Archive for CIRM

Introduction to Sequential Monte Carlo [book review]

Posted in Books, Statistics with tags , , , , , , , , , , , , , , , , on June 8, 2021 by xi'an

[Warning: Due to many CoI, from Nicolas being a former PhD student of mine, to his being a current colleague at CREST, to Omiros being co-deputy-editor for Biometrika, this review will not be part of my CHANCE book reviews.]

My friends Nicolas Chopin and Omiros Papaspiliopoulos wrote in 2020 An Introduction to Sequential Monte Carlo (Springer) that took several years to achieve and which I find remarkably coherent in its unified presentation. Particles filters and more broadly sequential Monte Carlo have expended considerably in the last 25 years and I find it difficult to keep track of the main advances given the expansive and heterogeneous literature. The book is also quite careful in its mathematical treatment of the concepts and, while the Feynman-Kac formalism is somewhat scary, it provides a careful introduction to the sampling techniques relating to state-space models and to their asymptotic validation. As an introduction it does not go to the same depths as Pierre Del Moral’s 2004 book or our 2005 book (Cappé et al.). But it also proposes a unified treatment of the most recent developments, including SMC² and ABC-SMC. There is even a chapter on sequential quasi-Monte Carlo, naturally connected to Mathieu Gerber’s and Nicolas Chopin’s 2015 Read Paper. Another significant feature is the articulation of the practical part around a massive Python package called particles [what else?!]. While the book is intended as a textbook, and has been used as such at ENSAE and in other places, there are only a few exercises per chapter and they are not necessarily manageable (as Exercise 7.1, the unique exercise for the very short Chapter 7.) The style is highly pedagogical, take for instance Chapter 10 on the various particle filters, with a detailed and separate analysis of the input, algorithm, and output of each of these. Examples are only strategically used when comparing methods or illustrating convergence. While the MCMC chapter (Chapter 15) is surprisingly small, it is actually an introducing of the massive chapter on particle MCMC (and a teaser for an incoming Papaspiloulos, Roberts and Tweedie, a slow-cooking dish that has now been baking for quite a while!).

ISB@CIRM: through the looking glass

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , on May 10, 2021 by xi'an

It’s now official!, thanks to the support of the Société Mathématique de France (SMF), the Centre National de la Recherche Scientifique (CNRS), and the Université Aix-Marseille, we are going to have a mirror workshop at CIRM, Marseille (France, not South Africa or Ohio!) gathering local Bayesians to attend ISBA 2021 together over the week of 28 June – 2 July, and share more than a virtual meeting room, while increasing the motivation to attend all sessions over a five day ultra-marathon! We also hope to have outdoor poster sessions around breaks.There is no registration fee and no support either, the only cost being the full-board on-site accommodation at CIRM to be paid upon arrival. Registration is open. Until we reach the upper limit set by the centre and depending on the dynamics of the pandemic (and of the administration). So feel free to apply if you are reasonably confident to be allowed and able to reach CIRM on the week of 28 June – 2 July. Which means travelling within the EU, at best.

2021 Whova Meeting of the International Society for Bayesian Analysis

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on May 5, 2021 by xi'an

The website for the incoming ISBA 2021 meeting is now operational and open to all! The program is ready, as well, with short courses starting on 23 June. And the main event on 28 June, with very long days, from 5:15am till 9:30pm in (US) Eastern Time (EDT, ie EST-05:00, UTC-06:00, CET-06:00, IST-9:30, CDT-11:00, JST-13:00, AEST-14:00). The number of registered participants is currently above 1700!, which shows the positive side of having a free on-line event since everyone (with an Internet connection!) interested can participate. On the negative side, namely the limited human interactions and the challenge of staying focussed 24/5, a solution stands in creating local clusters where a group could attend together the sessions. Provided local health policies allow. I am still working on gathering at CIRM, Marseille, if the centre reopens on 27 June. And am happy to broadcast any initiative to this effect.

ABC in Svalbard [the day after]

Posted in Books, Kids, Mountains, pictures, R, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , on April 19, 2021 by xi'an

The following and very kind email was sent to me the day after the workshop

thanks once again to make the conference possible. It was full of interesting studies within a friendly environment, I really enjoyed it. I think it is not easy to make a comfortable and inspiring conference in a remote version and across two continents, but this has been the result. I hope to be in presence (maybe in Svalbard!) the next edition.

and I fully agree to the talks behind full of interest and diverse. And to the scheduling of the talks across antipodal locations a wee bit of a challenge, mostly because of the daylight saving time  switches! And to seeing people together being a comfort (esp. since some were enjoying wine and cheese!).

I nonetheless found the experience somewhat daunting, only alleviated by sharing a room with a few others in Dauphine and having the opportunity to react immediately (and off-the-record) to the on-going talk. As a result I find myself getting rather scared by the prospect of the incoming ISBA 2021 World meeting. With parallel sessions and an extensive schedule from 5:30am till 9:30pm (in EDT time, i.e. GMT-4) that nicely accommodates the time zones of all speakers. I am thus thinking of (safely) organising a local cluster to attend the conference together and recover some of the social interactions that are such an essential component of [real] conferences, including students’ participation. It will of course depend on whether conference centres like CIRM reopen before the end of June. And if enough people see some appeal in this endeavour. In the meanwhile, remember to register for ISBA 2021 and for free!, before 01 May.

data assimilation and reduced modelling for high-D problems [CIRM]

Posted in Books, Kids, Mountains, pictures, Running, Statistics, University life with tags , , , , , , , , , , , , , , , , , on February 8, 2021 by xi'an

Next summer, from 19 July till 27 August, there will be a six week program at CIRM on the above theme, bringing together scientists from both the academic and industrial communities. The program includes a one-week summer school followed by 5 weeks of research sessions on projects proposed by academic and industrial partners.

Confirmed speakers of the summer school (Jul 19-23) are:

  • Albert Cohen (Sorbonne University)
  • Masoumeh Dashti (University of Sussex)
  • Eric Moulines (Ecole Polytechnique)
  • Anthony Nouy (Ecole Centrale de Nantes)
  • Claudia Schillings (Mannheim University)

Junior participants may apply for fellowships to cover part or the whole stay. Registration and application to fellowships will be open soon.