## my next vacations location [with no bike]

Posted in Statistics with tags , , , , , , , on July 2, 2017 by xi'an

## fast ε-free ABC

Posted in Books, Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , on June 8, 2017 by xi'an

Last Fall, George Papamakarios and Iain Murray from Edinburgh arXived an ABC paper on fast ε-free inference on simulation models with Bayesian conditional density estimation, paper that I missed. The idea there is to approximate the posterior density by maximising the likelihood associated with a parameterised family of distributions on θ, conditional on the associated x. The data being then the ABC reference table. The family chosen there is a mixture of K Gaussian components, which parameters are then estimated by a (Bayesian) neural network using x as input and θ as output. The parameter values are simulated from an adaptive proposal that aims at approximating the posterior better and better. As in population Monte Carlo, actually. Except for the neural network part, which I fail to understand why it makes a significant improvement when compared with EM solutions. The overall difficulty with this approach is that I do not see a way out of the curse of dimensionality: when the dimension of θ increases, the approximation to the posterior distribution of θ does deteriorate, even in the best of cases, as any other non-parametric resolution. It would have been of (further) interest to see a comparison with a most rudimentary approach, namely the one we proposed based on empirical likelihoods.

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , on March 10, 2017 by xi'an

## ISBA 2018, Edinburgh, 24-28 June

Posted in Statistics with tags , , , , , , , , , , on March 1, 2017 by xi'an

The ISBA 2018 World Meeting will take place in Edinburgh, Scotland, on 24-29 June 2018. (Since there was some confusion about the date, it is worth stressing that these new dates are definitive!) Note also that there are other relevant conferences and workshops in the surrounding weeks:

• a possible ABC in Edinburgh the previous weekend, 23-24 June [to be confirmed!]
• the Young Bayesian Meeting (BaYSM) in Warwick, 2-3 July 2018 [with a potential short course on fundamentals of simulation in the following days, to be confirmed!]
• MCqMC 2018 in Rennes, 1-6 July 208
• ICML 2018 in Stockholm, 10-15 July 2018
• the 2018 International Biometrics Conference in Barcelona, 8-13 July 2018

## asymptotically exact inference in likelihood-free models

Posted in Books, pictures, Statistics with tags , , , , , , , on November 29, 2016 by xi'an

“We use the intuition that inference corresponds to integrating a density across the manifold corresponding to the set of inputs consistent with the observed outputs.”

Following my earlier post on that paper by Matt Graham and Amos Storkey (University of Edinburgh), I now read through it. The beginning is somewhat unsettling, albeit mildly!, as it starts by mentioning notions like variational auto-encoders, generative adversial nets, and simulator models, by which they mean generative models represented by a (differentiable) function g that essentially turn basic variates with density p into the variates of interest (with intractable density). A setting similar to Meeds’ and Welling’s optimisation Monte Carlo. Another proximity pointed out in the paper is Meeds et al.’s Hamiltonian ABC.

“…the probability of generating simulated data exactly matching the observed data is zero.”

The section on the standard ABC algorithms mentions the fact that ABC MCMC can be (re-)interpreted as a pseudo-marginal MCMC, albeit one targeting the ABC posterior instead of the original posterior. The starting point of the paper is the above quote, which echoes a conversation I had with Gabriel Stolz a few weeks ago, when he presented me his free energy method and when I could not see how to connect it with ABC, because having an exact match seemed to cancel the appeal of ABC, all parameter simulations then producing an exact match under the right constraint. However, the paper maintains this can be done, by looking at the joint distribution of the parameters, latent variables, and observables. Under the implicit restriction imposed by keeping the observables constant. Which defines a manifold. The mathematical validation is achieved by designing the density over this manifold, which looks like

$p(u)\left|\frac{\partial g^0}{\partial u}\frac{\partial g^0}{\partial u}^\text{T}\right|^{-\textonehalf}$

if the constraint can be rewritten as g⁰(u)=0. (This actually follows from a 2013 paper by Diaconis, Holmes, and Shahshahani.) In the paper, the simulation is conducted by Hamiltonian Monte Carlo (HMC), the leapfrog steps consisting of an unconstrained move followed by a projection onto the manifold. This however sounds somewhat intense in that it involves a quasi-Newton resolution at each step. I also find it surprising that this projection step does not jeopardise the stationary distribution of the process, as the argument found therein about the approximation of the approximation is not particularly deep. But the main thing that remains unclear to me after reading the paper is how the constraint that the pseudo-data be equal to the observable data can be turned into a closed form condition like g⁰(u)=0. As mentioned above, the authors assume a generative model based on uniform (or other simple) random inputs but this representation seems impossible to achieve in reasonably complex settings.

## travelling from pub to pub [in a straight line]

Posted in pictures, Wines with tags , , , , , , , , , , , on October 30, 2016 by xi'an

Above is the solution produced by a team at the University of Waterloo to the travelling salesman problem of linking all pubs in the UK (which includes pubs in Northern Ireland as well as some Scottish islands—even though I doubt there is no pub at all on the Island of Skye! They also missed a lot of pubs in Glasgow! And worst gaffe of all, they did not include the Clachaigh Inn, probably the best pub on Earth…). This path links over 24 thousand pubs, which is less than the largest travelling salesman problem solved at the current time, except that this case used the exact distances provided by Google maps. Of course, it would somehow make more sense to increase the distances by random amounts as the pub visits increase, unless the visitor sticks to tonic. Or tea.

## MCqMC 2016 [#4]

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on August 21, 2016 by xi'an

In his plenary talk this morning, Arnaud Doucet discussed the application of pseudo-marginal techniques to the latent variable models he has been investigating for many years. And its limiting behaviour towards efficiency, with the idea of introducing correlation in the estimation of the likelihood ratio. Reducing complexity from O(T²) to O(T√T). With the very surprising conclusion that the correlation must go to 1 at a precise rate to get this reduction, since perfect correlation would induce a bias. A massive piece of work, indeed!

The next session of the morning was another instance of conflicting talks and I hoped from one room to the next to listen to Hani Doss’s empirical Bayes estimation with intractable constants (where maybe SAME could be of interest), Youssef Marzouk’s transport maps for MCMC, which sounds like an attractive idea provided the construction of the map remains manageable, and Paul Russel’s adaptive importance sampling that somehow sounded connected with our population Monte Carlo approach. (With the additional step of considering transform maps.)

An interesting item of information I got from the final announcements at MCqMC 2016 just before heading to Monash, Melbourne, is that MCqMC 2018 will take place in the city of Rennes, Brittany, on July 2-6. Not only it is a nice location on its own, but it is most conveniently located in space and time to attend ISBA 2018 in Edinburgh the week after! Just moving from one Celtic city to another Celtic city. Along with other planned satellite workshops, this occurrence should make ISBA 2018 more attractive [if need be!] for participants from oversea.