Archive for acquisition function

ABC in Stockholm [on-board again]

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , on May 18, 2016 by xi'an

abcruiseAfter a smooth cruise from Helsinki to Stockholm, a glorious sunrise over the Ålend Islands, and a morning break for getting an hasty view of the city, ABC in Helsinki (a.k.a. ABCruise) resumed while still in Stockholm. The first talk was by Laurent Calvet about dynamic (state-space) models, when the likelihood is not available and replaced with a proximity between the observed and the simulated observables, at each discrete time in the series. The authors are using a proxy predictive for the incoming observable and derive an optimal—in a non-parametric sense—bandwidth based on this proxy. Michael Gutmann then gave a presentation that somewhat connected with his talk at ABC in Roma, and poster at NIPS 2014, about using Bayesian optimisation to reduce the rejections in ABC algorithms. Which means building a model of a discrepancy or distance by Bayesian optimisation. I definitely like this perspective as it reduces the simulation to one of a discrepancy (after a learning step). And does not require a threshold. Aki Vehtari expanded on this idea with a series of illustrations. A difficulty I have with the approach is the construction of the acquisition function… The last session while pretty late was definitely exciting with talks by Richard Wilkinson on surrogate or emulator models, which goes very much in a direction I support, namely that approximate models should be accepted on their own, by Julien Stoehr with clustering and machine learning tools to incorporate more summary statistics, and Tim Meeds who concluded with two (small) talks!, centred on the notion of deterministic algorithms that explicitly incorporate the random generators within the comparison, resulting in post-simulation recentering à la Beaumont et al. (2003), plus new advances with further incorporations of those random generators turned deterministic functions within variational Bayes inference

On Wednesday morning, we will land back in Helsinki and head back to our respective homes, after another exciting ABC in… workshop. I am terribly impressed by the way this workshop at sea operated, providing perfect opportunities for informal interactions and collaborations, without ever getting claustrophobic or dense. Enjoying very long days also helped. While it seems unlikely we can repeat this successful implementation, I hope we can aim at similar formats in the coming occurrences. Kitos paljon to our Finnish hosts!