Archive for MCQMC 2020

dropping a point

Posted in Statistics, University life with tags , , , , , , , , on September 8, 2020 by xi'an

“A discussion about whether to drop the initial point came up in the plenary tutorial of Fred Hickernell at MCQMC 2020 about QMCPy software for QMC. The issue has been discussed by the pytorch community , and the scipy community, which are both incorporating QMC methods.”

Art Owen recently arXived a paper entitled On dropping the first Sobol’ point in which he examines the impact of a common practice consisting in skipping the first point of a Sobol’ sequence when using quasi-Monte Carlo. By analogy with the burn-in practice for MCMC that aims at eliminating the biais due to the choice of the starting value. Art’s paper shows that by skipping just this one point the rate of convergence of some QMC estimates may drop by a factor, bringing the rate back to Monte Carlo values! As this applies to randomised scrambled Sobol sequences, this is quite amazing. The explanation centers on the suppression leaving one region of the hypercube unexplored, with an O(n⁻¹) error ensuing.

The above picture from the paper makes the case in a most obvious way: the mean squared error is not decreasing at the same rate for the no-drop and one-drop versions, since they are -3/2 and -1, respectively. The paper further “recommends against using roundnumber sample sizes and thinning QMC points.” Conclusion: QMC is not MC!

MCqMC 2022 in Linz, 17-22 July

Posted in Statistics with tags , , , , , , , on August 29, 2020 by xi'an

At the end of MCqMC 2020, held on-line with the amazing support of ICMS in Edinburgh, the next location was announced as being Linz, Austria, hosted by the Johannes Kepler Universität I visited a few years ago (with a memorable run up a nearby hill!). Hopefully this will take place for real as well as on-line, but my prior is rather non-informed at the moment…

MCqMC 2020 live and free and online

Posted in pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , , , on July 27, 2020 by xi'an

The MCqMC 20202 conference that was supposed to take place in Oxford next 9-14 August has been turned into an on-line free conference since travelling remains a challenge for most of us. Tutorials and plenaries will be live with questions  on Zoom, with live-streaming and recorded copies on YouTube. They will probably be during 14:00-17:00 UK time (GMT+1),  15:00-18:00 CET (GMT+2), and 9:00-12:00 ET. (Which will prove a wee bit of a challenge for West Coast and most of Asia and Australasia researchers, which is why our One World IMS-Bernoulli conference we asked plenary speakers to duplicate their talks.) All other talks will be pre-recorded by contributors and uploaded to a website, with an online Q&A discussion section for each. As a reminder here are the tutorials and plenaries:

Invited plenary speakers:

Aguêmon Yves Atchadé (Boston University)
Jing Dong (Columbia University)
Pierre L’Écuyer (Université de Montréal)
Mark Jerrum (Queen Mary University London)
Peter Kritzer (RICAM Linz)
Thomas Muller (NVIDIA)
David Pfau (Google DeepMind)
Claudia Schillings (University of Mannheim)
Mario Ullrich (JKU Linz)

Tutorials:

Fred Hickernell (IIT) — Software for Quasi-Monte Carlo Methods
Aretha Teckentrup (Edinburgh) — Markov chain Monte Carlo methods