Next week, Rémi Bardenet is giving a seminar in Paris, Thursday April 14, 2pm, in ENSAE [room 15] on MCMC methods for tall data. Unfortunately, I will miss this opportunity to discuss with Rémi as I will be heading to La Sapienza, Roma, for Clara Grazian‘s PhD defence the next day. And on Monday afternoon, April 11, Nicolas Chopin will give a talk on quasi-Monte Carlo for sequential problems at Institut Henri Poincaré.
Archive for Institut Henri Poincaré
Last session of our Big’MC seminar at Institut Henri Poincaré this year, on
Tuesday Thursday, June 19, with
Chris Holmes (Oxford) at 3pm on
Robust statistical decisions via re-weighted Monte Carlo samples
and Pierre Pudlo (iC3M, Université de Montpellier 2) at 4:15pm on [our joint work]
ABC and machine learning
Yesterday, Luke Bornn and Pierre Jacob gave a talk at our big’MC ‘minar. While I had seen most of the slides earlier, either at MCMski IV, Banff, Leuven or yet again in Oxford, I really enjoyed those talks as they provided further intuition about the techniques of Wang-Landau and non-negative unbiased estimators, leading to a few seeds of potential ideas for even more potential research. For instance, I understood way better the option to calibrate the Wang-Landau algorithm on levels of the target density rather than in the original space. Which means (a) a one-dimensional partition target (just as in nested sampling); (b) taking advantage of the existing computations of the likelihood function; and (b) a somewhat automatic implementation of the Wang-Landau algorithm. I do wonder why this technique is not more popular as a default option. (Like, would it be compatible with Stan?) The impossibility theorem of Pierre about the existence of non-negative unbiased estimators never ceases to amaze me. I started wondering during the seminar whether a positive (!) version of the result could be found. Namely, whether perturbations of the exact (unbiased) Metropolis-Hastings acceptance ratio could be substituted in order to guarantee positivity. Possibly creating drifted versions of the target…
One request in connection with this post: please connect the Institut Henri Poincaré to the eduroam wireless network! The place is dedicated to visiting mathematicians and theoretical physicists, it should have been the first one [in Paris] to get connected to eduroam. The cost cannot be that horrendous so I wonder what the reason is. Preventing guests from connecting to the Internet towards better concentration? avoiding “parasites” taking advantage of the network? ensuring seminar attendees are following the talks? (The irony is that Institut Henri Poincaré has a local wireless available for free, except that it most often does not work with my current machine. And hence wastes much more of my time as I attempt to connect over and over again while there.) Just in connection with IHP, a video of Persi giving a talk there about Poincaré, two years ago:
The next big’MC seminar in Paris will be delivered on Thursday, May 15, by
15 h : Luke Bornn, Towards the Derandomization of Markov chain Monte Carlo
16 h 15 : Pierre Jacob, On exact inference and unbiased estimation
see the seminar webpage for more details. And make sure to attend if in or near Paris! It is definitely big and MC. Most sadly (for us!), Chris Holmes will give a Smile (Statistical machine learning) seminar at the very same time a few streets away… At least, we can conveniently meet right after for a drink!
Stuart Russell (University of California, Berkeley, visiting Paris 6 this year) will give a seminar next week, Thursday November 22, 10am, LIP6, Université Paris 6, on Global Seismic Monitoring: A Bayesian Approach. Here is the link to the LIP6 webpage.
On Thursday November 15, 3pm, Institut Henri Poincaré, Jean-Michel Marin will give a talk at our big’MC seminar on the Consistency of Adaptive Multiple Importance Sampling (AMIS), following a long search of ours for this proof and a recent resolution of his along with Pierre Pudlo and Mohammed Sedki! Hopefully soon discussed on the ‘Og….
When I ordered this book, Théorème Vivant (Alive Theorem), by Cédric Villani, I had misgivings about it being yet another illustration of the, pardon my French!, universal “pipolisation” process that turns values upside down and sets mundane aspects of major contemporary figures above their true achievements like, say, winning a Fields medal! However, as soon as I started reading Théorème Vivant, I realised it was a fascinating delve into the way mathematicians operate and how they build theorems. Of course, as an “insider”, I can find many entry points to relate to, some quite mundane and unrelated like entering the common room of a conference centre in the middle of the night to “steal” some life-saving tea bags or an aversion to taxi rides, not mentioning an addiction to French cheeses… And I have the advantage of being able to read the math formulas given in the book (even though this is not at all my area of expertise and I find the wording of the theorems and proofs rather unusual at times). But I think Théorème Vivant can be read by non-mathematicians as well, provided they take those formulas and paper extracts as pictures, just like the drawings of mathematicians interspeded throughout the book and do not get annoyed at not understanding the meaning of them (I do not get the deepest levels either!). Nothing to be afraid of: Théorème Vivant is another impressive illustration of the ability of Cédric Villani to explain mathematics to the general public and to surf upon his popularity with the medias. (The book is currently available in French only, but should soon be translated into English. Possibly polishing the least politically correct statements…) Continue reading