Archive for Adapski

MCMSki IV in Chamonix-Mont-Blanc, Jan. 6-8, 2014!!!

Posted in Mountains, Statistics, Travel, University life with tags , , , , , , , , , , on July 23, 2012 by xi'an

As mentioned a few days ago (in tragic circumstances), the fourth MCMSki meeting will take place in Chamonix-Mont-Blanc on January 6-8, 2014. It will actually be focussing more on methodological and theoretical issues about MCMC (and SMC and ABC and…) than on its applications and so it supersedes both the Adap’ski and MCMCSki earlier meetings. It will (hopefully) be sponsored by statistical societies, including ISBA and IMS, as in the earlier instances. We are still discussing with the Conference Centre in Chamonix about the details, but I think the registration costs will remain quite reasonable (around 120-150 euros), with a wide range of accomodation available in Chamonix and around, and of course an unbelievable skiing domain. The webpage should come to life in a few days, after Antonietta Mira, Brad Carlin and myself complete the scientific and the organisation committees. So… make sure to keep this first week of 2014 free in your agendas! (And for those worried about transportation, Geneva international airport is only 88k away, with an expressway all the way to Chamonix. With plenty of shuttles if you do not want to rent a car. There also is a sleeper train from Paris that arrives early enough in the morning to enjoy a full day of mcmskiing!)

MCMC at ICMS (3)

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , on April 26, 2012 by xi'an

The intense pace of the two first days of our workshop on MCMC at ICMS had apparently taken an heavy toll on the participants as a part of the audience was missing this morning! Although not as a consequence of the haggis of the previous night at the conference dinner, nor even as a result of the above pace. In fact, the missing participants had opted ahead of time for leaving the workshop early, which is understandable given everyone’s busy schedule, esp. for those attending both Bristol and Edinburgh workshops, however slightly impacting the atmosphere of the final day. (Except for Mark Girolami who most unfortunately suffered such a teeth infection that he had to seek urgent medical assistance yesterday afternoon. Best wishes to Mark for a prompt recovery, say I with a dental appointment tomorrow…!)

The plenary talk of the day was delivered by Heikki Haario, who provided us with a survey of the (adaptive) MCMC advances he and his collaborators had made in the analysis of complex and immensely high-dimensional weather models. This group of Finnish researchers, who started from inverse problem analysis rather than from MCMC, have had a major impact on the design and validation of adaptive MCMC algorithms, especially in the late 1990′s. (Heikki also was a co-organizer of the Adap’ski workshops, workshops that may be continued, stay tuned!) The next talk, by Marko Laine, was also about adaptive MCMC algorithms, with the difference that the application was climate modelling. It contained interesting directions about early stopping (“early rejection”, as opposed to “delayed rejection”) of diverging proposals (gaining 80% in computing time!) and about parallel adaptation. Still in the same theme, Gersende Fort explained the adaptive version of the equi-energy sampler she and co-authors had recently developed. Although she had briefly presented this paper in Banff a month ago, I found the talk quite informative about the implementation of the method and at the perfect technical level (for me!).

In [what I now perceive as] another recurrent theme of the workshop, namely the recourse to Gaussian structures like Gaussian processes (see, e.g., Ian Murray’s talk yesterday), Andrew Stuart gave us a light introduction to random walk Metropolis-Hastings algorithms on Hilbert spaces. In particular, he related to Ian Murray’s talk of yesterday as to the definition of a “new” random walk (due to Radford Neal)  that makes a proposal

y=\sqrt{1-\beta^2}x_{t-1}+\beta\zeta\quad 0<\beta<1,\zeta\sim\varphi(|\zeta|)

that still preserves the acceptance probability of the original (“old”) random walk proposal. The final talks of the morning were Krys Latuszynski’s and Nick Whiteley’s very pedagogical presentations of the convergence properties of manifold MALA and of particle filters for hidden Markov models.  In both cases, the speakers avoided the overly technical details and provided clear intuition in the presented results, a great feat after those three intense days of talks! (Having attended Nick’s talk in Paris two weeks ago helped of course.)

Unfortunately, due to very limited flight options (after one week of traveling around the UK) and also being slightly worried at the idea of missing my flight!, I had to leave the meeting along with all my French colleagues right after Jean-Michel Marin’s talk on (hidden) Potts driven mixtures, explaining the computational difficulties in deriving marginal likelihoods. I thus missed the final talk of the workshop by Gareth Tribello. And delivering my final remarks at the lunch break.

Overall, when reflecting on those two Monte Carlo workshops, I feel I preferred the pace of the Bristol workshop, because it allowed for more interactions between the participants by scheduling less talks… This being said, the organization at ICMS was superb (as usual!) and the talks were uniformly very good so it also was a very profitable meeting, of a different kind! As written earlier, among other things, it induced (in me) some reflections on a possible new research topic with friends there. Looking forward to visit Scotland again, of course!

MCMSki 3 [recollections]

Posted in Mountains, pictures, Statistics, University life with tags , , , , , on January 9, 2011 by xi'an

I am now back home after five exciting and exhausting days in Park City, Utah! As reported earlier, the Adap’skiii meeting went on quite well, with high quality talks relating to edge research. I am thus completely committed to organise the next meeting in three years or so, whether or not MCMSki 4 ever takes place. I also found the ski resort where the meeting took place quite interesting, with plenty of mostly empty ski runs and top quality lodging [with the luxury of a fireplace]. (The downside was a type of runs I was not used to in the Alps, but this showed how far I had to improve in my skiing. And another major downside were the grossly overpriced commodities, because down-town Park City was too far to accommodate my jet-lagged schedule. Despite this lack of complete information, I am slightly bemused at Park City making into the top ten places to go in 2011 according to the New York TImes…) While the picture below, taken from my hotel room/flat, was selected as Shot of the Day by The Canyons, the above panorama picture was provided to me by Luke Bornn, who also gave a fairly interesting talk during the Young Investigators session.

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Adapskiii [talks and discussions]

Posted in Mountains, Statistics with tags , , , on January 6, 2011 by xi'an

The talks and discussions of our workshop are now [mostly] available on-line, waiting for the Adap’skiii webpage to be updated and operational. In the meanwhile, MCMSki 3 has started, with Jeff Rosenthal giving a highly pedagogical intro on why MCMC theory is useful. Although there were several interesting talks on the first day, my personal highlight was Michael Jordan’s new approach to the philogeny model. While the talk was witty and pedagogical, as usual, hence very enjoyable after a (short) afternoon of skiing and a dip in the pool by -10, my appreciation goes to the reassessment presented in this talk. Although I do need to further study the paper, it seems to me this talk had a revolutionary flavour in bringing a radically different perspective to the problem at hand… I am thus looking forward to the incoming paper (keep posted for comments).

Adap’skiii [day 2]

Posted in R, Statistics, University life with tags , , , , , , , , , on January 5, 2011 by xi'an

Another exciting day at Adap’skiii!!!

Yves Atchadé presented a very recent work on the fundamental issue of estimating the asymptotic variance estimation for adaptive MCMC algorithms, with an intriguing experimental observation that a non-converging bandwidth with rate 1/n was providing better coverage than the converging rate. (I always found the issue of estimating the asymptotic variance both a tough problem and an important item in convergence assessment.) Galin Jones showed new regeneration results for componentwise MCMC samplers, with applications to quantile estimation. The iid structure produced by the regeneration mechanism allows rather naturally to introduce an adaptive improvement in those algorithms, if regeneration occurs often enough. (From the days of my Stat’Sci’ paper on convergence assessment, I  love regeneration techniques for both theoretical and methodological reasons, even though they are often difficult to efficiently implement in practice.) Matti Vihola summarised several of his recent papers on the stability and convergence of adaptive MCMC algorithms, pursuing the Finnish tradition of leadership in adaptive algorithms! One point I found particularly interesting was the possibility of separating ergodicity from the Law of Large Numbers, thus reducing the constraints imposed by the containment condition. In the afternoon, Dawn Woodard discussed the convergence rate of the Gibbs sampler used for genomic motif discovery by Liu, Lawrence and Neuwald (1995). Scott Schmidler concluded the workshop by a far-ranging talk distinguishing between exploration and exploitation in adaptive MCMC algorithms, ie mixing vs burning, with illustrations using the Wang-Landau algorithm.

Thus, as in the previous editions of Adap’ski, we have had a uniformly high quality of talks about the current research in the area of adaptive algorithms (and a wee further). This shows the field is very well active and expanding, aiming at reaching a wider audience by providing verifiable convergence conditions and semi-automated softwares (like Jeff Rosenthal’s amcmc R code we used in Introducing Monte Carlo Methods with R). Looking forward Adap’ski 4 (Adap’skiV?!), hopefully in Europe and why not in Chamonix?! Which could then lead us to call the next meeting Adap’skiX…

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