Monte Carlo, simulated annealing, Switzerland on October 1, 2015 by xi'an **A** misleading title if any! Carlos Albert arXived a paper with this title this morning and I rushed to read it. Because it sounded like Bayesian analysis could be expressed as a special form of simulated annealing. But it happens to be a rather technical sequel [“that complies with physics standards”] to another paper I had missed, A simulated annealing approach to ABC, by Carlos Albert, Hans Künsch, and Andreas Scheidegger. Paper that appeared in Statistics and Computing last year, and which is most interesting!

“These update steps are associated with a flow of entropy from the system (the ensemble of particles in the product space of parameters and outputs) tothe environment. Part of this flow is due to the decrease of entropy in the system when it transforms from the prior to the posterior state and constitutes the well-invested part of computation. Since the process happens in finite time, inevitably, additional entropy is produced. This entropy production is used as a measure of the wasted computation and minimized, as previously suggested for adaptive simulated annealing” (p.3)

The notion behind this simulated annealing intrusion into the ABC world is that the choice of the tolerance can be adapted along iterations according to a simulated annealing schedule. Both papers make use of thermodynamics notions that are completely foreign to me, like endoreversibility, but aim at minimising the “entropy production of the system, which is a measure for the waste of computation”. The central innovation is to introduce an augmented target on (θ,x) that is

f(x|θ)π(θ)exp{-ρ(x,y)/ε},

where ε is the tolerance, while ρ(x,y) is a measure of distance to the actual observations, and to treat ε as an annealing temperature. In an ABC-MCMC implementation, the acceptance probability of a random walk proposal (θ’,x’) is then

exp{ρ(x,y)/ε-ρ(x’,y)/ε}∧1.

Under some regularity constraints, the sequence of targets converges to

π(θ|y)exp{-ρ(x,y)},

if ε decreases slowly enough to zero. While the representation of ABC-MCMC through kernels other than the Heaviside function can be found in the earlier ABC literature, the embedding of tolerance updating within the modern theory of simulated annealing is rather exciting.

“

Furthermore, we will present an adaptive schedule that attempts convergence to the correct posterior while minimizing the required simulations from the likelihood. Both the jump distribution in parameter space and the tolerance are adapted using mean fields of the ensemble.” (p.2)

What I cannot infer from a rather quick perusal of the papers is whether or not the implementation gets into the way of the all-inclusive theory. For instance, how can the Markov chain keep moving as the tolerance gets to zero? Even with a particle population and a sequential Monte Carlo implementation, it is unclear why the proposal scale factor [as in equation (34)] does not collapse to zero in order to ensure a non-zero acceptance rate. In the published paper, the authors used the same toy mixture example as ours [from Sisson et al., 2007], where we earned the award of the “incredibly ugly squalid picture”, with improvements in the effective sample size, but this remains a toy example. *(Hopefully a post to be continued in more depth…)*

## Je reviendrai à Montréal [NIPS 2015]

Posted in pictures, Statistics, Travel, University life with tags ABC, ABC in Montréal, Approximate Bayesian computation, Bayesian inference, Canada, MCMC, Monte Carlo integration, Monte Carlo Statistical Methods, Montréal, NIPS, NIPS 2015, probabilistic numerics, Québec, Robert Charlebois, scalability on September 30, 2015 by xi'an**I** will be back in Montréal, as the song by Robert Charlebois goes, for the NIPS 2015 meeting there, more precisely for the workshops of December 11 and 12, 2015, on probabilistic numerics and ABC [à Montréal]. I was invited to give the first talk by the organisers of the NIPS workshop on probabilistic numerics, presumably to present a contrapuntal perspective on this mix of Bayesian inference with numerical issues, following my somewhat critical posts on the topic. And I also plan to attend some lectures in the (second) NIPS workshop on ABC methods. Which does not leave much free space for yet another workshop on Approximate Bayesian Inference! The day after, while I am flying back to London, there will be a workshop on scalable Monte Carlo. All workshops are calling for contributed papers to be presented during central poster sessions. To be submitted to abcinmontreal@gmail.com and to probnum@gmail.com and to aabi2015. Before October 16.

Funny enough, I got a joking email from Brad, bemoaning my traitorous participation to the workshop on probabilistic numerics because of its “anti-MCMC” agenda, reflected in the summary:

“Integration is the central numerical operation required for Bayesian machine learning (in the form of marginalization and conditioning). Sampling algorithms still abound in this area, although it has long been known that Monte Carlo methods are fundamentally sub-optimal. The challenges for the development of better performing integration methods are mostly algorithmic. Moreover, recent algorithms have begun to outperform MCMC and its siblings, in wall-clock time, on realistic problems from machine learning.

The workshop will review the existing, by now quite strong, theoretical case against the use of random numbers for integration, discuss recent algorithmic developments, relationships between conceptual approaches, and highlight central research challenges going forward.”

Position that I hope to water down in my talk! In any case,

Je veux revoir le long désert

Des rues qui n’en finissent pas

Qui vont jusqu’au bout de l’hiver

Sans qu’il y ait trace de pas

## melting hot!

Posted in Kids, pictures, Travel with tags coffee, cosmic microwave background, physics, Seattle, Starbucks on September 29, 2015 by xi'an**D**espite majoring in her Physics class last year, my daughter forgot that microwaves are not very friendly to metal objects. Like this coffee tumbler I had brought back from Seattle, albeit not from Starbucks. The plastic part melted really well, even though the microwave oven resisted the experiment… And the coffee inside as well.