Archive for BIRS

Hélène Massam (1949-2020)

Posted in Statistics with tags , , , , , , , , , , , , , , , , , , , on November 1, 2020 by xi'an

I was much saddened to hear yesterday that our friend and fellow Bayesian Hélène Massam passed away on August 22, 2020, following a cerebrovascular accident. She was professor of Statistics at York University, in Toronto, and, as her field of excellence covered [the geometry of] exponential families, Wishart distributions and graphical models, we met many times at both Bayesian and non-Bayesian conferences  (the first time may have been an IMS in Banff, years before BIRS was created). And always had enjoyable conversations on these occasions (in French since she was born in Marseille and only moved to Canada for her graduate studies in optimisation). Beyond her fundamental contributions to exponential families, especially Wishart distributions under different constraints [including the still opened 2007 Letac-Massam conjecture], and graphical models, where she produced conjugate priors for DAGs of all sorts, she served the community in many respects, including in the initial editorial board of Bayesian Analysis. I can also personally testify of her dedication as a referee as she helped with many papers along the years. She was also a wonderful person, with a great sense of humor and a love for hiking and mountains. Her demise is a true loss for the entire community and I can only wish her to keep hiking on new planes and cones in a different dimension. [Last month, Christian Genest (McGill University) and Xin Gao (York University) wrote a moving obituary including a complete biography of Hélène for the Statistical Society of Canada.]

the year(s) with no conferences

Posted in Books, Mountains, pictures, Travel, University life with tags , , , , , , on March 21, 2020 by xi'an

This week, Nature has an article on “A year without conferences? How the coronavirus pandemic could change research”, where the journalist predicts a potential halt to scientific conferences. Taking as example the cancelled American Physical Society (APS) March Meeting, to quote

“many of them rapidly set up platforms to hold virtual sessions for the meeting, inviting their speakers to present by webcam or to upload their presentations to online repositories. Researchers who hadn’t been in a position to fly to Denver found themselves able to participate from afar in what became the Virtual APS March Meeting.”

On this same day I should have been traveling from Brussels to Grenoble for the ABC meeting there. Instead, I had a four day virtual panel meeting from home and there is no virtual version of the ABC in Gre[e]noble workshop. As no one seemed particularly eager to animate a few local talks with no guarantee of spectators. As things deteriorated to home confinement,  it was actually better not to spend more efforts on the project. Since this confinement is bound to last much longer, it would however become more obvious that the community and the academic societies need plan virtual conference and invent different channels to gather members and disseminate innovation.

an oldie but a goldie [jatp]

Posted in Mountains, pictures, Travel, University life with tags , , , , , , , , on March 19, 2020 by xi'an

BayesComp’20

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , on January 10, 2020 by xi'an

First, I really have to congratulate my friend Jim Hobert for a great organisation of the meeting adopting my favourite minimalist principles (no name tag, no “goodies” apart from the conference schedule, no official talks). Without any pretense at objectivity, I also appreciated very much the range of topics and the sweet frustration of having to choose between two or three sessions each time. Here are some notes taken during some talks (with no implicit implication for the talks no mentioned, re. above frustration! as well as very short nights making sudden lapse in concentration highly likely).

On Day 1, Paul Fearnhead’s inaugural plenary talk was on continuous time Monte Carlo methods, mostly bouncy particle and zig-zag samplers, with a detailed explanation on the simulation of the switching times which likely brought the audience up to speed even if they had never heard of them. And an opening on PDMPs used as equivalents to reversible jump MCMC, reminding me of the continuous time (point process) solutions of Matthew Stephens for mixture inference (and of Preston, Ripley, Møller).

The same morn I heard of highly efficient techniques to handle very large matrices and p>n variables selections by Akihiko Nishimura and Ruth Baker on a delayed acceptance ABC, using a cheap proxy model. Somewhat different from indirect inference. I found the reliance on ESS somewhat puzzling given the intractability of the likelihood (and the low reliability of the frequency estimate) and the lack of connection with the “real” posterior. At the same ABC session, Umberto Picchini spoke on a joint work with Richard Everitt (Warwick) on linking ABC and pseudo-marginal MCMC by bootstrap. Actually, the notion of ABC likelihood was already proposed as pseudo-marginal ABC by Anthony Lee, Christophe Andrieu and Arnaud Doucet in the discussion of Fearnhead and Prangle (2012) but I wonder at the focus of being unbiased when the quantity is not the truth, i.e. the “real” likelihood. It would seem more appropriate to attempt better kernel estimates on the distribution of the summary itself. The same session also involved David Frazier who linked our work on ABC for misspecified models and an on-going investigation of synthetic likelihood.

Later, there was a surprise occurrence of the Bernoulli factory in a talk by Radu Herbei on Gaussian process priors with accept-reject algorithms, leading to exact MCMC, although the computing implementation remains uncertain. And several discussions during the poster session, incl. one on the planning of a 2021 workshop in Oaxaca centred on objective Bayes advances as we received acceptance of our proposal by BIRS today!

On Day 2, David Blei gave a plenary introduction to variational Bayes inference and latent Dirichlet allocations, somewhat too introductory for my taste although other participants enjoyed this exposition. He also mentioned a recent JASA paper on the frequentist consistency of variational Bayes that I should check. Speaking later with PhD students, they really enjoyed this opening on an area they did not know that well.

A talk by Kengo Kamatani (whom I visited last summer) on improved ergodicity rates for heavy tailed targets and Crank-NIcholson modifications to the random walk proposal (which uses an AR(1) representation instead of the random walk). With the clever idea of adding the scale of the proposal as an extra parameter with a prior of its own. Gaining one order of magnitude in the convergence speed (i.e. from d to 1 and from d² to d, where d is the dimension), which is quite impressive (and just published in JAP).Veronica Rockova linked Bayesian variable selection and machine learning via ABC, with conditions on the prior for model consistency. And a novel approach using part of the data to learn an ABC partial posterior, which reminded me of the partial  Bayes factors of the 1990’s although it is presumably unrelated. And a replacement of the original rejection ABC via multi-armed bandits, where each variable is represented by an arm, called ABC Bayesian forests. Recalling the simulation trick behind Thompson’s approach, reproduced for the inclusion or exclusion of variates and producing a fixed estimate for the (marginal) inclusion probabilities, which makes it sound like a prior-feeback form of empirical Bayes. Followed by a talk of Gregor Kastner on MCMC handling of large time series with specific priors and a massive number of parameters.

The afternoon also had a wealth of exciting talks and missed opportunities (in the other sessions!). Which ended up with a strong if unintended French bias since I listened to Christophe Andrieu, Gabriel Stolz, Umut Simsekli, and Manon Michel on different continuous time processes, with Umut linking GANs, multidimensional optimal transport, sliced-Wasserstein, generative models, and new stochastic differential equations. Manon Michel gave a highly intuitive talk on creating non-reversibility, getting rid of refreshment rates in PDMPs to kill any form of reversibility.

computational statistics and molecular simulation [18w5023]

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on November 19, 2018 by xi'an

The last day of the X fertilisation workshop at the casa matematicà Oaxaca, there were only three talks and only half of the participants. I lost the subtleties of the first talk by Andrea Agazzi on large deviations for chemical reactions, due to an emergency at work (Warwick). The second talk by Igor Barahona was somewhat disconnected from the rest of the conference, working on document textual analysis by way of algebraic data analysis (analyse des données) methods à la Benzécri. (Who was my office neighbour at Jussieu in the early 1990s.) In the last and final talk, Eric Vanden-Eijden made a link between importance sampling and PDMP, as an integral can be expressed via a trajectory of a path. A generalisation of path sampling, for almost any ODE. But also a competitor to nested sampling, waiting for the path to reach an Hamiltonian level, without some of the difficulties plaguing nested sampling like resampling. And involving continuous time processes. (Is there a continuous time version of ABC as well?!) Returning unbiased estimators of mean (the original integral) and variance. Example of a mixture example in dimension d=10 with k=50 components using only 100 paths.