je reviendrai à Montréal [MCM 2017]

Next summer of 2017, the biennial International Conference on Monte Carlo Methods and Applications (MCM) will take place in Montréal, Québec, Canada, on July 3-7. This is a mathematically-oriented meeting that works in alternance with MCqMC and that is “devoted to the study of stochastic simulation and Monte Carlo methods in general, from the theoretical viewpoint and in terms of their effective applications in different areas such as finance, statistics, machine learning, computer graphics, computational physics, biology, chemistry, and scientific computing in general. It is one of the most prominent conference series devoted to research on the mathematical aspects of stochastic simulation and Monte Carlo methods.” I attended one edition in Annecy three years ago and enjoyed very much the range of topics and backgrounds. The program is under construction and everyone is warmly invited to contribute talks or special sessions, with a deadline on January 20, 2017. In addition, Montréal is a Monte Carlo Mecca of sorts with leading researchers in the field like Luc Devroye and Pierre Lécuyer working there. (And a great place to visit in the summer!)

A revised assessment of nested sampling

As announced earlier on that post, the MaxEnt2009 meeting was a very good opportunity to revise a second time our nested sampling evaluation, written with Nicolas Chopin. The new version is now posted on arXiv as well as resubmitted to Biometrika. The changes in the text are presumably less important than those in our (my?) understanding of the method. I indeed think the nested sampling method belongs to the general category of importance sampling methods and that potential improvements lie in modifying the evaluation of the prior mass between slices of the likelihood.I still have to understand better why nested sampling would be the only importance solution in a given problem, as argued for instance in this recent posting on arXiv by Livi Pártay, Albert Bartók, and Gábor Csányi, from Cambrdige University, which was presented earlier this week at the MaxEnt2009 meeting, but this will have to wait till the Fall, I am afraid…