Archive for Approximate Bayesian computation

mirror of ABC in Grenoble

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , on February 26, 2020 by xi'an

I am quite glad to announce that there will definitely be at least one mirror workshop of ABC in Grenoble. Taking place at Warwick University, in the Zeeman building (room MS0.05) and organised by my colleague Rito Dutta. The dates are 19-20 March, with talks transmitted from 9am to 5am [GMT+1]. Since the video connection can accommodate 19 more mirrors, if anyone is interested in organising an other mirror, please contact me for technical details.

ABC for fish [PhD position]

Posted in Statistics with tags , , , , , , , on December 5, 2019 by xi'an

Richard Everitt (Warwick) is currently seeking a PhD candidate for working on approximate Bayesian computation methods, applied to Individual Based Models of fisheries, in collaboration with the government agency Centre for Environment, Fisheries and Aquaculture Science (CEFAS). Details on how to apply . More details can be found at the page of the doctoral training partnership (one can search for the project on this site). The application deadline is Friday, January 10, 2020, and it is open to UK and EU students.

distilling importance

Posted in Books, Statistics, University life with tags , , , , , , , , , , on November 13, 2019 by xi'an

As I was about to leave Warwick at the end of last week, I noticed a new arXival by Dennis Prangle, distilling importance sampling. In connection with [our version of] population Monte Carlo, “each step of [Dennis’] distilled importance sampling method aims to reduce the Kullback Leibler (KL) divergence from the distilled density to the current tempered posterior.”  (The introduction of the paper points out various connections with ABC, conditional density estimation, adaptive importance sampling, X entropy, &tc.)

“An advantage of [distilled importance sampling] over [likelihood-free] methods is that it performs inference on the full data, without losing information by using summary statistics.”

A notion used therein I had not heard before is the one of normalising flows, apparently more common in machine learning and in particular with GANs. (The slide below is from Shakir Mohamed and Danilo Rezende.) The  notion is to represent an arbitrary variable as the bijective transform of a standard variate like a N(0,1) variable or a U(0,1) variable (calling the inverse cdf transform). The only link I can think of is perfect sampling where the representation of all simulations as a function of a white noise vector helps with coupling.

I read a blog entry by Eric Jang on the topic (who produced this slide among other things) but did not emerge much the wiser. As the text instantaneously moves from the Jacobian formula to TensorFlow code… In Dennis’ paper, it appears that the concept is appealing for quickly producing samples and providing a rich family of approximations, especially when neural networks are included as transforms. They are used to substitute for a tempered version of the posterior target, validated as importance functions and aiming at being the closest to this target in Kullback-Leibler divergence. With the importance function interpretation, unbiased estimators of the gradient [in the parameter of the normalising flow] can be derived, with potential variance reduction. What became clearer to me from reading the illustration section is that the prior x predictive joint can also be modeled this way towards producing reference tables for ABC (or GANs) much faster than with the exact model. (I came across several proposals of that kind in the past months.) However, I deem mileage should vary depending on the size and dimension of the data. I also wonder at the connection between the (final) distribution simulated by distilled importance [the least tempered target?] and the ABC equivalent.

ABC in Svalbard, April 12-13 2021

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , on November 4, 2019 by xi'an

This post is a very preliminary announcement that Jukka Corander, Judith Rousseau and myself are planning an ABC in Svalbard workshop in 2021, on 12-13 April, following the “ABC in…” franchise that started in 2009 in Paris… It would be great to hear expressions of interest from potential participants towards scaling the booking accordingly. (While this is a sequel to the highly productive ABCruise of two years ago, between Helsinki and Stockholm, the meeting will take place in Longyearbyen, Svalbard, and participants will have to fly there from either Oslo or Tromsø, Norway, As boat cruises from Iceland or Greenland start later in the year. Note also that in mid-April, being 80⁰ North, Svalbard enjoys more than 18 hours of sunlight and that the average temperature last April was -3.9⁰C with a high of 4⁰C.) The scientific committee should be constituted very soon, but we already welcome proposals for sessions (and sponsoring, quite obviously!).

ABC in Clermont-Ferrand

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on September 20, 2019 by xi'an

Today I am taking part in a one-day workshop at the Université of Clermont Auvergne on ABC. With applications to cosmostatistics, along with Martin Kilbinger [with whom I worked on PMC schemes], Florent Leclerc and Grégoire Aufort. This should prove a most exciting day! (With not enough time to run up Puy de Dôme in the morning, though.)

unimaginable scale culling

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , , , , , , on September 17, 2019 by xi'an

Despite the evidence brought by ABC on the inefficiency of culling in massive proportions the British Isles badger population against bovine tuberculosis, the [sorry excuse for a] United Kingdom government has permitted a massive expansion of badger culling, with up to 64,000 animals likely to be killed this autumn… Since the cows are the primary vectors of the disease, what about starting with these captive animals?!

a problem that did not need ABC in the end

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , , , , , on August 8, 2019 by xi'an

While in Denver, at JSM, I came across [across validated!] this primarily challenging problem of finding the posterior of the 10³ long probability vector of a Multinomial M(10⁶,p) when only observing the range of a realisation of M(10⁶,p). This sounded challenging because the distribution of the pair (min,max) is not available in closed form. (Although this allowed me to find a paper on the topic by the late Shanti Gupta, who was chair at Purdue University when I visited 32 years ago…) This seemed to call for ABC (especially since I was about to give an introductory lecture on the topic!, law of the hammer…), but the simulation of datasets compatible with the extreme values of both minimum and maximum, m=80 and M=12000, proved difficult when using a uniform Dirichlet prior on the probability vector, since these extremes called for both small and large values of the probabilities. However, I later realised that the problem could be brought down to a Multinomial with only three categories and the observation (m,M,n-m-M), leading to an obvious Dirichlet posterior and a predictive for the remaining 10³-2 realisations.