Archive for the University life Category

Kamiltonian Monte Carlo [no typo]

Posted in Books, Statistics, University life with tags , , , , , , , , , , on June 29, 2015 by xi'an

kamilHeiko Strathmann, Dino Sejdinovic, Samuel Livingstone, Zoltán Szabó, and Arthur Gretton arXived a paper last week about Kamiltonian MCMC, the K being related with RKHS. (RKHS as in another KAMH paper for adaptive Metropolis-Hastings by essentially the same authors, plus Maria Lomeli and Christophe Andrieu. And another paper by some of the authors on density estimation via infinite exponential family models.) The goal here is to bypass the computation of the derivatives in the moves of the Hamiltonian MCMC algorithm by using a kernel surrogate. While the genuine RKHS approach operates within an infinite exponential family model, two versions are proposed, KMC lite with an increasing sequence of RKHS subspaces, and KMC finite, with a finite dimensional space. In practice, this means using a leapfrog integrator with a different potential function, hence with a different dynamics.

The estimation of the infinite exponential family model is somewhat of an issue, as it is estimated from the past history of the Markov chain, simplified into a random subsample from this history [presumably without replacement, meaning the Markovian structure is lost on the subsample]. This is puzzling because there is dependence on the whole past, which cancels ergodicity guarantees… For instance, we gave an illustration in Introducing Monte Carlo Methods with R [Chapter 8] of the poor impact of approximating the target by non-parametric kernel estimates. I would thus lean towards the requirement of a secondary Markov chain to build this kernel estimate. The authors are obviously aware of this difficulty and advocate an attenuation scheme. There is also the issue of the cost of a kernel estimate, in O(n³) for a subsample of size n. If, instead, a fixed dimension m for the RKHS is selected, the cost is in O(tm²+m³), with the advantage of a feasible on-line update, making it an O(m³) cost in fine. But again the worry of using the whole past of the Markov chain to set its future path…

Among the experiments, a KMC for ABC that follows the recent proposal of Hamiltonian ABC by Meeds et al. The arguments  are interesting albeit sketchy: KMC-ABC does not require simulations at each leapfrog step, is it because the kernel approximation does not get updated at each step? Puzzling.

I also discussed the paper with Michael Betancourt (Warwick) and here his comments:

“I’m hesitant for the same reason I’ve been hesitant about algorithms like Bayesian quadrature and GP emulators in general. Outside of a few dimensions I’m not convinced that GP priors have enough regularization to really specify the interpolation between the available samples, so any algorithm that uses a single interpolation will be fundamentally limited (as I believe is born out in non-trivial scaling examples) and trying to marginalize over interpolations will be too awkward.

They’re really using kernel methods to model the target density which then gives the gradient analytically. RKHS/kernel methods/ Gaussian processes are all the same math — they’re putting prior measures over functions. My hesitancy is that these measures are at once more diffuse than people think (there are lots of functions satisfying a given smoothness criterion) and more rigid than people think (perturb any of the smoothness hyper-parameters and you get an entirely new space of functions).

When using these methods as an emulator you have to set the values of the hyper-parameters which locks in a very singular definition of smoothness and neglects all others. But even within this singular definition there are a huge number of possible functions. So when you only have a few points to constrain the emulation surface, how accurate can you expect the emulator to be between the points?

In most cases where the gradient is unavailable it’s either because (a) people are using decades-old Fortran black boxes that no one understands, in which case there are bigger problems than trying to improve statistical methods or (b) there’s a marginalization, in which case the gradients are given by integrals which can be approximated with more MCMC. Lots of options.”

art brut

Posted in University life, Travel, pictures with tags , , , on June 28, 2015 by xi'an


Introduction to Monte Carlo methods with R and Bayesian Essentials with R

Posted in Books, R, Statistics, University life with tags , , , , , , on June 26, 2015 by xi'an

sales1Here are the  download figures for my e-book with George as sent to me last week by my publisher Springer-Verlag.  With an interesting surge in the past year. Maybe simply due to new selling strategies of the published rather to a wider interest in the book. (My royalties have certainly not increased!) Anyway thanks to all readers. As an aside for wordpress wannabe bloggers, I realised it is now almost impossible to write tables with WordPress, another illustration of the move towards small-device-supported blogs. Along with a new annoying “simpler” (or more accurately dumber) interface and a default font far too small for my eyesight. So I advise alternatives to wordpress that are more sympathetic to maths contents (e.g., using MathJax) and comfortable editing.

salesBessAnd the same for the e-book with Jean-Michel, which only appeared in late 2013. And contains more chapters than Introduction to Monte Carlo methods with R. Incidentally, a reader recently pointed out to me the availability of a pirated version of The Bayesian Choice on a Saudi (religious) university website. And of a pirated version of Introducing Monte Carlo with R on a Saõ Paulo (Brazil) university website. This may be alas inevitable, given the diffusion by publishers of e-chapters that can be copied with no limitations…

another borderline conference

Posted in Kids, University life with tags , , , , , , on June 25, 2015 by xi'an

Following yesterday’s surprise at the unpleasant conference business run by WASET, I was once again confronted today with conference fees that sound like an unacceptable siphoning of research funds and public money. One of my PhD students got earlier personally invited to present a talk at EUSIPCO 2015, a European signal processing conference taking place in Nice next September and she accepted the invitation. Now, contrary to yesterday’s example, this EUSIPCO 2015 is a genuine conference sponsored by several European signal processing societies. From what I understand, speakers and poster presenters must submit papers that are reviewed and then published in the conference proceedings, part of the IEEE Xplore on-line digital library (impact factor of 0.04). As the conference is drawing near, my student is asked to register and is “reminded” of small prints in the conference rules, namely that “at least one author per paper must register by June 19, 2015 at the full rate”, student or not student, which means a 300€ difference in the fees and has absolutely no justification whatsoever since the papers are only processed electronically…

eupiscoI checked across a few of the past editions of EUSIPCO and the same rip-off rule applies to those as well. I see no rational explanation for this rule that sounds like highway robbery and leads to the de facto exclusion of students from conferences… In fine, my student withdrew her paper and participation at EUSIPCO.

Bayesian computation: a summary of the current state, and samples backwards and forwards

Posted in Books, Statistics, University life with tags , , , , , , , , on June 25, 2015 by xi'an

“The Statistics and Computing journal gratefully acknowledges the contributions for this special issue, celebrating 25 years of publication. In the past 25 years, the journal has published innovative, distinguished research by leading scholars and professionals. Papers have been read by thousands of researchers world-wide, demonstrating the global importance of this field. The Statistics and Computing journal looks forward to many more years of exciting research as the field continues to expand.” Mark Girolami, Editor in Chief for The Statistics and Computing journal

Our joint [Peter Green, Krzysztof Łatuszyński, Marcelo Pereyra, and myself] review [open access!] on the important features of Bayesian computation has already appeared in the special 25th anniversary issue of Statistics & Computing! Along with the following papers

which means very good company, indeed! And happy B’day to Statistics & Computing!

Statistics month in Marseilles (CIRM)

Posted in Books, Kids, Mountains, pictures, Running, Statistics, Travel, University life, Wines with tags , , , , , , , , , , , , , , on June 24, 2015 by xi'an

Calanque de Morgiou, Marseille, July 7, 2010Next February, the fabulous Centre International de Recherche en Mathématiques (CIRM) in Marseilles, France, will hold a Statistics month, with the following programme over five weeks

Each week will see minicourses of a few hours (2-3) and advanced talks, leaving time for interactions and collaborations. (I will give one of those minicourses on Bayesian foundations.) The scientific organisers of the B’ week are Gilles Celeux and Nicolas Chopin.

The CIRM is a wonderful meeting place, in the mountains between Marseilles and Cassis, with many trails to walk and run, and hundreds of fantastic climbing routes in the Calanques at all levels. (In February, the sea is too cold to contemplate swimming. The good side is that it is not too warm to climb and the risk of bush fire is very low!) We stayed there with Jean-Michel Marin a few years ago when preparing Bayesian Essentials. The maths and stats library is well-provided, with permanent access for quiet working sessions. This is the French version of the equally fantastic German Mathematik Forschungsinstitut Oberwolfach. There will be financial support available from the supporting societies and research bodies, at least for young participants and the costs if any are low, for excellent food and excellent lodging. Definitely not a scam conference!

whazzat?! [scam conferences inc.]

Posted in Kids, Mountains, pictures, Travel, University life with tags , , , , , , , , , , , , on June 24, 2015 by xi'an

Tour Eiffel from Pont de l'Alma, Paris, Dec. 16, 2012Earlier today, I received an invitation to give a plenary talk at a Probability and Statistics Conference in Marrakech, a nice location if any! As it came from a former graduate student from the University of Rouen (where I taught before Paris-Dauphine), and despite an already heavy travelling schedule for 2016!, I considered his offer. And looked for the conference webpage to find the dates as my correspondent had forgotten to include those. Instead of the genuine conference webpage, which had not yet been created, what I found was a fairly unpleasant scheme playing on the same conference name and location, but run by a predator conglomerate called WASET.  WASET stands for World Academy of Science, Engineering, and Technology. Their website lists thousands of conferences, all in nice, touristy, places, and all with an identical webpage. For instance, there is the ICMS 2015: 17th International Conference on Mathematics and Statistics next week. With a huge “conference committee” but no a single name I can identify. And no-one from France. Actually, the website kindly offers entry by city as well as topics, which helps in spotting that a large number of ICMS conferences all take place on the same dates and at the same hotel in Paris… The trick is indeed to attract speakers with the promise of publication in a special issue of a bogus journal and to have them pay 600€ for registration and publication fees, only to have all topics mixed together in a few conference rooms, according to many testimonies I later found on the web. And as clear from the posted conference program! In the “best” of cases since other testimonies mention lost fees and rejected registrations. Testimonies also mention this tendency to reproduce the acronym of a local conference. While it is not unheard of conferences amounting to academic tourism, even from the most established scientific societies!, I am quite amazed at the scale of this enterprise, even though I cannot completely understand how people can fall for it. Looking at the website, the fees, the unrelated scientific committee, and the lack of scientific program should be enough to put those victims off. Unless they truly want to partake to academic tourism, obviously.


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