Archive for Dublin

the HMC algorithm meets the exchange algorithm

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , on July 26, 2017 by xi'an

Julien Stoehr (now in Dublin, soon to join us as a new faculty in Paris-Dauphine!), Alan Benson and Nial Friel (both at UCD) arXived last week a paper entitled Noisy HMC for doubly-intractable distributions. Which considers solutions for adapting Hamiltonian Monte Carlo to target densities that involve a missing constant. In the sense of our workshop last year in Warwick. And in the theme pursued by Nial in the past years. The notion is thus to tackle a density π(θ)∞exp(V(X|θ)/Z(θ) when Z(θ) is intractable. In that case the gradient of log Z(θ) can be estimated as the expectation of the gradient of V(X|θ) [as a standard exponential family identity]. And the ratio of the Z(θ)’s appearing in the Metropolis ratio can be derived by Iain Murray’s exchange algorithm, based on simulations from the sampling distribution attached to the parameter in the denominator.

The resulting algorithm proposed by the authors thus uses N simulations of auxiliary variables at each step þ of the leapfrog part, towards an approximation of the gradient term, plus another N simulations for approximating the ratio of the normalising constants Z(θ)/Z(θ’). While justified from an importance sampling perspective, this approximation is quite poor when θ and θ’ differ. A better solution [as shown in the paper] is to take advantage of all leapfrog steps and of associated auxiliary simulations to build a telescopic product of ratios where the parameter values θ and θ’ are much closer. The main difficulty is in drawing a comparison with the exchange algorithm, since the noisy HMC version is computationally more demanding. (A secondary difficulty is in having an approximate algorithm that no longer leaves the target density stationary.)

Bacon in the Library [jatp]

Posted in Books, Kids, pictures, Travel, University life with tags , , , , , , , on May 23, 2017 by xi'an

The Riddle of the Sands [not a book review]

Posted in Books, Kids, pictures, Travel with tags , , , , , on May 22, 2017 by xi'an

Visiting Dublin last weekend led me to learn of the sad end of the author of The Riddle of the Sands, (Robert) Erskine Childers.  To my surprise, I indeed found out when reading about the Irish Civil War of the early 20’s that he was executed by a firing squad as a member of the anti-Treaty Sinn Féin. What could have led the author of the role model of classical spy novels, The Riddle of the Sands, to this tragical ending?! While his book was immensely popular in Britain, to the point of impacting the preparations for war in the years before WWI, and while he served as instructor of pilots towards a possible attack of Germany through the very Frisian islands appearing in the novel, he turned progressively towards Irish nationalism, smuggling weapons on his own boat, and opposing the treaty with Britain to  the point of joining the anti-treaty Sinn Féin. When a pistol was found at his home, he was sentenced to death and executed two days later.

dreamed a dream by the old canal [jatp]

Posted in Kids, pictures, Running, Travel with tags , , , , , , , , on May 17, 2017 by xi'an

Wicklow Mountains [jatp]

Posted in Statistics with tags , , , , , , , , , , on May 14, 2017 by xi'an

11 million French voters voted for the far-right candidate

Posted in Books, Kids, pictures, Travel, University life with tags , , , , on May 8, 2017 by xi'an

talk at Trinity College

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , on May 7, 2017 by xi'an

Tomorrow noon, I will give a talk at Trinity College Dublin on the asymptotic properties of ABC. (Here are the slides from the talk I gave in Berlin last month.)