**T**he French Statistical Association is running a training workshop on practical computational Bayesian methods on 10-12 September 2019 in Paris (IHP), animated by **Sylvain LE CORFF** (Telecom SudParis – Institut Polytechnique de Paris) for the initiation to « rstan », by **Matthieu AUTHIER** (Université de La Rochelle).

## Archive for Institut Henri Poincaré

## ateliers statistiques bayésiens

Posted in Statistics with tags ABC, computational Bayesian methods, IHP, Institut Henri Poincaré, rStan, SFDS, Société française de Statistique, STAN on July 18, 2019 by xi'an## graphe, graphons, graphez !

Posted in Books, pictures, Statistics, University life with tags graphs, Institut Henri Poincaré, mathematical statistics, Paris, phase transition, SFDS, variational Bayes methods on December 3, 2018 by xi'an## computational statistics and molecular simulation [18w5023]

Posted in pictures, Statistics, Travel, University life with tags 18w5023, BIRS, Casa Matemática Oaxaca, CMO, computational statistics, HMC, hypocoercivity, Institut Henri Poincaré, Mexico, molecular dynamics, Monte Carlos Statistical Methods, overdamped Langevin algorithm, PDMP, workshop on November 16, 2018 by xi'an**T**his Thursday, our X fertilisation workshop at the interface between molecular dynamics and Monte Carlo statistical methods saw a wee bit of reduction in the audience as some participants had already left Oaxaca. Meaning they missed the talk of Christophe Andrieu on hypocoercivity which could have been another hand-on lecture, given the highly pedagogical contents of the talk. I had seen some parts of the talk in MCqMC 2018 in Rennes and at NUS, but still enjoyed the whole of it very much, and so did the audience given the induced discussion. For instance, previously, I had not seen the connection between the guided random walks of Gustafson and Diaconis, and continuous time processes like PDMP. Which Christophe also covered in his talk. (Also making me realise my colleague Jean Dolbeault in Dauphine was strongly involved in the theoretical analysis of PDMPs!) Then Samuel Power gave another perspective on PDMPs. With another augmentation, connected with time, what he calls trajectorial reversibility. This has the impact of diminishing the event rate, but creates some kind of reversibility which seems to go against the motivation for PDMPs. (Remember that all talks are available as videos on the BIRS webpage.) A remark in the talk worth reiterating is the importance of figuring out which kinds of approximations are acceptable in these approximations. Connecting somewhat with the next talk by Luc Rey-Bellet on a theory of robust approximations. In the sense of Poincaré, Gibbs, Bernstein, &tc. concentration inequalities and large deviations. With applications to rare events.The fourth and final “hand-on” session was run by Miranda Holmes-Certon on simulating under constraints. Motivated by research on colloids. For which the overdamp Langevin diffusion applies as an accurate model, surprisingly. Which makes a major change from the other talks [most of the workshop!] relying on this diffusion. (With an interesting intermede on molecular velcro made of DNA strands.) Connected with this example, exotic energy landscapes are better described by hard constraints. (Potentially interesting extension to the case when there are too many constraints to explore all of them?) Now, the definition of the measure projected on the manifold defined by the constraints is obviously an important step in simulating the distribution, which density is induced by the gradient of the constraints ∇q(x). The proposed algorithm is in the same spirit as the one presented by Tony the previous day, namely moving along the tangent space then on the normal space to get back to the manifold. A solution that causes issues when the gradient is (near) zero. A great hand-on session which induced massive feedback from the audience.

In the afternoon session, Gersende Fort gave a talk on a generalisation of the Wang-Landau algorithm, which modifies the true weights of the elements of a partition of the sampling space, to increase visits to low [probability] elements and jumps between modes. The idea is to rely on tempered versions of the original weights, learned by stochastic approximation. With an extra layer of adaptivity. Leading to an improvement with parameters that depends on the phase of the stochastic approximation. The second talk was by David Sanders on a recent paper in *Chaos* about importance sampling for rare events of (deterministic) billiard dynamics. With diffusive limits which tails are hard to evaluate, except by importance sampling. And the last talk of the day was by Anton Martinsson on simulated tempering for a molecular alignment problem. With weights of different temperatures proportional to the inverse of the corresponding normalising constants, which themselves can be learned by a form of bridge sampling if I got it right.

On a very minor note, I heard at breakfast a pretty good story from a fellow participant having to give a talk at a conference that was moved to a very early time in the morning due to an official appearing at a later time and as a result “enjoying” a very small audience to the point that a cleaning lady appeared and started cleaning the board as she could not conceive the talks had already started! Reminding me of this picture at IHP.

## la maison des mathématiques

Posted in Books, Kids, pictures, Statistics, University life with tags Akashic Books, book review, exhibit, IHP, Institut Henri Poincaré, la maison des mathématiques, Paris, photograph, Vincent Moncorgé on January 14, 2017 by xi'an**W**hen I worked with Jean-Michel Marin at Institut Henri Poincaré the week before Xmas, there was this framed picture standing on the ground, possibly in preparation for exhibition in the Institute. I found this superposition of the lady cleaning the blackboard from its maths formulas and of the seemingly unaware mathematician both compelling visually in the sheer geometric aesthetics of the act and somewhat appalling in its message. Especially when considering the initiatives taken by IHP towards reducing the gender gap in maths. After inquiring into the issue, I found that this picture was part of a whole photograph exhibit on IHP by Vincent Moncorgé, now published into a book, La Maison des Mathématiques by Villani, Uzan, and Moncorgé. Most pictures are on-line and I found them quite appealing. Except again for the above.

## Rémi Bardenet’s seminar

Posted in Kids, pictures, Statistics, Travel, University life with tags ABC in Roma, big data, BiPS, CREST, defense, ENSAE, Institut Henri Poincaré, MCMC algorithms, Monte Carlo Statistical Methods, Nicolas Chopin, PhD thesis, quasi-Monte Carlo methods, seminar, tall data on April 7, 2016 by xi'an**N**ext 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.

## last Big MC [seminar] before summer [June 19, 3pm]

Posted in pictures, Statistics, University life with tags ABC, Big'MC, Chris Holmes, IHP, Institut Henri Poincaré, machine learning, Monte Carlo s, Montpellier, Paris, Pierre Pudlo, seminar, University of Oxford on June 17, 2014 by xi'an**L**ast 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 samplesand Pierre Pudlo (iC3M, Université de Montpellier 2) at 4:15pm on [our joint work]

ABC and machine learning

## Luke and Pierre at big’MC

Posted in Linux, pictures, Statistics, Travel, University life with tags 2013Yesterday, Banff, Big'MC, eduroam, Henri Poincaré, Institut Henri Poincaré, Luke Bornn, March 28, Persi Diaconis, Pierre Jacob, unbiasedness, Wang-Landau algorithm on May 19, 2014 by xi'an**Y**esterday, 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…

**O**ne 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: