As a visiting professor at ParisDauphine next month, Pierre Jacob will give a series of lectures on coupling and Monte Carlo. Next month on Feb. 13, 14, 25 27, at Université ParisDauphine, the first two starting at 8:30 (room E) and the last two starting at 13:45 (room F and D201, respectively). Attendance is open to all and material will be made available on the lecture webpage.
Archive for graduate course
Couplings and Monte Carlo [advanced graduate course at Dauphine by Pierre Jacob]
Posted in Kids, pictures, Statistics, Travel with tags coupling, graduate course, Monte Carlo methods, optimal transport, Paris, Pierre Jacob, Université Paris Dauphine on January 20, 2020 by xi'andifficult times for postdocs
Posted in Kids, Travel, University life with tags fellowships, graduate course, Nature, postdocs, postdoctoral position, University of Warwick on July 16, 2016 by xi'anIn the plane to Warwick on Monday, I was reading my latest issue of Nature and found an interesting editorial on the financial plight of many graduates and postdocs in both the US and the UK (and certainly elsewhere). Who, despite having a fellowship, cannot make ends meet. This is particularly true in expensive cities like London, Oxford or even Paris, where rents force those new researchers to face long commuting hours. The editorial suggests taking extrajobs to make up for financial difficulties, but this does not sound to me like a particularly pertinent recommendation if it means taking time off one’s research, at the period in a researcher’s career where one’s energy should be mostly directed at the production of papers towards securing a (more) permanent job. Even teaching can prove too time consuming for finishing PhD students. An adequation between the needs of those young researchers and the institutional support they receive would sound like a natural requirement, while graduates looking for fellowship should truly assess the adequation in detail before accepting an offer.Which of course is not always easy. In countries where postdoctoral contracts are not negotiable and are set at a national level (like, e.g., France), checking with earlier fellows is a must. (As it happens or happened, I was quite lucky to spend my postdoctoral years in cheap places with decent support from the local universities, but this is not relevant in today’s environment!)
marauders of the lost sciences
Posted in Books, Statistics, University life with tags blogging, classics, graduate course, marauders of Gor, R.A. Fisher, Raiders of the Lost Ark, reading list on October 26, 2014 by xi'anThe editors of a new blog entitled Marauders of the Lost Sciences (Learn from the giants) sent me an email to signal the start of this blog with a short excerpt from a giant in maths or stats posted every day:
There is a new blog I wanted to tell you about which excerpts one interesting or classic paper or book a day from the mathematical sciences. We plan on daily posting across the range of mathematical fields and at any level, but about 2030% of the posts in queue are from statistics. The goal is to entice people to read the great works of old. The first post today was from an old paper by Fisher applying Group Theory to the design of experiments.
Interesting concept, which will hopefully generate comments to put the quoted passage into context. Somewhat connected to my Reading Statistical Classics posts. Which incidentally if sadly will not take place this year since only two students registered. should take place in the end since more students registered! (I am unsure about the references behind the title of that blog, besides Spielberg’s Raiders of the Lost Ark and Norman’s Marauders of Gor… I just hope Statistics does not qualify as a lost science!)
Bayesian Data Analysis [BDA3 – part #2]
Posted in Books, Kids, R, Statistics, University life with tags Andrew Gelman, Bayesian data analysis, Bayesian model choice, Bayesian predictive, finite mixtures, graduate course, hierarchical Bayesian modelling, rats, STAN on March 31, 2014 by xi'anHere is the second part of my review of Gelman et al.’ Bayesian Data Analysis (third edition):
“When an iterative simulation algorithm is “tuned” (…) the iterations will not in general converge to the target distribution.” (p.297)
Part III covers advanced computation, obviously including MCMC but also model approximations like variational Bayes and expectation propagation (EP), with even a few words on ABC. The novelties in this part are centred at Stan, the language Andrew is developing around Hamiltonian Monte Carlo techniques, a sort of BUGS of the 10’s! (And of course Hamiltonian Monte Carlo techniques themselves. A few (nit)pickings: the book advises important resampling without replacement (p.266) which makes some sense when using a poor importance function but ruins the fundamentals of importance sampling. Plus, no trace of infinite variance importance sampling? of harmonic means and their dangers? In the MetropolisHastings algorithm, the proposal is called the jumping rule and denoted by J_{t}, which, besides giving the impression of a Jacobian, seems to allow for timevarying proposals and hence timeinhomogeneous Markov chains, which convergence properties are much hairier. (The warning comes much later, as exemplified in the above quote.) Moving from “burnin” to “warmup” to describe the beginning of an MCMC simulation. Being somewhat 90’s about convergence diagnoses (as shown by the references in Section 11.7), although the book also proposes new diagnoses and relies much more on effective sample sizes. Particle filters are evacuated in hardly halfapage. Maybe because Stan does not handle particle filters. A lack of intuition about the Hamiltonian Monte Carlo algorithms, as the book plunges immediately into a twopage pseudocode description. Still using physics vocabulary that put me (and maybe only me) off. Although I appreciated the advice to check analytical gradients against their numerical counterpart.
“In principle there is no limit to the number of levels of variation that can be handled in this way. Bayesian methods provide ready guidance in handling the estimation of the unknown parameters.” (p.381)
I also enjoyed reading the part about modes that stand at the boundary of the parameter space (Section 13.2), even though I do not think modes are great summaries in Bayesian frameworks and while I do not see how picking the prior to avoid modes at the boundary avoids the data impacting the prior, in fine. The variational Bayes section (13.7) is equally enjoyable, with a proper spelledout illustration, introducing an unusual feature for Bayesian textbooks. (Except that sampling without replacement is back!) Same comments for the Expectation Propagation (EP) section (13.8) that covers brand new notions. (Will they stand the test of time?!)
“Geometrically, if βspace is thought of as a room, the model implied by classical model selection claims that the true β has certain prior probabilities of being in the room, on the floor, on the walls, in the edge of the room, or in a corner.” (p.368)
Part IV is a series of five chapters about regression(s). This is somewhat of a classic, nonetheless Chapter 14 surprised me with an elaborate election example that dabbles in advanced topics like causality and counterfactuals. I did not spot any reference to the gprior or to its intuitive justifications and the chapter mentions the lasso as a regularisation technique, but without any proper definition of this “popular nonBayesian form of regularisation” (p.368). In French: with not a single equation! Additional novelty may lie in the numerical prior information about the correlations. What is rather crucially (cruelly?) missing though is a clearer processing of variable selection in regression models. I know Andrew opposes any notion of a coefficient being exactly equal to zero, as ridiculed through the above quote, but the book does not reject model selection, so why not in this context?! Chapter 15 on hierarchical extensions stresses the link with exchangeability, once again. With another neat election example justifying the progressive complexification of the model and the cranks and toggles of model building. (I am not certain the reparameterisation advice on p.394 is easily ingested by a newcomer.) The chapters on robustness (Chap. 17) and missing data (Chap. 18) sound slightly less convincing to me, esp. the one about robustness as I never got how to make robustness agree with my Bayesian perspective. The book states “we do not have to abandon Bayesian principles to handle outliers” (p.436), but I would object that the Bayesian paradigm compels us to define an alternative model for those outliers and the way they are produced. One can always resort to a drudging exploration of which subsample of the dataset is at odds with the model but this may be unrealistic for large datasets and further tells us nothing about how to handle those datapoints. The missing data chapter is certainly relevant to such a comprehensive textbook and I liked the survey illustration where the missing data was in fact made of missing questions. However, I felt the multiple imputation part was not wellpresented, fearing readers would not understand how to handle it…
“You can use MCMC, normal approximation, variational Bayes, expectation propagation, Stan, or any other method. But your fit must be Bayesian.” (p.517)
Part V concentrates the most advanced material, with Chapter 19 being mostly an illustration of a few complex models, slightly superfluous in my opinion, Chapter 20 a very short introduction to functional bases, including a basis selection section (20.2) that implements the “zero coefficient” variable selection principle refuted in the regression chapter(s), and does not go beyond splines (what about wavelets?), Chapter 21 a (quick) coverage of Gaussian processes with the motivating birthdate example (and two mixture datasets I used eons ago…), Chapter 22 a more (too much?) detailed study of finite mixture models, with no coverage of reversiblejump MCMC, and Chapter 23 an entry on Bayesian nonparametrics through Dirichlet processes.
“In practice, for well separated components, it is common to remain stuck in one labelling across all the samples that are collected. One could argue that the Gibbs sampler has failed in such a case.” (p.535)
To get back to mixtures, I liked the quote about the label switching issue above, as I was “one” who argued that the Gibbs sampler fails to converge! The corresponding section seems to favour providing a density estimate for mixture models, rather than componentwise evaluations, but it nonetheless mentions the relabelling by permutation approach (if missing our 2000 JASA paper). The section about inferring on the unknown number of components suggests conducting a regular Gibbs sampler on a model with an upper bound on the number of components and then checking for empty components, an idea I (briefly) considered in the mid1990’s before the occurrence of RJMCMC. Of course, the prior on the components matters and the book suggests using a Dirichlet with fixed sum like 1 on the coefficients for all numbers of components.
“14. Objectivity and subjectivity: discuss the statement `People tend to believe results that support their preconceptions and disbelieve results that surprise them. Bayesian methods tend to encourage this undisciplined mode of thinking.’¨ (p.100)
Obviously, this being a third edition begets the question, what’s up, doc?!, i.e., what’s new [when compared with the second edition]? Quite a lot, even though I am not enough of a Gelmanian exegist to produce a comparision table. Well, for a starter, David Dunson and Aki Vethtari joined the authorship, mostly contributing to the advanced section on nonparametrics, Gaussian processes, EP algorithms. Then the Hamiltonian Monte Carlo methodology and Stan of course, which is now central to Andrew’s interests. The book does include a short Appendix on running computations in R and in Stan. Further novelties were mentioned above, like the vision of weakly informative priors taking over noninformative priors but I think this edition of Bayesian Data Analysis puts more stress on clever and critical model construction and on the fact that it can be done in a Bayesian manner. Hence the insistence on predictive and crossvalidation tools. The book may be deemed somewhat short on exercices, providing between 3 and 20 mostly welldeveloped problems per chapter, often associated with datasets, rather than the less exciting counterexample above. Even though Andrew disagrees and his students at ENSAE this year certainly did not complain, I personally feel a total of 220 exercices is not enough for instructors and selfstudy readers. (At least, this reduces the number of email requests for solutions! Esp. when 50 of those are solved on the book website.) But this aspect is a minor quip: overall this is truly the reference book for a graduate course on Bayesian statistics and not only Bayesian data analysis.
Bayesian Data Analysis [BDA3]
Posted in Books, Kids, R, Statistics, University life with tags Andrew Gelman, Bayesian data analysis, Bayesian model choice, Bayesian predictive, finite mixtures, graduate course, hierarchical Bayesian modelling, rats, STAN on March 28, 2014 by xi'anAndrew Gelman and his coauthors, John Carlin, Hal Stern, David Dunson, Aki Vehtari, and Don Rubin, have now published the latest edition of their book Bayesian Data Analysis. David and Aki are newcomers to the authors’ list, with an extended section on nonlinear and nonparametric models. I have been asked by Sam Behseta to write a review of this new edition for JASA (since Sam is now the JASA book review editor). After wondering about my ability to produce an objective review (on the one hand, this is The Competition to Bayesian Essentials!, on the other hand Andrew is a good friend spending the year with me in Paris), I decided to jump for it and write a most subjective review, with the help of Clara Grazian who was Andrew’s teaching assistant this year in Paris and maybe some of my Master students who took Andrew’s course. The second edition was reviewed in the September 2004 issue of JASA and we now stand ten years later with an even more impressive textbook. Which truly what Bayesian data analysis should be.
This edition has five parts, Fundamentals of Bayesian Inference, Fundamentals of Bayesian Data Analysis, Advanced Computation, Regression Models, and Nonlinear and Nonparametric Models, plus three appendices. For a total of xiv+662 pages. And a weight of 2.9 pounds (1395g on my kitchen scale!) that makes it hard to carry around in the metro…. I took it to Warwick (and then Nottingham and Oxford and back to Paris) instead.
“We could avoid the mathematical effort of checking the integrability of the posterior density (…) The result would clearly show the posterior contour drifting off toward infinity.” (p.111)
While I cannot go into a detailed reading of those 662 pages (!), I want to highlight a few gems. (I already wrote a detailed and critical analysis of Chapter 6 on model checking in that post.) The very first chapter provides all the necessary items for understanding Bayesian Data Analysis without getting bogged in propaganda or pseudophilosophy. Then the other chapters of the first part unroll in a smooth way, cruising on the B highway… With the unique feature of introducing weakly informative priors (Sections 2.9 and 5.7), like the halfCauchy distribution on scale parameters. It may not be completely clear how weak a weakly informative prior, but this novel notion is worth including in a textbook. Maybe a mild reproach at this stage: Chapter 5 on hierarchical models is too verbose for my taste, as it essentially focus on the hierarchical linear model. Of course, this is an essential chapter as it links exchangeability, the “atom” of Bayesian reasoning used by de Finetti, with hierarchical models. Still. Another comment on that chapter: it broaches on the topic of improper posteriors by suggesting to run a Markov chain that can exhibit improperness by enjoying an improper behaviour. When it happens as in the quote above, fine!, but there is no guarantee this is always the case! For instance, improperness may be due to regions near zero rather than infinity. And a last barb: there is a dense table (Table 5.4, p.124) that seems to run contrariwise to Andrew’s avowed dislike of tables. I could also object at the idea of a “true prior distribution” (p.128), or comment on the trivia that hierarchical chapters seem to attract rats (as I also included a rat example in the hierarchical Bayes chapter of Bayesian Choice and so does the BUGS Book! Hence, a conclusion that Bayesian textbooks are better be avoided by muriphobiacs…)
“Bayes factors do not work well for models that are inherently continuous (…) Because we emphasize continuous families of models rather than discrete choices, Bayes factors are rarely relevant in our approach to Bayesian statistics.” (p.183 & p.193)
Part II is about “the creative choices that are required, first to set up a Bayesian model in a complex problem, then to perform the model checking and confidence building that is typically necessary to make posterior inferences scientifically defensible” (p.139). It is certainly one of the strengths of the book that it allows for a critical look at models and tools that are rarely discussed in more theoretical Bayesian books. As detailed in my earlier post on Chapter 6, model checking is strongly advocated, via posterior predictive checks and… posterior predictive pvalues, which are at best empirical indicators that something could be wrong, definitely not that everything’s allright! Chapter 7 is the model comparison equivalent of Chapter 6, starting with the predictive density (aka the evidence or the marginal likelihood), but completely bypassing the Bayes factor for information criteria like the WatanabeAkaike or widely available information criterion (WAIC), and advocating crossvalidation, which is empirically satisfying but formally hard to integrate within a full Bayesian perspective. Chapter 8 is about data collection, sample surveys, randomization and related topics, another entry that is missing from most Bayesian textbooks, maybe not that surprising given the research topics of some of the authors. And Chapter 9 is the symmetric in that it focus on the postmodelling step of decision making.
(Second part of the review to appear on Monday, leaving readers the weekend to recover!)
Gelman’s course in Paris, next term!
Posted in Books, Kids, Statistics, University life with tags Andrew Gelman, Bayesian data analysis, ENSAE, graduate course on August 2, 2013 by xi'anAndrew Gelman will be visiting ParisDauphine and CREST next academic year, with support from those institutions as well as CNRS and Ville de Paris). Which is why he is learning how to pronounce Le loup est revenu. (Maybe not why, as this is not the most useful sentence in downtown Paris…) Very exciting news for all of us local Bayesians (or bayésiens). In addition, Andrew will teach from the latest edition of his book Bayesian Data Analysis, coauthored by John Carlin, Hal Stern, David Dunson, Aki Vehtari, and Don Rubin. He will actually start teaching miOctober, which means the book will not be out yet: so the students at ParisDauphine and ENSAE will get a true avantpremière of Bayesian Data Analysis. Of course, this item of information will be sadistically tantalising to ‘Og’s readers who cannot spend the semester in Paris. For those who can, I presume there is a way to register for the course as auditeur libre at either ParisDauphine or ENSAE.
Note that the cover links with an earlier post of Aki on Andrew’s blog about the holiday effect. (Also mentioned earlier on the ‘Og…)
Michael Jordan’s course at CREST
Posted in Statistics, University life with tags Bayesian nonparametrics, bootstrap, CREST, ENSAE, graduate course, Michael Jordan, Paris, PhD course, Stein's method on March 26, 2013 by xi'anNext month, Michael Jordan will give an advanced course at CRESTENSAE, Paris, on Recent Advances at the Interface of Computation and Statistics. The course will take place on April 4 (14:00, ENSAE, Room #11), 11 (14:00, ENSAE, Room #11), 15 (11:00, ENSAE, Room #11) and 18 (14:00, ENSAE, Room #11). It is open to everyone and attendance is free. The only constraint is a compulsory registration with Nadine Guedj (email: guedj[AT]ensae.fr) for security issues. I strongly advise all graduate students who can take advantage of this fantastic opportunity to grasp it! Here is the abstract to the course:
“I will discuss several recent developments in areas where statistical science meets computational science, with particular concern for bringing statistical inference into contact with distributed computing architectures and with recursive data structures :

How does one obtain confidence intervals in massive data sets? The bootstrap principle suggests resampling data to obtain fluctuations in the values of estimators, and thereby confidence intervals, but this is infeasible computationally with massive data. Subsampling the data yields fluctuations on the wrong scale, which have to be corrected to provide calibrated statistical inferences. I present a new procedure, the “bag of little bootstraps,” which circumvents this problem, inheriting the favorable theoretical properties of the bootstrap but also having a much more favorable computational profile.

The problem of matrix completion has been the focus of much recent work, both theoretical and practical. To take advantage of distributed computing architectures in this setting, it is natural to consider divideandconquer algorithms for matrix completion. I show that these work well in practice, but also note that new theoretical problems arise when attempting to characterize the statistical performance of these algorithms. Here the theoretical support is provided by concentration theorems for random matrices, and I present a new approach to matrix concentration based on Stein’s method.

Bayesian nonparametrics involves replacing the “prior distributions” of classical Bayesian analysis with “prior stochastic processes.” Of particular value are the class of “combinatorial stochastic processes,” which make it possible to express uncertainty (and perform inference) over combinatorial objects that are familiar as data structures in computer science.”
References are available on Michael’s homepage.