**T**his year, the French Statistical Society (SFDS) Prix Laplace has been granted to Luc Devroye, author of the Non-Uniform Random Generation bible. among many achievements!, prize that he will receive during the 2019 meeting in Nancy, this very week.

## Archive for Montréal

## non-uniform Laplace generation

Posted in Books, pictures, Statistics, University life with tags Bible code, Canada, France, McGill University, Montréal, Nancy, Non-Uniform Random Variate Generation, prize, Québec, SFDS on June 5, 2019 by xi'an## the Montréal declarAIon

Posted in University life with tags AI, Alan Turing, Alan Turing award, artificial intelligence, ethics, Europe, France, Le Monde, Montréal, NeurIPS, NIPS, plan Intelligence artificielle, Québec on April 27, 2019 by xi'an**I**n conjunction with Yoshua Bengio being one of the three recipients of the 2018 Alan Turing award, Nature ran an interview of him about the Montréal Déclaration for a responsible AI, which he launched at NeurIPS last December.

“Self-regulation is not going to work. Do you think that voluntary taxation works? It doesn’t.”

Reflecting on the dangers of abuse of and by AIs, from surveillance, to discrimination, but being somewhat unclear on the means to implement the ten generic principles listed there. (I had missed the Declaration when it came up.) I agree with the principles stressed by this list, well-being, autonomy, privacy, democracy, diversity, prudence, responsability, and sustainability, it remains to be seem how they can be imposed upon corporations whose own public image puts more restraint on them than ethics or on governments that are all too ready to automatise justice, police, and the restriction of citizen’s rights. Which makes the construction of a responsible AI institution difficult to imagine, if the current lack of outreach of the extra-national institutions is the gauge. (A striking coincidence is that, when Yoshua Bengio pointed out that France was trying to make Europe an AI power, there was also a tribune in Le Monde about the lack of practical impact of this call to arms, apart from more academics moving to half-time positions in private companies.) *[Warning: the picture does not work well with the dark background theme of this blog.]*

## ISBA World meetings to come

Posted in pictures, Statistics, Travel, University life with tags Canada, China, conference, ISBA, Italy, Montréal, Venezia, world meeting on January 27, 2019 by xi'an## a question from McGill about The Bayesian Choice

Posted in Books, pictures, Running, Statistics, Travel, University life with tags Bayes factors, Bayesian hypothesis testing, Canada, cross validated, improper prior, McGill University, Montréal, posterior probability on December 26, 2018 by xi'an**I** received an email from a group of McGill students working on Bayesian statistics and using The Bayesian Choice (although the exercise pictured below is not in the book, the closest being exercise 1.53 inspired from Raiffa and Shlaiffer, 1961, and exercise 5.10 as mentioned in the email):

There was a question that some of us cannot seem to decide what is the correct answer. Here are the issues,

Some people believe that the answer to both is ½, while others believe it is 1. The reasoning for ½ is that since Beta is a continuous distribution, we never could have θ exactly equal to ½. Thus regardless of α, the probability that θ=½ in that case is 0. Hence it is ½. I found a related stack exchange question that seems to indicate this as well.

The other side is that by Markov property and mean of Beta(a,a), as α goes to infinity , we will approach ½ with probability 1. And hence the limit as α goes to infinity for both (a) and (b) is 1. I think this also could make sense in another context, as if you use the Bayes factor representation. This is similar I believe to the questions in the Bayesian Choice, 5.10, and 5.11.

As it happens, the answer is ½ in the first case (a) because π(H⁰) is ½ regardless of α and 1 in the second case (b) because the evidence against H⁰ goes to zero as α goes to zero *(watch out!)*, along with the mass of the prior on any compact of (0,1) since Γ(2α)/Γ(α)². (The limit does not correspond to a proper prior and hence is somewhat meaningless.) However, when α goes to infinity, the evidence against H⁰ goes to infinity and the posterior probability of ½ goes to zero, despite the prior under the alternative being more and more concentrated around ½!

## RNG impact on MCMC [or lack thereof]

Posted in Books, R, Statistics, Travel, University life with tags Donald Knuth, George Marsaglia, GNU C library, MCM 2017, Montréal, R, random number generator, Super-duper on July 13, 2017 by xi'an**F**ollowing the talk at MCM 2017 about the strange impact of the random generator on the outcome of an MCMC generator, I tried in Montréal airport the following code on the banana target of Haario et al. (1999), copied from Soetaert and Laine and using the MCMC function of the FME package:

library(FME) Banana <- function (x1, x2) { return(x2 - (x1^2+1)) } pmultinorm <- function(vec, mean, Cov) { diff <- vec - mean ex <- -0.5*t(diff) %*% solve(Cov) %*% diff rdet <- sqrt(det(Cov)) power <- -length(diff)*0.5 return((2.*pi)^power / rdet * exp(ex)) } BananaSS <- function (p) { P <- c(p[1], Banana(p[1], p[2])) Cov <- matrix(nr = 2, data = c(1, 0.9, 0.9, 1)) N=1e3 ejd=matrix(0,4,N) RNGkind("Mars") for (t in 1:N){ MCMC <- modMCMC(f = BananaSS, p = c(0, 0.7), jump = diag(nrow = 2, x = 5), niter = 1e3) ejd[1,t]=mean((MCMC$pars[-1,2]-MCMC$pars[1,2])^2)}

since this divergence from the initial condition seemed to reflect the experiment of the speaker at MCM 2017. Unsurprisingly, no difference came from using the different RNGs in R (which may fail to contain those incriminated by the study)…