## water towers

Posted in pictures, Travel with tags , on October 1, 2011 by xi'an

## workshop in Columbia [day 3]

Posted in pictures, R, Running, Statistics, Travel, University life with tags , , , , , , , , , , on September 27, 2011 by xi'an

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

$\mathbb{E}[f(\mathbb{E}[Y|X])]$

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]

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , on September 26, 2011 by xi'an

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

$\dfrac{1}{n}\sum_{i=1}^n \dfrac{q(x_i)}{\sum \pi_j p_j(x_i)}$

gets dominated by the estimated mixture version

$\dfrac{1}{n}\sum_{i=1}^n \dfrac{q(x_i)}{\sum \hat\pi_j p_j(x_i)}$

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

Posted in Running, Travel with tags , , , on September 25, 2011 by xi'an

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!

## Plane talks

Posted in Travel with tags , , , , on September 23, 2011 by xi'an

(Heard this part of a phone conversation in the queue at the security check in Roissy airport)

Oui, le secrétaire de Martine Aubry m’a laissé un message sur mon portable. Tu sais de quoi il s’agit ?

[The secretary of Martine Aubry, a Socialist candidate for the French presidential elections, left a message on my cell-phone. Do you have an idea of what it is about?]

And then I sat in the A380 plane to New York next to a journalist from Madagascar, who was traveling to the UN as part of a diplomatic delegation along the Malgache president Andry Rajoelina (who was sitting downstairs in first class), as well as a bodygard, a translator and the head of the armed forces, sitting across the aisle from me. We had an interesting if lengthy chat about his country and the current transition towards an international recognition represented by this trip. And his technical tricks to transmit his coverage back to Madagascar via You Tube, since the Malgache television is unable to support more than one cameraman for the event…

## workshop in Columbia

Posted in Statistics, Travel, University life with tags , , , on July 26, 2011 by xi'an

In late September, I will take part in a workshop in Columbia University on computational methods, which sounds quite exciting when judging from the above collection of speakers! (All interested readers should note that the workshop is free, but registration is compulsory. I will, of course!, be speaking about ABC methods.) Plus, it is always a particular treat to be back in New York City

## Paula does it!

Posted in Running with tags , on November 3, 2008 by xi'an

Paula Radcliffe has won the New York marathon yesterday in an incredible race where she led all the way, despite a strong headwind. She managed to gain about three minutes on the second half of the race (she was 1:13 at the half-marathon if I remember correctly and thus did the second half-marathon in 1:10!!!) and was two minutes ahead of the second runner… While I was unsuccessfully trying to find a TV channel broadcasting the race at my hotel near SAMSI, I was following her times on the NYC Official Marathon site but nothing else was visible. Even the New York Time was shutting off the women race and focusing solely on the men race. (Nothing either on Le Monde website, despite an earlier advertising campaign with New Balance…) While there was indeed a strong suspense in the men race, the Brazilian outlier ending up first, the women race was equally climactic and, given the past abandons of Paula Radcliffe in the Olympics, nothing was clear till the end. An historical race, really!