Archive for SMC

BayesComp²³ [aka MCMski⁶]

Posted in Books, Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , on March 20, 2023 by xi'an

The main BayesComp meeting started right after the ABC workshop and went on at a grueling pace, and offered a constant conundrum as to which of the four sessions to attend, the more when trying to enjoy some outdoor activity during the lunch breaks. My overall feeling is that it went on too fast, too quickly! Here are some quick and haphazard notes from some of the talks I attended, as for instance the practical parallelisation of an SMC algorithm by Adrien Corenflos, the advances made by Giacommo Zanella on using Bayesian asymptotics to assess robustness of Gibbs samplers to the dimension of the data (although with no assessment of the ensuing time requirements), a nice session on simulated annealing, from black holes to Alps (if the wrong mountain chain for Levi), and the central role of contrastive learning à la Geyer (1994) in the GAN talks of Veronika Rockova and Éric Moulines. Victor  Elvira delivered an enthusiastic talk on our massively recycled importance on-going project that we need to complete asap!

While their earlier arXived paper was on my reading list, I was quite excited by Nicolas Chopin’s (along with Mathieu Gerber) work on some quadrature stabilisation that is not QMC (but not too far either), with stratification over the unit cube (after a possible reparameterisation) requiring more evaluations, plus a sort of pulled-by-its-own-bootstrap control variate, but beating regular Monte Carlo in terms of convergence rate and practical precision (if accepting a large simulation budget from the start). A difficulty common to all (?) stratification proposals is that it does not readily applies to highly concentrated functions.

I chaired the lightning talks session, which were 3mn one-slide snapshots about some incoming posters selected by the scientific committee. While I appreciated the entry into the poster session, the more because it was quite crowded and busy, if full of interesting results, and enjoyed the slide solely made of “0.234”, I regret that not all poster presenters were not given the same opportunity (although I am unclear about which format would have permitted this) and that it did not attract more attendees as it took place in parallel with other sessions.

In a not-solely-ABC session, I appreciated Sirio Legramanti speaking on comparing different distance measures via Rademacher complexity, highlighting that some distances are not robust, incl. for instance some (all?) Wasserstein distances that are not defined for heavy tailed distributions like the Cauchy distribution. And using the mean as a summary statistic in such heavy tail settings comes as an issue, since the distance between simulated and observed means does not decrease in variance with the sample size, with the practical difficulty that the problem is hard to detect on real (misspecified) data since the true distribution behing (if any) is unknown. Would that imply that only intrinsic distances like maximum mean discrepancy or Kolmogorov-Smirnov are the only reasonable choices in misspecified settings?! While, in the ABC session, Jeremiah went back to this role of distances for generalised Bayesian inference, replacing likelihood by scoring rule, and requirement for Monte Carlo approximation (but is approximating an approximation that a terrible thing?!). I also discussed briefly with Alejandra Avalos on her use of pseudo-likelihoods in Ising models, which, while not the original model, is nonetheless a model and therefore to taken as such rather than as approximation.

I also enjoyed Gregor Kastner’s work on Bayesian prediction for a city (Milano) planning agent-based model relying on cell phone activities, which reminded me at a superficial level of a similar exploitation of cell usage in an attraction park in Singapore Steve Fienberg told me about during his last sabbatical in Paris.

In conclusion, an exciting meeting that should have stretched a whole week (or taken place in a less congenial environment!). The call for organising BayesComp 2025 is still open, by the way.


séminaire parisien de statistique [09/01/23]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , , , on January 22, 2023 by xi'an

I had missed the séminaire parisien de statistique for most of the Fall semester, hence was determined to attend the first session of the year 2023, the more because the talks were close to my interest. To wit, Chiara Amorino spoke about particle systems for McKean-Vlasov SDEs, when those are parameterised by several parameters, when observing repeatedly discretised versions, hereby establishing the consistence of a contrast estimator of these estimators. I was initially confused by the mention of interacting particles, since the work is not at all about related with simulation. Just wondering whether this contrast could prove useful for a likelihood-free approach in building a Gibbs distribution?

Valentin de Bortoli then spoke on diffusion Schrödinger bridges for generative models, which allowed me to better my understanding of this idea presented by Arnaud at the Flatiron workshop last November. The presentation here was quite different, using a forward versus backward explanation via a sequence of transforms that end up approximately Gaussian, once more reminiscent of sequential Monte Carlo. The transforms are themselves approximate Gaussian versions relying on adiscretised Ornstein-Ulhenbeck process, with a missing score term since said score involves a marginal density at each step of the sequence. It can be represented [as below] as an expectation conditional on the (observed) variate at time zero (with a connection with Hyvärinen’s NCE / score matching!) Practical implementation is done via neural networks.

Last but not least!, my friend Randal talked about his Kick-Kac formula, which connects with the one we considered in our 2004 paper with Jim Hobert. While I had heard earlier version, this talk was mostly on probability aspects and highly enjoyable as he included some short proofs. The formula is expressing the stationary probability measure π of the original Markov chain in terms of explorations between two visits to an accessible set C, more general than a small set. With at first an annoying remaining term due to the set not being Harris recurrent but which eventually cancels out. Memoryless transportation can be implemented because C is free for the picking, for instance the set where the target is bounded by a manageable density, allowing for an accept-reject step. The resulting chain is non-reversible. However, due to the difficulty to simulate from the target restricted to C, a second and parallel Markov chain is instead created. Performances, unsurprisingly, depend on the choice of C, but it can be adapted to the target on the go.

Fusion at CIRM

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , on October 24, 2022 by xi'an

Today is the first day of the FUSION workshop Rémi Bardenet and myself organised. Due to schedule clashes, I will alas not be there, since [no alas!] at the BNP conference in Chili. The program and collection of participants is quite exciting and I hope more fusion will result from this meeting. Enjoy! (And beware of boars, cold water, and cliffs!!!)

evidence estimation in finite and infinite mixture models

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on May 20, 2022 by xi'an

Adrien Hairault (PhD student at Dauphine), Judith and I just arXived a new paper on evidence estimation for mixtures. This may sound like a well-trodden path that I have repeatedly explored in the past, but methinks that estimating the model evidence doth remain a notoriously difficult task for large sample or many component finite mixtures and even more for “infinite” mixture models corresponding to a Dirichlet process. When considering different Monte Carlo techniques advocated in the past, like Chib’s (1995) method, SMC, or bridge sampling, they exhibit a range of performances, in terms of computing time… One novel (?) approach in the paper is to write Chib’s (1995) identity for partitions rather than parameters as (a) it bypasses the label switching issue (as we already noted in Hurn et al., 2000), another one is to exploit  Geyer (1991-1994) reverse logistic regression technique in the more challenging Dirichlet mixture setting, and yet another one a sequential importance sampling solution à la  Kong et al. (1994), as also noticed by Carvalho et al. (2010). [We did not cover nested sampling as it quickly becomes onerous.]

Applications are numerous. In particular, testing for the number of components in a finite mixture model or against the fit of a finite mixture model for a given dataset has long been and still is an issue of much interest and diverging opinions, albeit yet missing a fully satisfactory resolution. Using a Bayes factor to find the right number of components K in a finite mixture model is known to provide a consistent procedure. We furthermore establish there the consistence of the Bayes factor when comparing a parametric family of finite mixtures against the nonparametric ‘strongly identifiable’ Dirichlet Process Mixture (DPM) model.

RSS 2022 Honours

Posted in pictures, Statistics, University life with tags , , , , , , , , , , , , , , on March 21, 2022 by xi'an

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