Dirty old times

The Pogues’ bassist, Darryl Hunt, passed away on Monday afternoon. Thanks to this unique band for merging punk energy with Celtic harmonies!

control variates [seminar]

Today, Petros Dellaportas (whom I have know since the early days of MCMC, when we met in CIRM) gave a seminar at the Warwick algorithm seminar on control variates for MCMC, reminding me of his 2012 JRSS paper. Based on the Poisson equation and using a second control variate to stabilise the Monte Carlo approximation do the first control variate. The difference with usual control variates is finding a first approximate G(x)-q(y|x)G(Y) to F-πF. And the first Poisson equation is using α(x,y)q(y|x) rather than π. Then the second expands log α(x,y)q(y|x) to achieve a manageable term.

Abstract: We provide a general methodology to construct control variates for any discrete time random walk Metropolis and Metropolis-adjusted Langevin algorithm Markov chains that can achieve, in a post-processing manner and with a negligible additional computational cost, impressive variance reduction when compared to the standard MCMC ergodic averages. Our proposed estimators are based on an approximate solution of the Poisson equation for a multivariate Gaussian target densities of any dimension.

I wonder if there were a neural network version that would first build G from scratch and later optimise it towards solving the Poisson equation. As in this recent arXival I haven’t read (yet).

intimate touch [wildlife photograph of the year]

Bayesians at the helm!

Just read the announcement that my friend (and former colleague at Warwick U) Mark Girolami became the Chief Scientist at The Alan Turing Institute, joining forces with Adrian Smith, currently Director and Chief Executive of the Turing Institute, into a Bayesian leadership!

Our Lady of the Van

As I came across this Lady in the van film on a lazy evening, I gave it a go since it featured Maggie Smith, London, and apparently an eccentric homeless old-lady. Afterwards, since I was somewhat reserved about the story and the plot, if not by Smith’s and Jennings’ acting, and surprised at the highly positive reviews it received. I looked at the background, only to discover that this was a slightly modified version of a real story where the English writer Alan Bennett let Margaret Fairchild live in a van on his property, in Northern London, in the 70’s and 80’s, until she died in 1989. If ignoring the heavy pathos permeating the film throughout to concentrate on the (light) social criticism of the bo-bo Gloucester Crescent residents and on the very British satire behind essentially every character, first and foremost the writer himself, there are some enjoyable aspects.  But I remain perturbed by the somewhat exploitative way Bennett turned this story into a 1989 essay, then a 1990 book, then a 1999 play (already involving Maggie Smith), and a 2009 BBC radio play, before adapting the play for the film. And somewhat shocked that over 15 years Margaret Fairchild was let to live in such conditions. In a rusted van, in the middle of London…