Archive for Hamburg

computational methods for statistical mechanics [day #1]

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , on June 4, 2014 by xi'an

Arthur Seat, Edinburgh, Sep. 7, 2011

The first talks of the day at this ICMS workshop [“at the interface between mathematical statistics and molecular simulation”] were actually lectures introducing molecular simulation to statisticians by Michael Allen from Warwick and computational statistics to physicists by Omiros Papaspiliopoulos. Allen’s lecture was quite pedagogical, even though I had to quiz wikipedia for physics terms and notions. Like a force being the gradient of a potential function. He gave a physical meaning to Langevin’ equation. As well as references from the Journal of Chemical Physics that were more recent than 1953. He mentioned alternatives to Langevin’s equation too and I idly wondered at the possibility of using those alternatives as other tools for improved MCMC simulation. Although introducing friction may not be the most promising way to speed up the thing… He later introduced what statisticians call Langevin’ algorithm (MALA) as smart Monte Carlo (Rossky et al., …1978!!!). Recovering Hamiltonian and hybrid Monte Carlo algorithms as a fusion of molecular dynamics, Verlet algorithm, and Metropolis acceptance step! As well as reminding us of the physics roots of umbrella sampling and the Wang-Landau algorithm.

Omiros Papaspiliopoulos also gave a very pedagogical entry to the convergence of MCMC samplers which focussed on the L² approach to convergence. This reminded me of the very first papers published on the convergence of the Gibbs sampler, like the 1990 1992 JCGS paper by Schervish and Carlin. Or the 1991 1996 Annals of Statistics by Amit. (Funny that I located both papers much earlier than when they actually appeared!) One surprising fact was that the convergence of all reversible  ergodic kernels is necessarily geometric. There is no classification of kernels in this topology, the only ranking being through the respective spectral gaps. A good refresher for most of the audience, statisticians included.

The following talks of Day 1 were by Christophe Andrieu, who kept with the spirit of a highly pedagogical entry, covering particle filters, SMC, particle Gibbs and pseudo-marginals, and who hit the right tone I think given the heterogeneous audience. And by Ben Leimkuhler about particle simulation for very large molecular structures. Closing the day by focussing on Langevin dynamics. What I understood from the talk was an improved entry into the resolution of some SPDEs. Gaining two orders when compared with Euler-Marayama.  But missed the meaning of the friction coefficient γ converging to infinity in the title…

computational methods for statistical mechanics

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , on May 30, 2014 by xi'an

North Bridge, Edinburgh, Scotland, Apr. 24, 2012, on our way to the conference dinner at The Magnum

Next weak (hopefully not weak!) week,  I will have the pleasure of visiting Scotland again! Indeed, I have been invited to take part to an ICMS workshop on the above topic, located “at the interface between mathematical statistics and molecular simulation”. A wonderful opportunity to meet researchers in computational physics, if challenging because of the different notations and focus as already experience im Hamburg. And to talk about some of my most current MCMC research, if I have time to modify my talk and complete a submission to NIPS… All this in the great environment of ICMS (International Centre for Mathemtical Sciences). And forecasting a pleasant time in Edinburgh, on Arthur’s Seat, and hopefully in the Scottish Highlands.

truncated t’s [typo]

Posted in pictures, Statistics with tags , , , , , on March 14, 2014 by xi'an

Last night, I received this email from Piero Foscari (im Hamburg) about my moment derivations for the absolute and the positive t distribution:

Elben, Hamburg, Feb. 21, 2013There might be two typos in the final second moment formula and its derivation (assuming no silly symmetric mistakes in my validation code): the first ν ought to be -ν, and there should be a corresponding scaling factor also for the boundary μ in Pμ,ν-2 since it arises from a change of variable. Btw in the text reference to Fig. 2 |X| wasn’t updated to X+. I hope that this is of some use.

and I checked that indeed I had forgotten the scale factor ν/(ν-2) in the t distribution with ν-2 degrees of freedom as well as the sign… So I modified the note and rearXived it. Sorry about this lack of attention to the derivation!

art brut

Posted in pictures, Travel with tags , , on March 3, 2013 by xi'an

concrete blocks, DESY, Hamburg, Feb. 20, 2013

an hectic trip!

Posted in Running, Statistics, Travel, University life with tags , , , , , , , on February 22, 2013 by xi'an

Elben, Hamburg, Feb. 21, 2013The trip to Hamburg had started inauspiciously: a heart attack (someone else’s heart) in the métro (RER) has frozen the train traffic completely on Tuesday and I was lucky to find a taxi that managed to drive me to the airport in the nick of time. As there were warnings of strike in the Hamburg airport today, I decided to pack early and left DESY long enough in advance to reach the aiport by public transportation: it is only once I cleared security and sat at the gate that I realised I had forgotten my PC power box/cord in my room at DESY. What a drag! Anyway, I managed to buy a universal adapter in Paris on my way back from the airport and still to attend Adam Johansen’s seminar on Rao-Blackwellisation of particle filters at the Big’MC seminar. An interesting exploitation of missing variable structures within missing variables in a hidden Markov chain! (I missed the reason for the O(NM) computing time, though.) On the way home, I reflected on how little I had seen of Hamburg: a nice train system, a green and pleasant suburban area south of DESY towards the Elben (Groß Flottbeck), while running this morning, and…the airport! I wish I had had the opportunity and the time to get a glimpse of downtown Hamburg.

morning run

Posted in pictures, Running, Travel with tags , , on February 21, 2013 by xi'an

Elben, Hamburg, Feb. 21, 2013

Monte Carlo workshop (Tage 1 & 2)

Posted in Statistics, Travel, University life with tags , , , , , , , , , , on February 21, 2013 by xi'an

IMG_4803Gathering with simulators from other fields (mostly [quantum] physicists) offers both the appeal of seeing different perspectives on simulation and the diffiulty of having to filter alien vocabulary and presentation styles (generally assuming too much background from the audience). For instance; while the first talk on Tuesday by Gergely Barnaföldi about using GPUs for simulation was quite accessible, showing poor performances of the (CPU based) Mersenne twister., when using Dieharder as the evaluator. (This was in comparison with GPU-based solutions.) This provided an interesting contrapoint to the (later) seminar by Frederik James on random generators. (Of course, I did have some preliminary background on the topic.)

On the opposite, the second talk by Stefan Schäfer involved hybrid Monte Carlo methods but it took a lot of efforts (for me) to translate back to my understanding of the notion, gathered from this earlier Read Paper of Girolami and Calderhead, with the heat-bath and leapfrog algorithms. One extreme talk in this regard was William Lester’s talk on Wednesday morning on quantum Monte Carlo and its applications in computational chemistry where I could not get past the formulas! Too bad because it sounded quite innovative with notions like variational Monte Carlo and diffusion Monte Carlo… Nice movies, though. On the other hand, the final talk of the morning by Gabor Molnar-Saska on option pricing was highly pedagogical, defining everything and using simple examples as illustrations. (It certainly did not cure my misgivings about modelling the evolution of stock prices via pre-defined diffusions like Black-and-Scholes’, but the introduction was welcome, given the heterogeneity of the audience.) Both talks on transportation problems were also more accessible (maybe because they involved no pysics!)

The speakers in the afternoon sessions of Wednesday also made a huge effort to bring the whole audience up-to-date about their topic, like protein folding and high-energy particle physics (although everyone knows about the Higgs boson nowadays!). And ensemble Kalman filters (x2). In particular, Andrew Stuart did a great job with his simulation movies. Even the final talk about path-sampling for quantum simulation was mostly understandable, at least the problematic of it.  Sadly, at this stage, I still cannot put a meaning on “quantum Monte Carlo”… (Incidentally, I do not think my own talk reached much of the audience, missing convincing examples I did not have time to present:)