Bayesian filtering and smoothing [book review]

Posted in Books, Statistics, Travel, University life with tags , , , , , , , , , , , , on February 25, 2015 by xi'an

When in Warwick last October, I met Simo Särkkä, who told me he had published an IMS monograph on Bayesian filtering and smoothing the year before. I thought it would be an appropriate book to review for CHANCE and tried to get a copy from Oxford University Press, unsuccessfully. I thus bought my own book that I received two weeks ago and took the opportunity of my Czech vacations to read it… [A warning pre-empting accusations of self-plagiarism: this is a preliminary draft for a review to appear in CHANCE under my true name!]

“From the Bayesian estimation point of view both the states and the static parameters are unknown (random) parameters of the system.” (p.20)

Bayesian filtering and smoothing is an introduction to the topic that essentially starts from ground zero. Chapter 1 motivates the use of filtering and smoothing through examples and highlights the naturally Bayesian approach to the problem(s). Two graphs illustrate the difference between filtering and smoothing by plotting for the same series of observations the successive confidence bands. The performances are obviously poorer with filtering but the fact that those intervals are point-wise rather than joint, i.e., that the graphs do not provide a confidence band. (The exercise section of that chapter is superfluous in that it suggests re-reading Kalman’s original paper and rephrases the Monty Hall paradox in a story unconnected with filtering!) Chapter 2 gives an introduction to Bayesian statistics in general, with a few pages on Bayesian computational methods. A first remark is that the above quote is both correct and mildly confusing in that the parameters can be consistently estimated, while the latent states cannot. A second remark is that justifying the MAP as associated with the 0-1 loss is incorrect in continuous settings.  The third chapter deals with the batch updating of the posterior distribution, i.e., that the posterior at time t is the prior at time t+1. With applications to state-space systems including the Kalman filter. The fourth to sixth chapters concentrate on this Kalman filter and its extension, and I find it somewhat unsatisfactory in that the collection of such filters is overwhelming for a neophyte. And no assessment of the estimation error when the model is misspecified appears at this stage. And, as usual, I find the unscented Kalman filter hard to fathom! The same feeling applies to the smoothing chapters, from Chapter 8 to Chapter 10. Which mimic the earlier ones. Continue reading

Le premier homme [book review]

Posted in Books, Kids, pictures, Travel with tags , , , , , , , , , , on February 16, 2015 by xi'an

I read this book by Albert Camus over my week in Oxford, having found it on my daughter’s bookshelf (as she had presumably read it in high school…). It is a very special book in that (a) Camus was working on it when he died in a car accident, (b) the manuscript was found among the wreckage, and (c) it differs very much from Camus’ other books. Indeed, the book is partly autobiographical and written with an unsentimental realism that is raw and brutal. It describes the youth of Jacques, the son of French colons in Algiers, whose father had died in the first days of WW I and whose family lives in the uttermost poverty, with both his mother and grandmother doing menial jobs to simply survive. Thanks to a supportive teacher, he manages to get a grant to attend secondary school. What is most moving about the book is how Camus describes the numbing effects of poverty, namely how his relatives see their universe shrinking so much that notions like the Mother Country (France) or books loose meaning for them. Without moving them towards or against native Algerians, who never penetrate the inner circles in the novel, moving behind a sort of glass screen. It is not that the tensions and horrors of the colonisation and of the resistance to colonisation are hidden, quite the opposite, but the narrator considers those with a sort of fatalism without questioning the colonisation itself. (The book reminded me very much of my grand-father‘s childhood, with a father also among the dead soldiers of WW I, being raised by a single mother in harsh conditions. With the major difference that my grandfather decided to stop school very early to become a gardener…) There are also obvious parallels with Pagnol’s autobiographical novels like My Father’s Glory, written at about the same time, from the boy friendship to the major role of the instituteur, to the hunting party, to the funny uncle, but everything opposes the two authors, from Pagnol light truculence to Camus’ tragic depiction.  Pagnol’s books are great teen books (and I still remember my mother buying the first one on a vacation road trip) but nothing more. Camus’ book could have been his greatest book, had he survived the car accident of January 1960.

foxglove summer

Posted in Books, Kids, Travel with tags , , , , , , , , , , , on February 1, 2015 by xi'an

Here is the fifth instalment in the Peter Grant (or Rivers of London) series by Ben Aaronovitch. Thus entitled Foxglove summer, which meaning only became clear (to me) by the end of the book. I found it in my mailbox upon arrival in Warwick last Sunday. And rushed through the book during evenings, insomnia breaks and even a few breakfasts!

“It’s observable but not reliably observable. It can have a quantifiable effects, but resists any attempt to apply mathematical principles to it – no wonder Newton kept magic under wraps. It must have driven him mental. Or maybe not.” (p.297)

Either because the author has run out of ideas to centre a fifth novel on a part or aspect of London (even though the parks, including the London Zoo, were not particularly used in the previous novels), or because he could not set this new type of supernatural in a city (no spoilers!), this sequel takes place in the Western Counties, close to the Welsh border (and not so far from Brother Cadfael‘s Shrewbury!). It is also an opportunity to introduce brand new (local) characters which are enjoyable if a wee bit of a caricature! However, the inhabitants of the small village where the kidnapping investigation takes place are almost too sophisticated for Peter Grant who has to handle the enquiry all by himself, as his mentor is immobilised in London by the defection of Peter’s close colleague, Lindsey.

“We trooped off (…) down something that was not so much a path as a statistical variation in the density of the overgrowth.” (p.61)

As usual, the dialogues and monologues of Grant are the most enjoyable part of the story, along with a development of the long-in-the-coming love affair with the river goddess Beverley Brooks. And a much appreciated ambiguity in the attitude of Peter about the runaway Lindsey… The story itself reflects the limitations of a small village where one quickly repeats over and over the same trips and the same relations. Which gives a sensation of slow motion, even in the most exciting moments. The resolution of the enigma is borrowing too heavily to the fae and elves folklore, even though the final pages bring a few surprises. Nonetheless, the whole book was a page-turner for me, meaning I spent more time reading it this week than I intended or than was reasonable. No wonder for a series taking place in The Folly!

Moon over Soho [book review]

Posted in Books, Kids, Travel with tags , , , , , , , on November 29, 2014 by xi'an

A book from the pile I brought back from Gainesville. And the first I read, mostly during the trip back to Paris. Both because I was eager to see the sequel to Rivers of London and because it was short and easy to carry in a pocket.

“From the figures I have, I believe that two to three jazz musicians have died within twenty-four hours of playing a gig in the Greater London area in the last year.”
“I take it that’s statistically significant?

Moon over Soho is the second installment in the Peter Grant series by Ben Aaronovitch. It would not read well on its own as it takes over when Rivers of London stopped. Even though it reintroduces most of the rules of this magical universe. Most characters are back (except for the hostaged Beverly) and they are trying to cope with what happened in the first installment. The story is even more centred on jazz than in the first volume, with as a corollary, Peter Grant’s parents taking a more important part in the book. The recovering Leslie is hardly seen (for obvious reasons) and heard, which leaves a convenient hole in Grant’s sentimental life! The book also introduces a major magical villein who will undoubtedly figures in the incoming books. Another great story, even though the central plot has a highly predictable ending, and even more end of the ending, and some parts sound like repetitions of similar parts in the first volume. But the tone, the pace, the style, the humour, the luv’ of Lundun, all are there and so it is all that matters! (I again bemoan the missing map of London!)

a probabilistic proof to a quasi-Monte Carlo lemma

Posted in Books, Statistics, Travel, University life with tags , , , , , on November 17, 2014 by xi'an

As I was reading in the Paris métro a new textbook on Quasi-Monte Carlo methods, Introduction to Quasi-Monte Carlo Integration and Applications, written by Gunther Leobacher and Friedrich Pillichshammer, I came upon the lemma that, given two sequences on (0,1) such that, for all i’s,

$|u_i-v_i|\le\delta\quad\text{then}\quad\left|\prod_{i=1}^s u_i-\prod_{i=1}^s v_i\right|\le 1-(1-\delta)^s$

and the geometric bound made me wonder if there was an easy probabilistic proof to this inequality. Rather than the algebraic proof contained in the book. Unsurprisingly, there is one based on associating with each pair (u,v) a pair of independent events (A,B) such that, for all i’s,

$A_i\subset B_i\,,\ u_i=\mathbb{P}(A_i)\,,\ v_i=\mathbb{P}(B_i)$

and representing

$\left|\prod_{i=1}^s u_i-\prod_{i=1}^s v_i\right| = \mathbb{P}(\cap_{i=1}^s A_i) - \mathbb{P}(\cap_{i=1}^s B_i)\,.$

Obviously, there is no visible consequence to this remark, but it was a good way to switch off the métro hassle for a while! (The book is under review and the review will hopefully be posted on the ‘Og as soon as it is completed.)

Principles of scientific methods [not a book review]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , on November 11, 2014 by xi'an

Mark Chang, author of Paradoxes in Scientific Inference and vice-president of AMAG Pharmaceuticals, has written another book entitled Principles of Scientific Methods. As was clear from my CHANCE review of Paradoxes in Scientific Inference, I did not find much appeal in this earlier book, even after the author wrote a reply (first posted on this blog and later printed in CHANCE). Hence a rather strong reluctance [of mine] to engage into another highly critical review when I received this new opus by the same author. [And the brainwave cover just put me off even further, although I do not want to start a review by criticising the cover, it did not go that well with the previous attempts!]

After going through Principles of Scientific Methods, I became ever more bemused about the reason(s) for writing or publishing such a book, to the point I decided not to write a CHANCE review on it… (But, having spent some Métro rides on it, I still want to discuss why. Read at your own peril!)

Rivers of London [book review]

Posted in Books, Kids, Travel with tags , , , , , , , , , , , on October 25, 2014 by xi'an

Yet another book I grabbed on impulse while in Birmingham last month. And which had been waiting for me on a shelf of my office in Warwick. Another buy I do not regret! Rivers of London is delightful, as much for taking place in all corners of London as for the story itself. Not mentioning the highly enjoyable writing style!

“I though you were a sceptic, said Lesley. I though you were scientific”

The first volume in this detective+magic series, Rivers of London, sets the universe of this mix of traditional Metropolitan Police work and of urban magic, the title being about the deities of the rivers of London, including a Mother and a Father Thames… I usually dislike any story mixing modern life and fantasy but this is a definitive exception! What I enjoy in this book setting is primarily the language used in the book that is so uniquely English (to the point of having the U.S. edition edited!, if the author’s blog is to be believed). And the fact that it is so much about London, its history and inhabitants. But mostly about London, as an entity on its own. Even though my experience of London is limited to a few boroughs, there are many passages where I can relate to the location and this obviously makes the story much more appealing. The style is witty, ironic and full of understatements, a true pleasure.

“The tube is a good place for this sort of conceptual breakthrough because, unless you’ve got something to read, there’s bugger all else to do.”

The story itself is rather fun, with at least three levels of plots and two types of magic. It centres around two freshly hired London constables, one of them discovering magical abilities and been drafted to the supernatural section of the Metropolitan Police. And making all the monologues in the book. The supernatural section is made of a single Inspector, plus a few side characters, but with enough fancy details to give it life. In particular, Isaac Newton is credited with having started the section, called The Folly. Which is also the name of Ben Aaronovitch’s webpage.

“There was a poster (…) that said: `Keep Calm and Carry On’, which I thought was good advice.”

This quote is unvoluntarily funny in that it takes place in a cellar holding material from World War II. Except that the now invasive red and white poster was never distributed during the war… On the opposite it was pulped to save paper and the fact that a few copies survived is a sort of (minor) miracle. Hence a double anachronism in that it did not belong to a WWII room and that Peter Grant should have seen its modern avatars all over London.

“Have you ever been to London? Don’t worry, it’s basically  just like the country. Only with more people.”

The last part of the book is darker and feels less well-written, maybe simply because of the darker side and of the accumulation of events, while the central character gets rather too central and too much of an unexpected hero that saves the day. There is in particular a part where he seems to forget about his friend Lesley who is in deep trouble at the time and this does not seem to make much sense. But, except for this lapse (maybe due to my quick reading of the book over the week in Warwick), the flow and pace are great, with this constant undertone of satire and wit from the central character. I am definitely looking forward reading tomes 2 and 3 in the series (having already read tome 4 in Austria!, which was a mistake as there were spoilers about earlier volumes).