Archive for Athens

MCMC with control variates

Posted in Books, Statistics, University life with tags , , , , , , , , , , on February 17, 2012 by xi'an

In the latest issue of JRSS Series B (74(1), Jan, 2012), I just noticed that no paper is “from my time” as co-editor, i.e. that all of them have been submitted after I completed my term in Jan. 2010. Given the two year delay, this is not that surprising, but it also means I can make comments on some papers w/o reservation! A paper I had seen earlier (as a reader, not as an editor nor as a referee!) is Petros Dellaportas’ and Ioannis Kontoyiannis’ Control variates for estimation based on  reversible Markov chain Monte Carlo samplers. The idea is one of post-processing MCMC output, by stabilising the empirical average via control variates. There are two difficulties, one in finding control variates, i.e. functions $\Psi(\cdot)$ with zero expectation under the target distribution, and another one in estimating the optimal coefficient in a consistent way. The paper solves the first difficulty by using the Poisson equation, namely that G(x)-KG(x) has zero expectation under the stationary distribution associated with the Markov kernel K. Therefore, if KG can be computed in closed form, this is a generic control variate taking advantage of the MCMC algorithm. Of course, the above if is a big if: it seems difficult to find closed form solutions when using a Metropolis-Hastings algorithm for instance and the paper only contains illustrations within the conjugate prior/Gibbs sampling framework. The second difficulty is also met by Dellaportas and Kontoyiannis, who show that the asymptotic variance of the resulting central limit can be equal to zero in some cases.

A glance at the Parthenon

Posted in Travel with tags , , , on September 15, 2009 by xi'an

Athens from Acropolis

Yesterday night, the workshop ended earlier than planned and we took the opportunity to get to the Acropolis in the early evening. While the place was not immensely crowded with tourists, it was still very busy. I found the fact that the hill is surrounded by the endless city of Athens detrimental to the beauty of the site as most vistas have the city in the background… It was as if the extreme encasement of those ruins within the modern Athens had killed the magic of the centuries of history and the cultural significance of the place. Surrounded by blathering crowds, it was indeed extremely difficult to see beyond the noise, cranes and scaffoldings towards the one birthplace of civilisation. (I experienced similar feelings when I visited the Guiza pyramids in Cairo last year, for the same reason that the place was progressively swallowed by the surrounding suburbs, and also not properly maintained…)

IMG_6169

It was furthermore a major disapointment to find the new Acropolis museum unexpectedly closed for the evening, due to a social gathering there, as I was very much looking forward to the visit… We could thus only stare at the modern building behind the gates. Next workshop, maybe?!