Archive for Mathematical Sciences Building

revisiting the balance heuristic

Posted in Statistics with tags , , , , , , , on October 24, 2019 by xi'an

Last August, Felipe Medina-Aguayo (a former student at Warwick) and Richard Everitt (who has now joined Warwick) arXived a paper on multiple importance sampling (for normalising constants) that goes “exploring some improvements and variations of the balance heuristic via a novel extended-space representation of the estimator, leading to straightforward annealing schemes for variance reduction purposes”, with the interesting side remark that Rao-Blackwellisation may prove sub-optimal when there are many terms in the proposal family, in the sense that not every term in the mixture gets sampled. As already noticed by Victor Elvira and co-authors, getting rid of the components that are not used being an improvement without inducing a bias. The paper also notices that the loss due to using sample sizes rather than expected sample sizes is of second order, compared with the variance of the compared estimators. It further relates to a completion or auxiliary perspective that reminds me of the approaches we adopted in the population Monte Carlo papers and in the vanilla Rao-Blackwellisation paper. But it somewhat diverges from this literature when entering a simulated annealing perspective, in that the importance distributions it considers are freely chosen as powers of a generic target. It is quite surprising that, despite the normalising weights being unknown, a simulated annealing approach produces an unbiased estimator of the initial normalising constant. While another surprise therein is that the extended target associated to their balance heuristic does not admit the right density as marginal but preserves the same normalising constant… (This paper will be presented at BayesComp 2020.)

the new building!

Posted in pictures, Travel, University life with tags , , , , , on October 22, 2018 by xi'an

The Department of Statistics at Warwick has moved to a new MSB building, next to the Zeeman building, with a lot of light and open space, including a sort of atrium in the centre. It remains to be seen how comfortable this new glassy structure will prove, in hot and cold weather, and how it will stand the test of years (months?!). It seems the place was not designed purposely for mathematicians and statisticians, as many are complaining of the lack of blackboards (and even of whiteboards!) versus an overwhelming number of voracious screens. (Funny enough, the early video selling the building included these blackboards!) And it is unclear how so many glass panes can be contributing to the carbon neutral goal. Still, so far, I enjoyed the light and luminosity of my office, but this may change in the rare event of a grey day… (And no indoor place to store bicycles! But I did recover my bike where I had left it last time.)