Archive for Teneriffe

bouncy particle sampler

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , on October 30, 2015 by xi'an

 Alexandre Bouchard-Coté, Sebastian Vollmer and Arnaud Doucet just arXived a paper with the above title, which reminded me of a proposal Kerrie Mengersen and I made at Valencia 7, in Tenerife, the [short-lived!] pinball sampler. This sampler was a particle (MCMC) sampler where we used the location of the other particles to avoid their neighbourhood, by bouncing away from them according to a delayed rejection principle, with an overall Gibbs justification since the resulting target was the product of copies of the target distribution. The difficulty in implementing the (neat!) idea was in figuring out the amount of bouncing or, in more physical terms, the energy allocated to the move.

In the current paper, inspired from an earlier paper in physics, the Markov chain (or single particle) evolves by linear moves, changing directions according to a Poisson process, with intensity and direction depending on the target distribution. A local version takes advantage of a decomposition of the target into a product of terms involving only some components of the whole parameter to be simulated. And hence allowing for moves in subspaces. An extension proposed by the authors is to bounce along the Hamiltonian isoclines. The method is demonstrably ergodic and irreducible. In practice, I wonder at the level of calibration or preliminary testing required to facilitate the exploration of the parameter space, particularly in the local version that seems to multiply items to be calibrated.

Ninth València/2010 ISBA World Meeting

Posted in Mountains, Statistics, Travel, University life with tags , , , , , , on May 22, 2010 by xi'an

Just to signal readers that the program of the meeting(s) is now available. It is fairly impressive in its coverage of the ongoing research in Bayesian statistics and related fields, plus it has the very nice feature of completely avoiding parallel sessions, a reason why few contributed talks were accepted. And the less appealing feature of having poster sessions, a highlight of the Valencia meetings, starting at 10pm. Right after the [early Spanish] dinner at 9pm. (As in the earlier meeting in Teneriffe, I will have to find climbing partners for the 1pm-5pm break, even though this is not the best time for climbing…) José Bernardo also indicated that the early registration hotel prices were still in order.

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