Archive for CRiSM

on estimating constants…

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , on July 21, 2015 by xi'an

While I discussed on the ‘Og in the past the difference I saw between estimating an unknown parameter from a distribution and evaluating a normalising constant, evaluating such constants and hence handling [properly] doubly intractable models is obviously of the utmost importance! For this reason, Nial Friel, Helen Ogden and myself have put together a CRiSM workshop on the topic (with the tongue-in-cheek title of Estimating constants!), to be held at the University of Warwick next April 20-22.

The CRiSM workshop will focus on computational methods for approximating challenging normalising constants found in Monte Carlo, likelihood and Bayesian models. Such methods may be used in a wide range of problems: to compute intractable likelihoods, to find the evidence in Bayesian model selection, and to compute the partition function in Physics. The meeting will bring together different communities working on these related problems, some of which have developed original if little advertised solutions. It will also highlight the novel challenges associated with large data and highly complex models. Besides a dozen invited talks, the schedule will highlight two afternoon poster sessions with speed (2-5mn) oral presentations called ‘Elevator’ talks.

While 2016 is going to be quite busy with all kinds of meetings (MCMSkv, ISBA 2016, the CIRM Statistics month, AISTATS 2016, …), this should be an exciting two-day workshop, given the on-going activity in this area, and I thus suggest interested readers to mark the dates in their diary. I will obviously keep you posted about registration and accommodation when those entries are available.

probabilistic numerics

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , on April 27, 2015 by xi'an

sunwar2I attended an highly unusual workshop while in Warwick last week. Unusual for me, obviously. It was about probabilistic numerics, i.e., the use of probabilistic or stochastic arguments in the numerical resolution of (possibly) deterministic problems. The notion in this approach is fairly Bayesian in that it makes use to prior information or belief about the quantity of interest, e.g., a function, to construct an usually Gaussian process prior and derive both an estimator that is identical to a numerical method (e.g., Runge-Kutta or trapezoidal integration) and uncertainty or variability around this estimator. While I did not grasp much more than the classy introduction talk by Philipp Hennig, this concept sounds fairly interesting, if only because of the Bayesian connection, and I wonder if we will soon see a probability numerics section at ISBA! More seriously, placing priors on functions or functionals is a highly formal perspective (as in Bayesian non-parametrics) and it makes me wonder how much of the data (evaluation of a function at a given set of points) and how much of the prior is reflected in the output [variability]. (Obviously, one could also ask a similar question for statistical analyses!)  For instance, issues of singularity arise among those stochastic process priors.

Another question that stemmed from this talk is whether or not more efficient numerical methods can derived that way, in addition to recovering the most classical ones. Somewhat, somehow, given the idealised nature of the prior, it feels like priors could be more easily compared or ranked than in classical statistical problems. Since the aim is to figure out the value of an integral or the solution to an ODE. (Or maybe not, since again almost the same could be said about estimating a normal mean.)

travellin’ week ahead

Posted in Books, Statistics, Travel, University life with tags , , , , , , , , on November 24, 2013 by xi'an

London by Delta, Dec. 14, 2011Next week is my week at the University of Warwick, where I will give a seminar at the CRiSM seminar on Thursday. Along with my friend Olli Ratmann. Except that I also got invited at the Luxembourg annual statistics conference the same week, meaning I will travel to Luxembourg on Wednesday to give my talk. (First time ever.) And the easiest way from Coventry is to fly thru Paris. In preparation for this travelling schedule bordering the insane, I printed a whole heap of arXiv publications… Keep posted!

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!)

UseR! 2011 in Warwick

Posted in R, Statistics, University life with tags , , , , on February 20, 2011 by xi'an

This year useR! conference will take place in Warwick, on August 16-18.  It is being organised by the department of Statistics and funded by CRiSM and Revolution Analytics (providers of the R tee-shirt!). I wish I could attend but mid-August is usually associated with genuine (post-JSM) family vacations.

ABC model choice not to be trusted [3]

Posted in R, Statistics with tags , , , , , on January 31, 2011 by xi'an

On Friday, I received a nice but embarrassing email from Xavier Didelot. He indeed reminded me that I attended the talk he gave at the model choice workshop in Warwick last May, as, unfortunately but rather unsurprisingly giving my short span memory!, I had forgotten about it! Looking at the slides he joined to his email, I indeed remember attending the talk and expecting to get back to the results after the meeting. As I went from Warwick to Paris only to leave a day after for Benidorm, and the Valencia 9 meeting, in such a hurry that I even forgot my current black notebook, the plans of getting back to the talk got forgotten so completely that even reading the tech report (now appeared in Bayesian Analysis) could not rescind them!

Here are some of Xavier’s comments, followed by my answers: Continue reading

New arXiv papers

Posted in Statistics, Travel, University life with tags , , , , on June 16, 2010 by xi'an

Some recent arXiv papers I will not have time to comment:

Follow

Get every new post delivered to your Inbox.

Join 892 other followers