**I** was reading the latest ISBA Bulletin and the tribune by ISBA President Sudipto Banerjee celebrating the return to the physical ISBA World meeting, along with worries about participants who caught COVID there. (Unfortunately, one good friend of mine experienced symptoms that went beyond the mild cold-like ones I zoomed through a few days ago.) This particular issue of creating a COVID cluster [during coffee breaks?!] provides [me with] one further argument for my supporting hybrid and multimodal meetings on a general basis. Which should [imho] appear in the proposals for the 2026 and 2028 World Meetings (deadline on 31 October)…(The 2024 meeting in Venezia will certainly involve hybridicity! As will BayesComp in Levi.) Discussing the topic with others in some scientific committees recently made me realise this was not such a shared perspective, from reasons varying from worrying about balancing the budget, to zoom fatigue, to the added value of informal interactions. Still, there also are reasons for hybridising our meetings, from reduced travel impact, to more inclusiveness, on geographical, diversity, affordability, seniority grounds. Holding hybrid conferences with multiple regional mirrors allows for a potentially higher degree of interaction and local input. And a minimal organisational effort.

## Archive for hybrid Monte Carlo

## keep meetings hybrid

Posted in Statistics, Travel, University life with tags ABC in Grenoble, COVID-19, diversity, Finland, Grenoble, hybrid Monte Carlo, inclusiveness, INRIA, ISBA 2022, ISBA Bulletin, Italy, Levi, mirror workshop, Mont Royal, Montréal, Québec, Saint-Laurent, Università Ca' Foscari Venezia, University of Warwick on September 30, 2022 by xi'an## congrats, Dr. Clarté!

Posted in Books, pictures, Statistics, Travel, University life with tags ABC, ABC in Helsinki, ABC-Gibbs, fantasy, hybrid Monte Carlo, PhD thesis, PSL Research University, Teams, thesis defence, Université Paris Dauphine, University of Helsinki on October 9, 2021 by xi'an**G**régoire Clarté, whom I co-supervised with Robin Ryder, successfully defended his PhD thesis last Wednesday! On sign language classification, ABC-Gibbs and collective non-linear MCMC. Congrats to the now Dr.Clarté for this achievement and all the best for his coming Nordic adventure, as he is starting a postdoc at the University of Helsinki, with Aki Vehtari and others. It was quite fun to work with Grégoire along these years. And discussing on an unlimited number of unrelated topics, incl. fantasy books, teas, cooking and the role of conferences and travel in academic life! The defence itself proved a challenge as four members of the jury, incl. myself, were “present remotely” and frequently interrupted him for gaps in the Teams transmission, which nonetheless broadcasted perfectly the honks of the permanent traffic jam in Porte Dauphine… (And alas could not share a celebratory cup with him!)

## convergence of MCMC

Posted in Statistics with tags David MacKay, Hamiltonian Monte Carlo, hybrid Monte Carlo, ICMS, MCMC, molecular simulation, Monte Carlo Statistical Methods, physics, quantum physics, simulation on June 16, 2017 by xi'an**M**ichael Betancourt just posted on arXiv an historical review piece on the convergence of MCMC, with a physical perspective.

“The success of these~~of~~Markov chain Monte Carlo, however, contributed to its owndemise.”

The discourse proceeds through augmented [reality!] versions of MCMC algorithms taking advantage of the shape and nature of the target distribution, like Langevin diffusions [which cannot be simulated directly *and* exactly at the same time] in statistics and molecular dynamics in physics. (Which reminded me of the two parallel threads at the ICMS workshop we had a few years ago.) Merging into hybrid Monte Carlo, morphing into Hamiltonian Monte Carlo under the quills of Radford Neal and David MacKay in the 1990’s. It is a short entry (and so is this post), with some background already well-known to the community, but it nonetheless provides a perspective and references rarely mentioned in statistics.

## slice sampling revisited

Posted in Books, pictures, Statistics with tags cross validated, detailed balance, Hamiltonian Monte Carlo, Harris recurrence, hybrid Monte Carlo, invariance, overrelaxation, Radford Neal, slice sampling on April 15, 2016 by xi'an**T**hanks to an X validated question, I re-read Radford Neal’s 2003 Slice sampling paper. Which is an Annals of Statistics discussion paper, and rightly so. While I was involved in the editorial processing of this massive paper (!), I had only vague memories left about it. Slice sampling has this appealing feature of being the equivalent of random walk Metropolis-Hastings for Gibbs sampling, without the drawback of setting a scale for the moves.

“These slice sampling methods can adaptively change the scale of changes made, which makes them easier to tune than Metropolis methods and also avoids problems that arise when the appropriate scale of changes varies over the distribution (…) Slice sampling methods that improve sampling by suppressing random walks can also be constructed.” (p.706)

One major theme in the paper is fighting random walk behaviour, of which Radford is a strong proponent. Even at the present time, I am a bit surprised by this feature as component-wise slice sampling is exhibiting clear features of a random walk, exploring the subgraph of the target by random vertical and horizontal moves. Hence facing the potential drawback of backtracking to previously visited places.

“A Markov chain consisting solely of overrelaxed updates might not be ergodic.” (p.729)

Overrelaxation is presented as a mean to avoid the random walk behaviour by removing rejections. The proposal is actually deterministic projecting the current value to the “other side” of the approximate slice. If it stays within the slice it is accepted. This “reflection principle” [in that it takes the symmetric wrt the centre of the slice] is also connected with antithetic sampling in that it induces rather negative correlation between the successive simulations. The last methodological section covers reflective slice sampling, which appears as a slice version of Hamiltonian Monte Carlo (HMC). Given the difficulty in implementing exact HMC (reflected in the later literature), it is no wonder that Radford proposes an approximation scheme that is valid if somewhat involved.

“We can show invariance of this distribution by showing (…) detailed balance, which for a uniform distribution reduces to showing that the probability density for x¹ to be selected as the next state, given that the current state is x0, is the same as the probability density for x⁰ to be the next state, given that x¹ is the current state, for any states x⁰ and x¹ within [the slice] S.” (p.718)

In direct connection with the X validated question there is a whole section of the paper on implementing single-variable slice sampling that I had completely forgotten, with a collection of practical implementations when the slice

S={x; u < f(x) }

cannot be computed in an exact manner. Like the “stepping out” procedure. The resulting set (interval) where the uniform simulation in x takes place may well miss some connected component(s) of the slice. This quote may sound like a strange argument in that the move may well leave a part of the slice off and still satisfy this condition. Not really since it states that it must hold for any pair of states within S… The very positive side of this section is to allow for slice sampling in cases where the inversion of u < f(x) is intractable. Hence with a strong practical implication. The multivariate extension of the approximation procedure is more (potentially) fraught with danger in that it may fell victim to a curse of dimension, in that the box for the uniform simulation of x may be much too large when compared with the true slice (or slice of the slice). I had more of a memory of the “trail of crumbs” idea, mostly because of the name I am afraid!, which links with delayed rejection, as indicated in the paper, but seems awfully delicate to calibrate.

## Monte Carlo workshop (Tage 1 & 2)

Posted in Statistics, Travel, University life with tags DESY, Dieharder, Germany, Hamburg, Higgs boson, hybrid Monte Carlo, leapfrog generator, Monte Carlo methods, particle physics, protein folding, simulation on February 21, 2013 by xi'an**G**athering 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.)

**O**n 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!)

**T**he 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:)*