BayesComp²³ [aka MCMski⁶]

The main BayesComp meeting started right after the ABC workshop and went on at a grueling pace, and offered a constant conundrum as to which of the four sessions to attend, the more when trying to enjoy some outdoor activity during the lunch breaks. My overall feeling is that it went on too fast, too quickly! Here are some quick and haphazard notes from some of the talks I attended, as for instance the practical parallelisation of an SMC algorithm by Adrien Corenflos, the advances made by Giacommo Zanella on using Bayesian asymptotics to assess robustness of Gibbs samplers to the dimension of the data (although with no assessment of the ensuing time requirements), a nice session on simulated annealing, from black holes to Alps (if the wrong mountain chain for Levi), and the central role of contrastive learning à la Geyer (1994) in the GAN talks of Veronika Rockova and Éric Moulines. Victor  Elvira delivered an enthusiastic talk on our massively recycled importance on-going project that we need to complete asap!

While their earlier arXived paper was on my reading list, I was quite excited by Nicolas Chopin’s (along with Mathieu Gerber) work on some quadrature stabilisation that is not QMC (but not too far either), with stratification over the unit cube (after a possible reparameterisation) requiring more evaluations, plus a sort of pulled-by-its-own-bootstrap control variate, but beating regular Monte Carlo in terms of convergence rate and practical precision (if accepting a large simulation budget from the start). A difficulty common to all (?) stratification proposals is that it does not readily applies to highly concentrated functions.

I chaired the lightning talks session, which were 3mn one-slide snapshots about some incoming posters selected by the scientific committee. While I appreciated the entry into the poster session, the more because it was quite crowded and busy, if full of interesting results, and enjoyed the slide solely made of “0.234”, I regret that not all poster presenters were not given the same opportunity (although I am unclear about which format would have permitted this) and that it did not attract more attendees as it took place in parallel with other sessions.

In a not-solely-ABC session, I appreciated Sirio Legramanti speaking on comparing different distance measures via Rademacher complexity, highlighting that some distances are not robust, incl. for instance some (all?) Wasserstein distances that are not defined for heavy tailed distributions like the Cauchy distribution. And using the mean as a summary statistic in such heavy tail settings comes as an issue, since the distance between simulated and observed means does not decrease in variance with the sample size, with the practical difficulty that the problem is hard to detect on real (misspecified) data since the true distribution behing (if any) is unknown. Would that imply that only intrinsic distances like maximum mean discrepancy or Kolmogorov-Smirnov are the only reasonable choices in misspecified settings?! While, in the ABC session, Jeremiah went back to this role of distances for generalised Bayesian inference, replacing likelihood by scoring rule, and requirement for Monte Carlo approximation (but is approximating an approximation that a terrible thing?!). I also discussed briefly with Alejandra Avalos on her use of pseudo-likelihoods in Ising models, which, while not the original model, is nonetheless a model and therefore to taken as such rather than as approximation.

I also enjoyed Gregor Kastner’s work on Bayesian prediction for a city (Milano) planning agent-based model relying on cell phone activities, which reminded me at a superficial level of a similar exploitation of cell usage in an attraction park in Singapore Steve Fienberg told me about during his last sabbatical in Paris.

In conclusion, an exciting meeting that should have stretched a whole week (or taken place in a less congenial environment!). The call for organising BayesComp 2025 is still open, by the way.

 

the incredible shrinking pools

I was reading an opinion piece in The Guardian about the sorry state of public pools in England. With more and more closing for lack of proper funding, this being aggravated by the explosion in heating costs, as pools are excluded from governmental help. And the resulting impact on public health (and the NHS), since providing one less opportunity for exercising. And on general safety, since nowadays less children can swim… Which reminded me of the difficulty to find a pool in Oxford and Oaxaca. And of the cost of entering one in Roma and Milano. And of the relative accessibility of French pools, at least in cities, as shown by the estimation that 95% of the French high school students can swim to some extent.

The New Yorker [Dec. 12, 2022]

MCMC postdoc positions at Bocconi

[A call for postdoc candidates to work in Milano with Giacomo Zanella in the coming years under ERC funding. In case you are interested with a postdoctoral position with me at Paris Dauphine on multi-agent decision-making, data sharing, and fusion algorithms, do not hesitate to contact me, the official call for applications should come up soon!]

Three postdoc positions available at Bocconi University (Milan, Italy), under the supervision of Giacomo Zanella and funded by the ERC Starting Grant “Provable Scalability for high-dimensional Bayesian Learning”. Details and links to apply available online.

The deadline for application is 28/02/2023 and the planned starting date is 01/05/2023 (with some flexibility). Initial contracts are for 1 year and are extendable for further years under mutual agreement.

Candidates will conduct research on computational aspects of statistical and machine learning methods, with a particular focus on Bayesian methodologies. The research activity, both in terms of specific topic and research approach, can adapt to the profile and interests of the successful candidates. Beyond working with the supervisor and coauthors on topics related to the grant project (see here and there for more details on the research topics of the supervisor and grant project), candidates will get the chance to interact with various faculty members, postdocs and PhD students of the Stats&ML group at Bocconi (see e.g. researchers at Bocconi).

Interested candidates can write to giacomo zanella at unibocconi for more information about the positions.

a journal of the plague year³ [lazy we]

Had the opportunity [Xmas gift!] to visit the Botticelli exhibit at the Musée Jacquemart-André in Paris. Besides the sheer beauty of the paintings, while is timeless, I was also impressed by the activity of Botticelli as an entrepreneur and designer, declining his signature on different media and delegating part of the realisation to employees. Read the beginning of the third volume of Raven’s mark, Crowfall, but could not complete the book as the story was terrible and the main character mostly disintegrated (both literally and scenario-wise). Too bad that an initially great if grim universe construction could not keep up till the end. (Involving deities is always risky in this branch of the literature!) Also read another BD taking place near Cayenne and other places we visited, if in the 18th Century.

Watched over a lazy weekend two several admittedly terrible movies whose only appeal was watching in the vernarcular, Major Grom: Plague Doctor, and Minnal Murali. Also was rather disappointed by Don’t look up, because I found the satire too heavy-handed. And hence failing to engage readers about the sloth pace of governments and influencers to face the climate crisis, favouring futile or immediate concerns (as shown by French gilets jaunes putting la fin du mois above la fin du monde, or UK media cycling on BoJo’s partygate when Russia is about to invade Ukraine!). I also presumably missed most of the US-centric undercurrents.