**A** workshop on sequential Monte Carlo will take place in Uppsala, Sweeden, on August 30 – September 1, 2017. Involving 21 major players in the field. It follows SMC 2015 that took place at CREST and was organised by Nicolas Chopin. Furthermore, this workshop is preceded by a week-long PhD level course. (The above picture serves as background for the announcement and was taken by Lawrence Murray, whose multiple talents include photography.)

## Archive for summer school

## Sequential Monte Carlo workshop in Uppsala

Posted in pictures, Statistics, Travel, University life with tags sequential Monte Carlo, SMC 2017, summer school, Sweeden, Uppsala University on May 12, 2017 by xi'an## back from CIRM

Posted in Kids, Mountains, pictures, Running, Statistics, Travel, University life with tags Bayesian statistics, boar, calanques, Cassis, CIRM, Luminy, Marseille, Mont Puget, SMF, summer school, Université Aix Marseille, wikipedia on March 20, 2016 by xi'an**A**s should be clear from earlier posts, I tremendously enjoyed this past week at CIRM, Marseille, and not only for providing a handy retreat from where I could go running and climbing at least twice a day! The programme (with slides and films soon to be available on the CIRM website) was very well-designed with mini-courses and talks of appropriate length and frequency. Thanks to Nicolas Chopin (ENSAE ParisTech) and Gilles Celeux (Inria Paris) for constructing so efficiently this program and to the local organisers Thibaut Le Gouic (Ecole Centrale de Marseille), Denys Pommeret (Aix-Marseille Université), and Thomas Willer (Aix-Marseille Université) for handling the practical side of inviting and accommodating close to a hundred participants on this rather secluded campus. I hope we can reproduce the experiment a few years from now. Maybe in 2018 if we manage to squeeze it between BayesComp 2018 [ex-MCMski] and ISBA 2018 in Edinburgh.

One of the bonuses of staying at CIRM is indeed that it is fairly isolated and far from the fury of down-town Marseille, which may sound like a drag, but actually helps with concentration and interactions. Actually, the whole Aix-Marseille University campus of Luminy on which CIRM is located is surprisingly quiet: we were there in the very middle of the teaching semester and saw very few students around (although even fewer boars!). It is a bit of a mystery that a campus built in such a beautiful location with the Mont Puget as its background and the song of cicadas as the only source of “noise” is not better exploited towards attracting more researchers and students. However remoteness and lack of efficient public transportation may explain a lot about this low occupation of the campus. As may the poor quality of most buildings on the campus, which must be unbearable during the summer months…

In a potential planning for the future Bayesian week at CIRM, I think we could have some sort of poster sessions after-dinner (with maybe a cash bar operated by some of the invited students since there is no bar at CIRM or around). Or trail-running under moonlight, trying to avoid tripping over rummaging boars… A sort of Kaggle challenge would be nice but presumably too hard to organise. As a simpler joint activity, we could collectively contribute to some wikipedia pages related to Bayesian and computational statistics.

## at CIRM [#3]

Posted in Kids, Mountains, pictures, Running, Statistics, Travel, University life with tags ABC, ABC-SMC, Bayesian statistics, CIRM, component of a mixture, cross validated, expectation-propagation, high dimensions, identifiability, Luminy, Marseille, MCMC, Mont Puget, Monte Carlo Statistical Methods, particle filter, particle Gibbs sampler, summer school on March 4, 2016 by xi'an**S**imon Barthelmé gave his mini-course on EP, with loads of details on the implementation of the method. Focussing on the EP-ABC and MCMC-EP versions today. Leaving open the difficulty of assessing to which limit EP is converging. But mentioning the potential for asynchronous EP (on which I would like to hear more). Ironically using several times a logistic regression example, if not on the Pima Indians benchmark! He also talked about approximate EP solutions that relate to consensus MCMC. With a connection to Mark Beaumont’s talk at NIPS [at the time as mine!] on the comparison with ABC. While we saw several talks on EP during this week, I am still agnostic about the potential of the approach. It certainly produces a fast proxy to the true posterior and hence can be exploited *ad nauseam* in inference methods based on pseudo-models like indirect inference. In conjunction with other quick and dirty approximations when available. As in ABC, it would be most useful to know how far from the (ideal) posterior distribution does the approximation stands. Machine learning approaches presumably allow for an evaluation of the predictive performances, but less so for the modelling accuracy, even with new sampling steps. [But I know nothing, I know!]

Dennis Prangle presented some on-going research on high dimension [data] ABC. Raising the question of what is the true meaning of dimension in ABC algorithms. Or of sample size. Because the inference relies on the event d(s(y),s(y’))≤ξ or on the likelihood l(θ|x). Both one-dimensional. Mentioning Iain Murray’s talk at NIPS [that I also missed]. Re-expressing as well the perspective that ABC can be seen as a missing or estimated normalising constant problem as in Bornn et al. (2015) I discussed earlier. The central idea is to use SMC to simulate a particle cloud evolving as the target tolerance ξ decreases. Which supposes a latent variable structure lurking in the background.

Judith Rousseau gave her talk on non-parametric mixtures and the possibility to learn parametrically about the component weights. Starting with a rather “magic” result by Allman et al. (2009) that three repeated observations per individual, all terms in a mixture are identifiable. Maybe related to that simpler fact that mixtures of Bernoullis are not identifiable while mixtures of Binomial are identifiable, even when n=2. As “shown” in this plot made for X validated. Actually truly related because Allman et al. (2009) prove identifiability through a finite dimensional model. (I am surprised I missed this most interesting paper!) With the side condition that a mixture of p components made of r Bernoulli products is identifiable when p ≥ 2[log² r] +1, when log² is base 2-logarithm. And [x] the upper rounding. I also find most relevant this distinction between the weights and the remainder of the mixture as weights behave quite differently, hardly parameters in a sense.

## expectation-propagation from Les Houches

Posted in Books, Mountains, pictures, Statistics, University life with tags belief propagation, book review, Chamonix, CHANCE, expectation-propagation, French Alps, Lasso, Les Houches, Oxford University Press, sparsity, summer school on February 3, 2016 by xi'an**A**s CHANCE book editor, I received the other day from Oxford University Press acts from an École de Physique des Houches on Statistical Physics, Optimisation, Inference, and Message-Passing Algorithms that took place there in September 30 – October 11, 2013. While it is mostly unrelated with Statistics, and since Igor Caron already reviewed the book a year and more ago, I skimmed through the few chapters connected to my interest, from Devavrat Shah’s chapter on graphical models and belief propagation, to Andrea Montanari‘s denoising and sparse regression, including LASSO, and only read in some detail Manfred Opper’s expectation propagation chapter. This paper made me realise (or re-realise as I had presumably forgotten an earlier explanation!) that expectation propagation can be seen as a sort of variational approximation that produces by a sequence of iterations the distribution within a certain parametric (exponential) family that is the closest to the distribution of interest. By writing the Kullback-Leibler divergence the opposite way from the usual variational approximation, the solution equates the expectation of the natural sufficient statistic under both models… Another interesting aspect of this chapter is the connection with estimating normalising constants. (I noticed a slight typo on p.269 in the final form of the Kullback approximation q() to p().