Archive for Adapski

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…

Adap’skiii [day 1]

Posted in Statistics, Travel with tags , , , on January 4, 2011 by xi'an

Adap’skii started on Monday morning with a highly pedagogical and smooth entry by Jeff Rosenthal, followed by a state-of-the-art talk by Eric Moulines on adaptive and interacting MCMC algorithms. Both talks led me to ponder how far adaptivity could reasonably be extended, namely how much the parameters used in those algorithms could themselves be tuned and adapted (as e.g. the temperatures in annealing or tempering). This pondering was actually reproduced later in the day by Nando de Freitas and David Dunson. The  third talk of the morning was Radu Craiu’s adaptive construction of a mixture approximation, including a proof of convergence of the algorithm, which was a bit reminiscent of our population Monte Carlo construct.  After a great sunny afternoon skiing in the [Brad’s correction: balmy at first, bitter once the sun set] cold of the Canyons ski pistes, we were back listening to Nando de Freitas‘ interesting mix of optimisation and MCMC adaptation, using Gaussian processes to design objective function evaluations. The final talk was by Faming Liang about likelihoods with unknown constants and the adaptive estimation of the constant. Pierre Jacob led the discussion presented below:

Adap’skiii [day 0]

Posted in Statistics, Travel, University life with tags , , , , , on January 3, 2011 by xi'an

After an uneventful if long flight from Paris to Salt Lake City, rewarded by a perfect view of the frozen Great Salt Lake, (if not of Greenland), we (Pierre Jacob, Jean-Michel Marin and myself, along with a strong contingent from Finland) are now in Parl City where the Adap’skiii conference starts this morning. For those  attending the meeting and wondering where exactly it takes place (!), it will be in the Grand Summit Hotel conference centre, ground floor, in the Parlor III part of the Kokopelli Grand Ballroom. It starts at 8:30, with a coffee break at 10:30. The place is walking distance from all the hotels proposed on the MCMSki website (as long as there is no blizzard) and just at the foot of the gondola. Here is the first draft of my discussion of Matti Vihola’s talk tomorrow:

Posters at Adap[/MCM]’skiii

Posted in Mountains, pictures, Statistics, University life with tags , , , , , on December 30, 2010 by xi'an

Due to a very small number of (declared) submissions—contrasting with the stable number of attendees—for the poster session on the evening of January 4 at Adap’skii, I have decided to cancel this session. The posters will be presented on the evenings of Wednesday, January 5 and Thursday, January 6, during MCMSki III. This will ensure an adequate audience and level of interaction for the poster presenters.

Christophe Andrieu being unfortunately unavailable at the present time, I am also unable to update the webpage prior to the meeting. Besides the above cancellation, the other changes in the program are

  • Jan. 3, 6pm: the discussant of Faming Liang’s talk is Pierre Jacob (Université Paris Dauphine & CREST)
  • Jan. 4, 8:30am: the discussant of Yves Atchadé is Luke Bornn (UBC, Vancouver)

Looking forward to the meetings in a few days! And to the 3 feet of fresh snow!!!

Poster at MCMSki III

Posted in R, Statistics, Travel with tags , , , , , , , , on December 28, 2010 by xi'an

Here is the poster presented at MCMSki III next week by Pierre Jacob about our joint paper on parallelisation:

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