Travelling through Seville, I arrived in Càdiz on Sunday night, along with a massive depression [weather-speaking!]. Walking through the city from the station was nonetheless pleasant as this is an town full of small streets and nice houses. If with less churches than Seville! Richard Samworth gave the first plenary talk of AISTATS 2016 with a presentation on random projections for classification. His classifier is based on an average of a large number of linear random projections of the original data where the projections are chosen as minimising the prediction error over a subset of the components. The performances of this approach seem to be consistently higher than for random forests, which makes it definitely worth investigating further. (A related R package is available.)
The following talks that day covered Bayesian optimisation and probabilistic numerics, with Javier Gonzales introducing glasses for Bayesian optimisation in order to solve its myopia (!)—by which he meant predicting the output of the optimisation over n future steps. And a first mention of the Pima Indians by Daniel Hernandez-Lobato in his talk about EP with stochastic gradient steps towards optimisation. (As well as much larger datasets.) And Mark Girolami bringing quasi-Monte Carlo into control variates. A kernel based ABC by Mijung Park, which uses kernels and maximum mean discrepancy to avoid defining summary statistics, and a version of parallel MCMC by Guillaume Basse. Plus another session on deep learning.
As usual with AISTATS conferences, the central activity of the day was the noon poster session, including speakers discussing their paper, and I had several interesting chats about MCMC related topics, with e.g. one alternative notion of ensemble MCMC [centred on estimating the normalising constant].
We awarded the notable student paper awards before the welcoming cocktail: The winners are Bo Dai, Nedelina Teneva, and Ye Wang. And this first day ended up with a companionable evening in a most genuine tapa bar, tasting local blood sausage and local blue cheese. (If you do not mind the corrida theme!)