Archive for Institut Henri Poincaré

big’MC’minar next week

Posted in Kids, Statistics, Travel, University life with tags , , , , , , , on May 9, 2014 by xi'an

crossing Rue Soufflot on my way to IHP from Vieux Campeur, March 28, 2013The 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!

big’MC seminar next week

Posted in Statistics, University life with tags , , , , on October 8, 2013 by xi'an

The big’MC seminar in Paris will be delivered on Thursday, October 17 by

15 h : Sylvain Le Corff  Continuous-time importance sampling for Jump diffusions

16 h 15 : Yohan Petetin  Single- and multiple-object filtering for Markov models with jumps
see the seminar webpage for more details.

Bayesian seismic monitoring and big MC

Posted in Statistics, University life with tags , , , , , , on November 14, 2012 by xi'an

Two announcements for seminars in Paris in the coming days:

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….

Théorème vivant

Posted in Books, University life with tags , , , , , , , on November 7, 2012 by xi'an

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

Darwin day in Paris

Posted in Statistics, University life with tags , , , , on May 10, 2012 by xi'an

Here is the announcement for the second “Journée Darwin“, which will take place on Friday, May the 11th [keep their tusks!], in Chimie ParisTech (near Institut Henri Poincaré),  Amphithéâtre Friedel, starting at 9h30:

The “Journées Darwin” are a series of meetings aimed at bringing together researchers in the Parisian basin working on biological evolution. Each “Journée” consists in a small number of seminars, in which the speakers are expected to explain the philosophy and the perspectives motivating their research, focusing on long-range goals rather than on immediate results. The goal is to help in establishing connections among researchers interested in different aspects of biological evolution, working on different systems and in different laboratories.

Kerrie Mengersen’s talk in Paris

Posted in pictures, Statistics with tags , , on May 9, 2012 by xi'an

Kerrie Mengersen (QUT, Brisbane, visiting Paris-Dauphine and CREST) is giving a talk tomorrow at 4:30pm at Institut Henri Poincaré, during the Séminaire Big’MC, following a talk by Meili Baragatti (MISTEA, SupAgro) on parallel tempering ABC (I discussed in this post):

Understanding images: from inferential aims to models to algorithms

In the excitement of working with algorithms, it is sometimes salutary to remind ourselves of their purpose. In this presentation, we consider the analysis of image data and try to match inferential aims, models and computational methods. We describe and compare the approaches in the context of some real case studies in agriculture and environmental monitoring.

Wang, Landau, Markov, and others…

Posted in pictures, Statistics, University life with tags , , , , , , , , , on April 11, 2012 by xi'an

On Thursday, the “Big’MC” seminar welcomes two talks (at 3pm and 4pm, resp., in IHP, Amphi Darboux):

  • Orateur :Pierre Jacob (ENSAE) et Robin Ryder (CEREMADE)
  • Titre : Some aspects of the Wang-Landau algorithm.
  • Résumé : The Wang-Landau algorithm is an adaptive MCMC algorithm which generates a Markov chain designed to move efficiently in the state space, by constantly penalizing already-visited regions. It hence falls into the class of exploratory algorithms, especially when the chosen regions correspond to different levels of density values. We explore two novel aspects of the Wang-Landau algorithm. First, we show that the algorithm reaches the so-called Flat Histogram criterion in finite time, which ensures convergence properties. Second, we examine the effect of using multiple chains, interacting through a common component. That component essentially represents the history of already-visited regions, computed on all the chains. We show numerically the benefit of using parallel chains even if a single processing unit is available, in terms of stabilization of the schedule used in the adaptation process. If time permits, we shall present an ongoing attempt to study theoretically the effect of parallelization using Feynman-Kac semigroups.
  • Références http://arxiv.org/abs/1110.4025 et http://arxiv.org/abs/1109.3829


and

  • Orateur : Nick Whiteley ( Univ. Bristol, UK)
  • Titre  : A particle method for approximating principal eigen-functions and related quantities
  • Résumé : Perron-Frobenius theory treats the existence of a positive eigen-vector associated with the principal eigen-value \lambda_{\star} of a non-negative matrix, say Q. A simple method for approximating this eigen-vector involves computing the iterate \lambda_{\star}^{-n}Q^{(n)}, for large n. In the more general case that Q is a non-negative integral kernel, an extended Perron-Frobenius theory applies, but it is typical that neither the principal eigen-function nor the iterate \lambda_{\star}^{-n}Q^{(n)} can be computed exactly. In this setting we introduce an interacting particle algorithm which yields a numerical approximation of the principal eigen-function and the associated twisted Markov kernel. Some of its theoretical properties will be discussed and applications will be outlined. In particular, the algorithm allows approximation of an optimal importance sampling method for Markov chain rare event estimation.
    Joint work with Nikolas Kantas.
  • Référence : http://arxiv.org/abs/1202.6678