ABC in Stockholm [on-board again]

After a smooth cruise from Helsinki to Stockholm, a glorious sunrise over the Ålend Islands, and a morning break for getting an hasty view of the city, ABC in Helsinki (a.k.a. ABCruise) resumed while still in Stockholm. The first talk was by Laurent Calvet about dynamic (state-space) models, when the likelihood is not available and replaced with a proximity between the observed and the simulated observables, at each discrete time in the series. The authors are using a proxy predictive for the incoming observable and derive an optimal—in a non-parametric sense—bandwidth based on this proxy. Michael Gutmann then gave a presentation that somewhat connected with his talk at ABC in Roma, and poster at NIPS 2014, about using Bayesian optimisation to reduce the rejections in ABC algorithms. Which means building a model of a discrepancy or distance by Bayesian optimisation. I definitely like this perspective as it reduces the simulation to one of a discrepancy (after a learning step). And does not require a threshold. Aki Vehtari expanded on this idea with a series of illustrations. A difficulty I have with the approach is the construction of the acquisition function… The last session while pretty late was definitely exciting with talks by Richard Wilkinson on surrogate or emulator models, which goes very much in a direction I support, namely that approximate models should be accepted on their own, by Julien Stoehr with clustering and machine learning tools to incorporate more summary statistics, and Tim Meeds who concluded with two (small) talks!, centred on the notion of deterministic algorithms that explicitly incorporate the random generators within the comparison, resulting in post-simulation recentering à la Beaumont et al. (2003), plus new advances with further incorporations of those random generators turned deterministic functions within variational Bayes inference…

On Wednesday morning, we will land back in Helsinki and head back to our respective homes, after another exciting ABC in… workshop. I am terribly impressed by the way this workshop at sea operated, providing perfect opportunities for informal interactions and collaborations, without ever getting claustrophobic or dense. Enjoying very long days also helped. While it seems unlikely we can repeat this successful implementation, I hope we can aim at similar formats in the coming occurrences. Kitos paljon to our Finnish hosts!

ABC in Helsinki [on-board]

ABC in Helsinki (a.k.a. ABCruise) has started! With a terrific weather most adequate for a cruise on the Baltic. The ship on which the workshop takes place is certainly larger than any I have been on, including the Channel ferries, and the inside alley looks rather like a shopping centre! However, the setting is exceptional, with comfy sea-facing cabins and pleasant breaks (including fancy tea!) Plus,  we have a quiet and cosy conference room that makes one forgets one is on a boat. Until it starts rocking. Or listing! The cruise boat is definitely large enough to be fairly stable. A unique experience we could consider for future (AB-see) workshops (with the caveat that we benefited from exceptional circumstances that brought the costs down to ridiculous amounts).

Richard Everitt talked about the synthetic likelihood approach and its connection with ABC. Making clear for me a point I had somewhat forgotten, namely that the approximative likelihood is a Gaussian at the observed summary statistics, but one centred at empirical moments derived from the simulation of pseudo summaries based on a given value of the parameter θ. So it is not an exact approach in that it does not converge to the true likelihood as the number of simulation grows to infinity. (While a kernel would converge.) That means it may (will) misrepresent the tails unless the distribution of the summary statistic is close to Normal. Richard also introduced bootstrap or bags of little bootstraps in order to speed up the generation of the pseudo-data, which makes sense albeit it moves the sampling away from the true model since it is conditional on  a single simulation.

Jean-Michel Marin introduced the ABC inference algorithm we are currently working on, using regression random forests that differ from the classification forests we used for model selection. (The paper is close to completion so I hope to be able to tell more in a near future!) Clara Grazian presented her semi-parametric work using ABC with Brunero Liseo. That was part of her thesis. Thomas Schön presented an extension of his particle Gibbs with adaptive sampling to the case of degenerate transitions, using an ABC approximation to get around this central problem. A very interesting entry that I need to study deeper. And Caroline Colijn talked about ABC for trees, mostly about the selection of summary statistics towards comparing tree topologies, with  a specific distance between trees that caters to the topology and only the topology.

ABC in Helsinki & Stockholm [deadline looming]

In case you have not yet registered for ABC in Helsinki (a.k.a. ABCruise), registration is open for just another week, with the all-inclusive fees of 200 euros for trip, cabin, talks, and meals! When registering you need to buy first a ticket on the Aalto University web shop: at some point, distinguishing between “Maksa” which means pay, and “Peruuta” which means cancel, may help! The submission of ABC posters is also encouraged till May 1, with emails to be sent to abcinhelsinki on gmail.

ABC in Helsinki & Stockholm [registration now open]

As announced in earlier posts, ABC in Helsinki (a.k.a. ABCruise) will take place on May 16-18, 2016 on a regular cruise boat going from Helsinki, Finland,  on the 16th to Stockholm, Sweden, and back to Helsinki before noon on the 18th. The workshop takes place from noon on the 16th till noon on the 18th, with a short break around noon on the 17th in Stockholm. Registration is now open and the fees are an all-inclusive 200 euros for trip, cabin, and meals! Thanks to the organising committee for achieving such a bargain! Just do not wait for registering! The submission of posters is also encouraged, with emails to be sent to abcinhelsinki on gmail.