Francis Comets (1956-2022)

Francis Comets, with whom I taught at Polytechnique in the early 2000’s, and whom I highly respected, has most sadly died on June 6. Here is a eulogy written by Patrick Cattiaux, Giambattista Giacomin, and Lorenzo Zambotti, on the site of the Société Mathématique de France (translated from the French).

Francis was a rare person. Combining both a form of conformism and a surprising originality, he marked all those who knew him: colleagues, relatives, friends. A former student of the École Normale Supérieure de Saint Cloud, in 1987 he defended a Thèse d’État at the University of Paris Sud on problems of large deviations in connection with models of statistical physics. Very quickly he demonstrated his appetite for various fields combining probability, statistics and physics. Just check out his list of publications. Francis will remain as one of the pioneers in France in the study of models in random environments for which his contributions are internationally recognized, symbolized by the Ito prize from the Bernoulli Society received in 2015. Beyond a leading scientific activity, Francis has been for forty years a major player in the structuring of mathematics in France. First assistant at the University of Paris X, then Professor at Marne la Vallée and finally at Paris 7 (which over time became Paris Diderot and now Université Paris Cité), he has, during his academic career, spared no effort in serving the community. Director of the Laboratory of Probability and Random Models, co-founder of the Fondation Sciences Mathématiques de Paris, part-time professor at the École Polytechnique, he has devoted a very large part of his time to the French mathematical community. His students and his colleagues have found in Francis listening, empathy, competence and that hint of surprise that leads to curiosity. His friends and loved ones will express the deep and personal feelings that bound them to a rare being, as mentioned above. The French mathematical community joins in the grief of his family and friends at such a painful time.

computational advances in approximate Bayesian methods [at JSM]

Another broadcast for an ABC (or rather ABM) session at JSM, organised and chaired by Robert Kohn, taking place tomorrow at 10am, ET, i.e., 2pm GMT, with variational and ABC talks:

454 *	Thu, 8/6/2020, 10:00 AM – 11:50 AM		Virtual
Computational Advances in Approximate Bayesian Methods — Topic Contributed Papers
Section on Bayesian Statistical Science
Organizer(s): Robert Kohn, University of New South Wales
Chair(s): Robert Kohn, University of New South Wales
10:05 AM	Sparse Variational Inference: Bayesian Coresets from Scratch Trevor Campbell, University of British Columbia
10:25 AM	Fast Variational Approximation for Multivariate Factor Stochastic Volatility Model David Gunawan, University of Wollongong; Robert Kohn, University of New South Wales; David Nott, National University of Singapore
10:45 AM	High-Dimensional Copula Variational Approximation Through Transformation Michael Smith, University of Melbourne; Ruben Loaiza-Maya, Monash University ; David Nott, National University of Singapore
11:05 AM	Mini-Batch Metropolis-Hastings MCMC with Reversible SGLD Proposal Rachel Wang, University of Sydney; Tung-Yu Wu, Stanford University; Wing Hung Wong, Stanford University
11:25 AM	Weighted Approximate Bayesian Computation via Large Deviations Theory Cecilia Viscardi, University of Florence; Michele Boreale, University of Florence; Fabio Corradi, University of Florence; Antonietta Mira, Università della Svizzera Italiana (USI)
11:45 AM	Floor Discussion

computational methods for statistical mechanics [day #4]

My last day at this ICMS workshop on molecular simulation started [with a double loop of Arthur’s Seat thankfully avoiding the heavy rains of the previous night and then] Chris Chipot‘s magistral entry to molecular simulation for proteins with impressive slides and simulation movies, even though I could not follow the details to really understand the simulation challenges therein, just catching a few connections with earlier talks. A typical example of a cross-disciplinary gap, where the other discipline always seems to be stressing the ‘wrong” aspects. Although this is perfectly unrealistic, it would immensely to prepare talks in pairs for such interdisciplinary workshops! Then Gersende Fort presented results about convergence and efficiency for the Wang-Landau algorithm. The idea is to find the optimal rate for updating the weights of the elements of the partition towards reaching the flat histogram in minimal time. Showing massive gains on toy examples. The next talk went back to molecular biology with Jérôme Hénin‘s presentation on improved adaptive biased sampling. With an exciting notion of orthogonality aiming at finding the slowest directions in the target and putting the computational effort. He also discussed the tension between long single simulations and short repeated ones, echoing a long-going debate in the MCMC community. (He also had a slide with a picture of my first 1983 Apple IIe computer!) Then Antonietta Mira gave a broad perspective on delayed rejection and zero variance estimates. With impressive variance reductions (although some physicists then asked for reduction of order 10¹⁰!). Johannes Zimmer gave a beautiful maths talk on the connection between particle and diffusion limits (PDEs) and Wasserstein geometry and large deviations. (I did not get most of the talk, but it was nonetheless beautiful!) Bert Kappen concluded the day (and the workshop for me) by a nice introduction to control theory. Making connection between optimal control and optimal importance sampling. Which made me idly think of the following problem: what if control cannot be completely… controlled and hence involves a stochastic part? Presumably of little interest as the control would then be on the parameters of the distribution of the control.

“The alanine dipeptide is the fruit fly of molecular simulation.”

The example of this alanine dipeptide molecule was so recurrent during the talks that it justified the above quote by Michael Allen. Not that I am more proficient in the point of studying this protein or using it as a benchmark. Or in identifying the specifics of the challenges of molecular dynamics simulation. Not a criticism of the ICMS workshop obviously, but rather of my congenital difficulty with continuous time processes!!! So I do not return from Edinburgh with a new research collaborative project in molecular dynamics (if with more traditional prospects), albeit with the perception that a minimal effort could bring me to breach the vocabulary barrier. And maybe consider ABC ventures in those (new) domains. (Although I fear my talk on ABC did not impact most of the audience!)

workshop in Columbia

The workshop in Columbia University on Computational Methods in Applied Sciences is quite diverse in its topics.  Reminding me of the conference on Efficient Monte Carlo in Sandbjerg Estate, Sønderborg in 2008, celebrating the 70th birthday of Reuven Rubinstein, incl. some colleagues I had not met since this meeting. Yesterday I thus heard (quite interesting) talks on domains somehow far from my own, from Robert Adler on cohomology (giving a second look  at the thing after the talk I head in Wharton last year), to José Blanchet on simulation for infinite server queues (with a link to perfect sampling I could not exactly trace but that was certainly there). Several of the talks made me think of our Brownian motion confidence band paper, with Wilfrid Kendall and Jean-Michel Marin, esp. Gennady Samorodnitsky’s on the maximum of stochastic processes (and wonder whether we could have gone further in that direction). Pierre Del Moral presented a broad overview of the Feynman-Kacs’ approaches to particle methods, in particular particle MCMC, with application to some financial objects. Paul Glasserman talked about robust MCMC, which I found quite an appealing concept in that it included uncertainties about the model itself. And linked with minimax concepts. And Paul Dupuis exposed a parallel tempering method linked with large deviations, whose paper I am definitely looking forward. Now it is more than time to work on my own talk! (On a very personal basis, I sadly lost my sturdy Canon camera in the taxi from the airport! Will need a new one for the ‘Og!)