## Rouen noir [jatp]

Posted in pictures, Travel with tags , , , , on June 16, 2017 by xi'an

## Bayesian decision riddle

Posted in Books, Kids, Statistics with tags , , , , on June 15, 2017 by xi'an

The current puzzle on The Riddler is a version of the secretary problem with an interesting (?) Bayesian solution.

Given four positive numbers x¹, x², x³, x⁴, observed sequentially, the associated utility is the value of x at the stopping time. What is the optimal stopping rule?

While nothing is mentioned about the distribution of the x’s, I made the assumption that they were iid and uniformly distributed over (0,M), with M unknown and tried a Bayesian resolution with the non-informative prior π(M)=1/M. And failed. The reason for this failure is that the expected utility is infinite at the first step: while the posterior expected utility is finite with three and two observations, meaning I can compare stopping and continuing at the second and third steps, the predicted expected reward for continuing after observing x¹ does not exist because the expected value of max(x¹,x²) given x¹ does not exist. As the predictive density of x² is max(x¹,x²)⁻²…  Several alternatives are possible to bypass this impossible resolution, from changing the utility function to picking another reference prior.

For instance, using a prior like π(M)=1/M² l(and the same monetary return utility) leads to a proper optimal solution, namely

1. always wait for the second observation x²
2. stop at x² if x²>11x¹/12, else wait for x³
3. stop at x³ if x³>23 max(x¹,x²)/24, else observe x⁴

obtained analytically on a bar table in Rouen (and checked numerically later).

Another approach is to try to optimise the probability to pick the largest amount of the four x’s, but this is not leading to an interesting solution, since it corresponds to picking the first maximum after x¹, while picking the largest among remaining ones leads to a somewhat convoluted solution I have no patience to produce here! Plus this is not a really pertinent loss function as it does not discriminate enough against waiting…

## GG Day in Rouen

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on March 26, 2017 by xi'an

[Notice: This post is fairly “local” in that it is about a long-time friend being celebrated by his university. Nice poster though and an opportunity to stress his essential contributions to the maths department there!]

Next June, I will spend the day in Rouen for a conference celebrating the career and dedication of Gérard Grancher to mathematics and the maths department there. (When I got invited I had not realised I was to give the research talk of the day!) Gérard Granger is a CNRS engineer and a statistician who is indissociable from the maths department in Rouen, where he spent his whole career, now getting quite close to [mandatory] retirement! I am very happy to take part in this celebration as Gérard has always been an essential component of the department there, driving the computer structure, reorganising the library, disseminating the fun of doing maths to high schools around and to the general public, and always a major presence in the department,  whom I met when I started my PhD there (!) Working on the local computers in Pascal and typing my thesis with scientific word (!!)

## whazzat?! [scam conferences inc.]

Posted in Kids, Mountains, pictures, Travel, University life with tags , , , , , , , , , , , , on June 24, 2015 by xi'an

Earlier today, I received an invitation to give a plenary talk at a Probability and Statistics Conference in Marrakech, a nice location if any! As it came from a former graduate student from the University of Rouen (where I taught before Paris-Dauphine), and despite an already heavy travelling schedule for 2016!, I considered his offer. And looked for the conference webpage to find the dates as my correspondent had forgotten to include those. Instead of the genuine conference webpage, which had not yet been created, what I found was a fairly unpleasant scheme playing on the same conference name and location, but run by a predator conglomerate called WASET.  WASET stands for World Academy of Science, Engineering, and Technology. Their website lists thousands of conferences, all in nice, touristy, places, and all with an identical webpage. For instance, there is the ICMS 2015: 17th International Conference on Mathematics and Statistics next week. With a huge “conference committee” but no a single name I can identify. And no-one from France. Actually, the website kindly offers entry by city as well as topics, which helps in spotting that a large number of ICMS conferences all take place on the same dates and at the same hotel in Paris… The trick is indeed to attract speakers with the promise of publication in a special issue of a bogus journal and to have them pay 600€ for registration and publication fees, only to have all topics mixed together in a few conference rooms, according to many testimonies I later found on the web. And as clear from the posted conference program! In the “best” of cases since other testimonies mention lost fees and rejected registrations. Testimonies also mention this tendency to reproduce the acronym of a local conference. While it is not unheard of conferences amounting to academic tourism, even from the most established scientific societies!, I am quite amazed at the scale of this enterprise, even though I cannot completely understand how people can fall for it. Looking at the website, the fees, the unrelated scientific committee, and the lack of scientific program should be enough to put those victims off. Unless they truly want to partake to academic tourism, obviously.

## Monet

Posted in Kids, pictures with tags , , , , on November 21, 2010 by xi'an