1500th, 3000th, &tc

As the ‘Og reached its 1500th post and 3000th comment at exactly the same time, a wee and only mildly interesting Sunday morning foray in what was posted so far and attracted the most attention (using the statistics provided by wordpress). The most visited posts:

Title	Views
Home page	203,727
In{s}a(ne)!!	7,422
“simply start over and build something better”	6,264
Julien on R shortcomings	2,676
Sudoku via simulated annealing	2,402
About	1,876
Of black swans and bleak prospects	1,768
Solution manual to Bayesian Core on-line	1,628
Parallel processing of independent Metropolis-Hastings algorithms	1,625
Bayesian p-values	1,595
Bayes’ Theorem	1,537
#2 blog for the statistics geek?!	1,526
Do we need an integrated Bayesian/likelihood inference?	1,501
Coincidence in lotteries	1,396
Solution manual for Introducing Monte Carlo Methods with R	1,340
Julian Besag 1945-2010	1,293
Tornado in Central Park	1,093
The Search for Certainty	1,016

Hence, three R posts (incl. one by Julien and one by Ross Ihaka), three (critical) book reviews, two solution manuals, two general Bayesian posts, two computational entries, one paper (with Pierre Jacob and Murray Smith), one obituary, and one photograph news report… Altogether in line with the main purpose of the ‘Og. The most commented posts:

Post	Comments
In{s}a(ne)!!	31
“simply start over and build something better”	30
That the likelihood principle does not hold…	23
Incoherent inference	23
Lack of confidence in ABC model choice	20
Parallel processing of independent Metropolis-Hastings algorithms	19
ABC model choice not to be trusted	17
MCMC with errors	16
Coincidence in lotteries	16
Bessel integral	14
Numerical analysis for statisticians	14

Not exactly the same as above! In particular, the posts about ABC model choice and our PNAS paper got into the list. At last, the top search terms:

Search	Views
surfers paradise	1,050
benidorm	914
introducing monte carlo methods with r	514
andrew wyeth	398
mistborn	352
abele blanc	350
nested sampling	269
particle mcmc	269
bayesian p-value	263
julian besag	257
rites of love and math	249
millenium	237
bayesian p value	222
marie curie	221
bonsai	200

(out of which I removed the dozens of variations on xian’s blog). I find it rather sad that both top entries are beach towns that are completely unrelated to my lifestyle and to my vacation places. Overall, more than a  half of those entries do not strongly relate to the contents of the ‘Og (even though I did post at length about Saunderson’s Mistborn and Larsson’s Millenium trilogies). At last, the most popular clicks are

URL	Clicks
amazon.com/gp/product/1441915753?ie=UTF8&tag=chrprobboo-20&linkCode=as2&camp=1789&creative=390957&creativeASIN=1441915753	1,243
stat.columbia.edu/~cook/movabletype/mlm	1,039
terrytao.wordpress.com	583
amazon.com/gp/product/0387389792?ie=UTF8&tag=chrprobboo-20&linkCode=as2&camp=1789&creative=9325&creativeASIN=0387389792	575
arxiv.org/abs/1012.2184	531
radfordneal.wordpress.com/2010/08/15/two-surpising-things-about-r	529
romainfrancois.blog.free.fr	505
statisfaction.wordpress.com	404
ceremade.dauphine.fr/~xian/basudo.R	395
stackoverflow.com/questions/3706990/is-r-that-bad-that-it-should-be-rewritten-from-scratch	372
amazon.com/gp/product/0387212396?ie=UTF8&tag=chrprobboo-20&linkCode=as2&camp=1789&creative=9325&creativeASIN=0387212396	298
radfordneal.wordpress.com/2010/09/03/fourteen-patches-to-speed-up-r	298
cs.ubc.ca/~cornebis	288
statisticsforum.wordpress.com	282
arxiv.org/abs/1001.2906	279
arxiv.org/abs/1010.1595	257
amazon.com/gp/redirect.html?ie=UTF8&location=http://www.amazon.com/gp/entity/-/B001H6GSKC&tag=chrprobboo-20&linkCode=ur2&camp=1789&creative=390957	256
ceremade.dauphine.fr/~xian/BCS/solutions.pdf	253
rss.org.uk/main.asp?page=3005	243
www3.interscience.wiley.com/cgi-bin/fulltext/119424936/PDFSTART	216
stat.auckland.ac.nz/~ihaka/downloads/Compstat-2008.pdf	203

which include links to my books on Amazon, Andrew Gelman’s, Terry Tao’s, Radford Neal’s and Romain François’s blogs, the CREST stat students collective blog, and a few arXiv papers of mine’s…

WSC [2]011

Last day at WSC 2011: as it was again raining, I could not run a second time into the South Mountain Preserve park. (I had a swim at 5am instead and ended up having a nice chat with an old man in the pool under the rain!) My first morning session was rather disappointing with two talks that remained at such a high level of generality as to be useless and a mathematical talk about new forms of stochastic approximation that included proofs and no indication on the calibration of its many parameters. During the coffee break, I tried to have a chat with a vendor of a simulation software but we were using so different vocabularies that I soon gave up. (A lot of the software on display was a-statistical in that users would build a network, specify all parameters, incl. the distributions at the different nodes and start calibrating those parameters towards a behaviour that suited them.) The second session was much more in my area of interest/expertise, with Paul Dupuis giving a talk in the same spirit as the one he gave in New York last September. using large deviations and importance sampling on diffusions. Both following talks were about specially designed importance sampling techniques for rare events and about approximating the zero variance optimal importance function: Yixi Shin gave a talk on cross-entropy based selection of mixtures for the simulation of tail events, connecting somehow with the talk on mixtures of importance sampling distributions I attended yesterday. Although I am afraid I dozed a while during the talk, it was an interesting mix with the determination of the weights by cross-entropy arguments reminded me of what we did for the population Monte Carlo approach (since it also involved some adaptive entropy optimisation). Zdravko Botev gave a talk on approximating the ideal zero variance importance function by MCMC and a sort of Rao-Blackwell estimator that gives an unbiased estimator of this density under stationarity. Then it was time to leave for the airport (and wait in a Starbucks for the plane to Minneapolis and then London to depart, as there is no such thing as a lounge in Phoenix airport…). I had an interesting exchange with a professional magician in the first plane, The Amazing Hondo!, who knew about Persi and was a former math teacher. He explained a few tricks to me, plus showed me his indeed amazing sleight of hands in manipulating cards. In exchange, I took Persi’s book on Magic and Mathematics out of my bag so that he could have look at it. (The trip to London was completely uneventful as I slept most of the way.)

Overall, WSC 2011 was an interesting experience in that (a) the talks I attended on zero variance importance simulation set me thinking again on potential applications of the apparently useless optimality result; (b) it showed me that most people using simulation do not, N.O.T., relate to Monte Carlo techniques (to the extent of being completely foreign to my domains of expertise); and (c) among the parallel sessions that cover military applications, health care simulation, &tc., there always is a theme connecting to mines, which means that I will find sessions to attend when taking part in WSC 2012 in Berlin next year (since I have been invited for a talk). This will be the first time WSC is held outside North America. Hopefully, this will attract simulation addicts from Europe as well as elsewhere.

art brut

water towers

workshop in Columbia [day 3]

Although this was only a half-day of talks, the third day of the workshop was equally thought-challenging and diverse.  (I managed to miss the ten first minutes by taking a Line 3 train to 125th street, having overlooked the earlier split from Line 1… Crossing south Harlem on a Sunday morning is a fairly mild experience though.) Jean-Marc Azaïs gave a personal recollection on the work of Mario Wschebor, who passed away a week ago and should have attended the workshop. Nan Chen talked about the Monte Carlo approximation of quantities of the form

which is a problem when f is non linear. This reminded me (and others) of the Bernoulli factory and of the similar trick we use in the vanilla Rao-Blackwellisation paper with Randal Douc. However, the approach was different in that the authors relied on a nested simulation algorithm that did not adapt against f. And did not account for the shape of f. Peter Glynn, while also involved in the above, delivered a talk on the initial transient that showed possibilities for MCMC convergence assessment (even though this is a much less active area than earlier). And, as a fitting conclusion, the conference organiser, Jingchen Liu gave a talk on non-compatible conditionals he and Andrew are using to handle massively-missing datasets. It reminded me of Hobert and Casella (1996, JASA) of course and also of discussions we had in Paris with Andrew and Nicolas. Looking forward to the paper (as I have missed some points about the difference between true and operational models)! Overall, this was thus a terrific workshop (I just wish I could have been able to sleep one hour more each night to be more alert during all talks!) and a fantastic if intense schedule fitting the start of the semester and of teaching (even though Robin had to teach my first R class in English on Friday). I also discovered that several of the participants were attending the Winter Simulation Conference later this year, hence another opportunity to discuss simulation strategies together.

workshop in Columbia [day 2]

The second day at the workshop was closer to my research topics and thus easier to follow, if equally enjoyable compared with yesterday: Jun Liu’s talk went over his modification of the Clifford-Fearnhead particle algorithm in great details, Sam Kou explained how a simulated annealing algorithm could make considerable improvement in the prediction of the 3D structure of molecules, Jeff Rosenthal showed us the recent results on and applications of adaptive MCMC, Gareth Roberts detailed his new results on the exact simulation of diffusions, and Xiao-Li Meng went back to his 2002 Read Paper to explain how we should use likelihood principles in Monte Carlo as well. And convince me I was “too young” to get the whole idea! (As I was a discussant of this paper.) All talks were thought-provoking and I enjoyed very much Gareth’s approach and description of the algorithm (as did the rest of the audience, to the point of asking too many questions during the talk!). However, the most revealing talk was Xiao-Li’s in that he did succeed in convincing me of the pertinence of his “unknown measure” approach thanks to a multiple mixture example where the actual mixture importance sampler

gets dominated by the estimated mixture version

Even though I still remain skeptical by the group averaging perspective, for the same reason as earlier that the group is not acting in conjunction with the target function. Hence averaging over transforms of no relevance for the target. Nonetheless, the idea of estimating the best “importance function” based on the simulated values rather than using the genuine importance function is quite a revelation, linking with an earlier question of mine (and others) on the (lack of) exploitation of the known values of the target at the simulated points. (Maybe up to a constant.) Food for thought, certainly… In memory of this discussion, here is a picture [of an ostrich] my daughter drew at the time for my final slide in London:

marathon world record broken

Once again, the Berlin marathon provides us with a World record. Patrick Makau just finished in 2:03:38, breaking Haile Gebrsellassie’s previous record. And leaving Gebrsellassie quite behind (he eventually dropped away). Maybe the beautiful finish at the Brandenburg Gate helps in setting those records! Paula Radcliffe finished third in 2:23:46, far from her World record. And four minutes behind Florence Kiplagat. However, I think the major thing is that she finished and got qualified for the 2012 Olympics. Now, it is time for splits in Central Park!