Archive for rejection sampling

One World ABC seminar [31.3.22]

Posted in Statistics, University life with tags , , , , , , , , , on March 16, 2022 by xi'an

The next One World ABC seminar is on Thursday 31 March, with David Warnes (from QUT) talking on Multifidelity multilevel Monte Carlo for approximate Bayesian computation It will take place at 10:30 CET (GMT+1).

Models of stochastic processes are widely used in almost all fields of science. However, data are almost always incomplete observations of reality. This leads to a great challenge for statistical inference because the likelihood function will be intractable for almost all partially observed stochastic processes. As a result, it is common to apply likelihood-free approaches that replace likelihood evaluations with realisations of the model and observation process. However, likelihood-free techniques are computationally expensive for accurate inference as they may require millions of high-fidelity, expensive stochastic simulations. To address this challenge, we develop a novel approach that combines the multilevel Monte Carlo telescoping summation, applied to a sequence of approximate Bayesian posterior targets, with a multifidelity rejection sampler that learns from low-fidelity, computationally inexpensive,
model approximations to minimise the number of high-fidelity, computationally expensive, simulations required for accurate inference. Using examples from systems biology, we demonstrate improvements of more than two orders of magnitude over standard rejection sampling techniques

Hastings at 50, from a Metropolis

Posted in Kids, pictures, Running, Travel with tags , , , , , , , , , , , , , , , , , , , , , , on January 4, 2020 by xi'an

A weekend trip to the quaint seaside city of Le Touquet Paris-Plage, facing the city of Hastings on the other side of the Channel, 50 miles away (and invisible on the pictures!), during and after a storm that made for a fantastic watch from our beach-side rental, if less for running! The town is far from being a metropolis, actually, but it got its added surname “Paris-Plage” from British investors who wanted to attract their countrymen in the late 1800s. The writers H.G. Wells and P.G. Wodehouse lived there for a while. (Another type of tourist, William the Conqueror, left for Hastings in 1066 from a wee farther south, near Saint-Valéry-sur-Somme.)

And the coincidental on-line publication in Biometrika of a 50 year anniversary paper, The Hastings algorithm at fifty by David Dunson and James Johndrow. More of a celebration than a comprehensive review, with focus on scalable MCMC, gradient based algorithms, Hamiltonian Monte Carlo, nonreversible Markov chains, and interesting forays into approximate Bayes. Which makes for a great read for graduate students and seasoned researchers alike!

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