Archive for Cambridge University

anytime algorithm

Posted in Books, Statistics with tags , , , , , , , , , on January 11, 2017 by xi'an

Lawrence Murray, Sumeet Singh, Pierre Jacob, and Anthony Lee (Warwick) recently arXived a paper on Anytime Monte Carlo. (The earlier post on this topic is no coincidence, as Lawrence had told me about this problem when he visited Paris last Spring. Including a forced extension when his passport got stolen.) The difficulty with anytime algorithms for MCMC is the lack of exchangeability of the MCMC sequence (except for formal settings where regeneration can be used).

When accounting for duration of computation between steps of an MCMC generation, the Markov chain turns into a Markov jump process, whose stationary distribution α is biased by the average delivery time. Unless it is constant. The authors manage this difficulty by interlocking the original chain with a secondary chain so that even- and odd-index chains are independent. The secondary chain is then discarded. This provides a way to run an anytime MCMC. The principle can be extended to K+1 chains, run one after the other, since only one of those chains need be discarded. It also applies to SMC and SMC². The appeal of anytime simulation in this particle setting is that resampling is no longer a bottleneck. Hence easily distributed among processors. One aspect I do not fully understand is how the computing budget is handled, since allocating the same real time to each iteration of SMC seems to envision each target in the sequence as requiring the same amount of time. (An interesting side remark made in this paper is the lack of exchangeability resulting from elaborate resampling mechanisms, lack I had not thought of before.)

Suffrage Science awards in maths and computing

Posted in pictures, Statistics, University life with tags , , , , , , , , , , , on October 21, 2016 by xi'an

On October 11, at Bletchley Park, the Suffrage Science awards in mathematics and computer sciences were awarded for the first time to 12 senior female researchers. Among whom three statisticians, Professor Christl Donnelly from Imperial College London, my colleague at Warwick, Jane Hutton, and my friend and co-author, Sylvia Richardson, from MRC, Cambridge University. This initiative was started by the Medical Research Council in 2011 by Suffrage Science awards for life sciences, followed in 2013 by one for engineering and physics, and this year for maths and computing. The name of the award aims to connect with the Suffragette movement of the late 19th and early 20th Centuries, which were particularly active in Britain. One peculiar aspect of this award is that the recipients are given pieces of jewellery, created for each field, pieces that they will themselves give two years later to a new recipient of their choice, and so on in an infinite regress! (Which suggests a related puzzle, namely to figure out how many years it should take until all female scientists have received the award. But since the number increases as the square of the number of years, this is not going to happen unless the field proves particularly hostile to women scientists!) This jewellery award also relates to the history of the Suffragette movement since the WPSU commissioned their own jewellery awards. A clever additional touch was that the awards were delivered on Ada Lovelace Day, October 11.

Judith Rousseau gets Bernoulli Society Ethel Newbold Prize

Posted in Books, Kids, Statistics, University life with tags , , , , , , , , , , , , , on July 31, 2015 by xi'an

As announced at the 60th ISI World Meeting in Rio de Janeiro, my friend, co-author, and former PhD student Judith Rousseau got the first Ethel Newbold Prize! Congrats, Judith! And well-deserved! The prize is awarded by the Bernoulli Society on the following basis

The Ethel Newbold Prize is to be awarded biannually to an outstanding statistical scientist for a body of work that represents excellence in research in mathematical statistics, and/or excellence in research that links developments in a substantive field to new advances in statistics. In any year in which the award is due, the prize will not be awarded unless the set of all nominations includes candidates from both genders.

and is funded by Wiley. I support very much this (inclusive) approach of “recognizing the importance of women in statistics”, without creating a prize restricted to women nominees (and hence exclusive).  Thanks to the members of the Program Committee of the Bernoulli Society for setting that prize and to Nancy Reid in particular.

Ethel Newbold was a British statistician who worked during WWI in the Ministry of Munitions and then became a member of the newly created Medical Research Council, working on medical and industrial studies. She was the first woman to receive the Guy Medal in Silver in 1928. Just to stress that much remains to be done towards gender balance, the second and last woman to get a Guy Medal in Silver is Sylvia Richardson, in 2009… (In addition, Valerie Isham, Nicky Best, and Fiona Steele got a Guy Medal in Bronze, out of the 71 so far awarded, while no woman ever got a Guy Medal in Gold.) Funny occurrences of coincidence: Ethel May Newbold was educated at Tunbridge Wells, the place where Bayes was a minister, while Sylvia is now head of the Medical Research Council biostatistics unit in Cambridge.

English trip (1)

Posted in Statistics, Travel, University life with tags , , , , , , , , , , , , , on January 25, 2012 by xi'an

Today, I am attending a workshop on the use of graphics processing units in Statistics in Warwick, supported by CRiSM, presenting our recent works with Randal Douc, Pierre Jacob and Murray Smith. (I will use the same slides as in Telecom two months ago, hopefully avoiding the loss of integral and summation signs this time!) Pierre Jacob will talk about Wang-Landau.

Then, tomorrow, I am off to Cambridge to talk about ABC and model choice on Friday afternoon. (Presumably using the same slides as in Provo.)

The (1) in the title is in prevision of a second trip to Oxford next month and another one to Bristol two months after! (The trip to Edinburgh does not count of course, since it is in Scotland!)

A Vein of Deceit

Posted in Books with tags , , , , , , on January 7, 2012 by xi'an

An aptly chosen title: for the second time in a row, I am fairly disappointed with a Susanna Gregory‘s Chronicle of Matthew Bartholomew… It may be that, was I to re-read the first chronicles, I would get similarly unhappy about the enormous suspension of disbelief required by the novels.

“`And this pair will insist on guffawing each time I posit a notion  — they say I am employing a posteriori reasoning to argue a baseless superstition.'” (A Vein of Deceit, page 74)

The current story actually reminds me very much of an earlier chronicle, A Wicked Deed, as the setting (a dispute about a succession in a remote village away from the University) is fairly similar. There are many many reasons why I find A Vein of Deceit highly implausible (warning, spoilers!): a plot involves an unlikely tryst between a Cambridge scholar and a back-country heiress, a Michaelhouse faculty turning into a greedy traitor, a pair of super-villains who freely terrorise the whole city of Cambridge by having won an earlier legal trial, a huge frequency of chance meetings, an equally large amount of related crimes, venture capitalism, acceptance of homosexuality (at a time homosexuality was punished by death) and of concubinage, a general freedom of women that seems incompatible with the time, geographic impossibilities like having no road to the nearby and bustling Haverhill (to the point the group from Cambridge gets lost on its way there), consecrated chapels used for raising poultry, &tc., &tc… The plot unravels in a messy way with new threads being continuously brought in. (warning, spoiler!) The (hidden) reappearance of Matthews’ love in the novel is equally contrived and implausible.

`He frightened me into telling you what I have discovered as soon as I could get you alone for a few hours. And then what did he do? He laughed himself to death!’” (A Vein of Deceit, page 211)

Overall, I did not get much pleasure from reading the novel and fear the inspiration of the author has dried out. There are two more novels in the series, The Killer of Pilgrims (2010), and Mystery in the Minster (to be published, yet another chronicle taking place away from Cambridge). It is more than likely that I will have a try at the first one, but I am pessimistic about the outcome.