This week, I attend the MCqMC 2016 conference in Stanford, which is quite an exciting gathering of researchers involved in various aspects of Monte Carlo methods. As Art Owen put it in his welcoming talk, the whole Carlo family is there! (Not to mention how pleasant the Stanford Campus currently is, after the scorching heat we met the past week in Northern California inlands.) My talk is on folded Markov chains, which is a proposal Randal and I have been working on for quite a while, with Gareth joining us more recently. The basic idea was inspired from a discussion I had about a blog post, so long ago that I cannot even trace it! Namely, when defining an inside set A and an outside set, such that the outside set can be projected onto the inside set, one can fold both the target and the proposal, essentially looking at a collection of values for each step of the Markov chain. In other words, the problem can be reduced to A at essentially no cost and with the benefits of a compact support A and of a possibly uniformly ergodic Markov chain. We are still working on the paper, but the idea is both cool and straightforward, so we decided to talk about it at Nordstat 2016 and now MCqMC 2016.
Archive for Randal Douc
Khyol (le vent), the fifth play of Randal Douc will be produce tomorrow (June 13, at 3pm) in Vingtième Thêatre, Paris, for a single and exceptional mise en espace. Entry is free! [A post obviously restricted to francophile readers in the vicinity!]
My friends Randal Douc and Éric Moulines just published this new time series book with David Stoffer. (David also wrote Time Series Analysis and its Applications with Robert Shumway a year ago.) The books reflects well on the research of Randal and Éric over the past decade, namely convergence results on Markov chains for validating both inference in nonlinear time series and algorithms applied to those objects. The later includes MCMC, pMCMC, sequential Monte Carlo, particle filters, and the EM algorithm. While I am too close to the authors to write a balanced review for CHANCE (the book is under review by another researcher, before you ask!), I think this is an important book that reflects the state of the art in the rigorous study of those models. Obviously, the mathematical rigour advocated by the authors makes Nonlinear Time Series a rather advanced book (despite the authors’ reassuring statement that “nothing excessively deep is used”) more adequate for PhD students and researchers than starting graduates (and definitely not advised for self-study), but the availability of the R code (on the highly personal page of David Stoffer) comes to balance the mathematical bent of the book in the first and third parts. A great reference book!
The Missing Picture (L’image manquante), a documentary movie by Rithy Panh whose text is read by my friend, co-author and former student Randal Douc, has just been nominated for the Oscars. (After winning a prize in Cannes.) As a foreign-language movie. This film is actually much much more than a documentary on the Red Khmer terror. The text is just gripping and the idea of depicting the horror of the camps by little clay figures made and painted in the movie gives them a strength and a life other representations would miss. The painstaking application of the sculptor into making those figures endows them with a soul that make their suffering the more real. The Missing Picture goes beyond the political and the ideological to translate the simple but absolute multiplication of lost destinies. Whether or not it stands a chance for the Oscars, a truly unique movie.