Archive for UCL

general perspective on the Metropolis–Hastings kernel

Posted in Books, Statistics with tags , , , , , , , , , , , , , on January 14, 2021 by xi'an

[My Bristol friends and co-authors] Christophe Andrieu, and Anthony Lee, along with Sam Livingstone arXived a massive paper on 01 January on the Metropolis-Hastings kernel.

“Our aim is to develop a framework making establishing correctness of complex Markov chain Monte Carlo kernels a purely mechanical or algebraic exercise, while making communication of ideas simpler and unambiguous by allowing a stronger focus on essential features (…) This framework can also be used to validate kernels that do not satisfy detailed balance, i.e. which are not reversible, but a modified version thereof.”

A central notion in this highly general framework is, extending Tierney (1998), to see an MCMC kernel as a triplet involving a probability measure μ (on an extended space), an involution transform φ generalising the proposal step (i.e. þ²=id), and an associated acceptance probability ð. Then μ-reversibility occurs for

\eth(\xi)\mu(\text{d}\xi)= \eth(\phi(\xi))\mu^{\phi}(\text{d}\xi)

with the rhs involving the push-forward measure induced by μ and φ. And furthermore there is always a choice of an acceptance probability ð ensuring for this equality to happen. Interestingly, the new framework allows for mostly seamless handling of more complex versions of MCMC such as reversible jump and parallel tempering. But also non-reversible kernels, incl. for instance delayed rejection. And HMC, incl. NUTS. And pseudo-marginal, multiple-try, PDMPs, &c., &c. it is remarkable to see such a general theory emerging a this (late?) stage of the evolution of the field (and I will need more time and attention to understand its consequences).

simulating the pandemic

Posted in Books, Statistics with tags , , , , , , , , , , , on November 28, 2020 by xi'an

Nature of 13 November has a general public article on simulating the COVID pandemic as benefiting from the experience gained by climate-modelling methodology.

“…researchers didn’t appreciate how sensitive CovidSim was to small changes in its inputs, their results overestimated the extent to which a lockdown was likely to reduce deaths…”

The argument is essentially Bayesian, namely rather than using a best guess of the parameters of the model, esp. given the state of the available data (and the worse for March). When I read

“…epidemiologists should stress-test their simulations by running ‘ensemble’ models, in which thousands of versions of the model are run with a range of assumptions and inputs, to provide a spread of scenarios with different probabilities…”

it sounds completely Bayesian. Even though there is no discussion of the prior modelling or of the degree of wrongness of the epidemic model itself. The researchers at UCL who conducted the multiple simulations and the assessment of sensitivity to the 940 various parameters found that 19 of them had a strong impact, mostly

“…the length of the latent period during which an infected person has no symptoms and can’t pass the virus on; the effectiveness of social distancing; and how long after getting infected a person goes into isolation…”

but this outcome is predictable (and interesting). Mentions of Bayesian methods appear at the end of the paper:

“…the uncertainty in CovidSim inputs [uses] Bayesian statistical tools — already common in some epidemiological models of illnesses such as the livestock disease foot-and-mouth.”


“Bayesian tools are an improvement, says Tim Palmer, a climate physicist at the University of Oxford, who pioneered the use of ensemble modelling in weather forecasting.”

along with ensemble modelling, which sounds a synonym for Bayesian model averaging… (The April issue on the topic had also Bayesian aspects that were explicitely mentionned.)

Haldane’s short autobiography

Posted in Books, pictures, Statistics with tags , , , , , , , , , , , , , , , , , , , , , , , , on October 15, 2020 by xi'an

“I was born at Oxford, England, in 1892.  My father was Prof. J.S. Haldane, the physiologist.  I was educated at Eton and New College, Oxford.  I learned much of my science by apprenticeship, assisting my father from the age of eight onwards, and my university degree is in for classics, not science.  I was in a British infantry battalion from 1914 to 1919, and was twice wounded.  I began scientific research in 1910, and became a Fellow of New College, Oxford, in 1919.  I was at Cambridge from 1922-1932 as Reader in Biochemistry, and have been a professor in London University since 1933.  I was visiting professor in the University of Berkeley, Cal., in 1932.  In the same year I was elected a Fellow of the Royal Society of London.

My scientific work has been varied.  In the field of human physiology I am best known for my work on the effects of taking large amounts of ammonium chloride and other salts.  This has had some application in treating lead and radium poisoning.  In the field of genetics I was the first to discover linkage in mammals, to map a human chromosome, and (with Penrose) to measure the mutation rate of a human gene.  I have also made some minor discoveries in mathematics.

Whilst I may have been a credit to my universities, I have been a trial in other ways.  I was dismissed from Cambridge University in 1926 in connexion with a divorce case, but regained my post on appeal to a higher tribunal, which found that the university authorities had decided to dismiss me without hearing my case.  At present I have refused to evacuate University College, London, and, with two assistants am its sole academic occupant.  I am carrying on research there under difficulties.

Besides strictly scientific books I have written a number of popular works including a book of children’s stories.  I consider that a scientist, if he can do so, should help to render science intelligible to ordinary people, and have done my best to popularize it.

Till 1933 I tried to keep out of politics, but the support given by the British Government to Hitler and Mussolini forced me to enter the political field.  In 1936-1938 I spent three months in Republican Spain, first as an adviser on gas protection, and then as an observer of air raid precautions.  I was in the front line during fighting, and in several air raids behind the line.  Since then I have tried, with complete lack of success, to induce the British Government to adopt air raid protection measures which had proved their efficacy in Spain.

Mr. Chamberlain’s policy, and the recent developments in physics and biology, combined to convince me of the truth of the Marxist philosophy.  Though I am a member of no political party, I have of late years supported the communist party on a number of issues.  At present I am engaged on research in genetics, & research intended to save the lives of members of the British armed forces, and writing and public speaking designed to prevent the spreading of the present war, and if possible to bring about peace.  I am a fairly competent public speaker.

It will be seen that my life has been a full one.  I have been married for 14 years, measure 73 inches, weigh 245 pounds, and enjoy swimming and mountain walking.  I am bald and blue-eyed, a moderate drinker and a heavy smoker. I can read 11 languages and make public speeches in three, but am unmusical.”

J.B.S. Haldane, circa 1940

Nature tidbits [the Bayesian brain]

Posted in Statistics with tags , , , , , , , , , , , , , , on March 8, 2020 by xi'an

In the latest Nature issue, a long cover of Asimov’s contributions to science and rationality. And a five page article on the dopamine reward in the brain seen as a probability distribution, seen as distributional reinforcement learning by researchers from DeepMind, UCL, and Harvard. Going as far as “testing” for this theory with a p-value of 0.008..! Which could be as well a signal of variability between neurons to dopamine rewards (with a p-value of 10⁻¹⁴, whatever that means). Another article about deep learning about protein (3D) structure prediction. And another one about learning neural networks via specially designed devices called memristors. And yet another one on West Africa population genetics based on four individuals from the Stone to Metal age (8000 and 3000 years ago), SNPs, PCA, and admixtures. With no ABC mentioned (I no longer have access to the journal, having missed renewal time for my subscription!). And the literal plague of a locust invasion in Eastern Africa. Making me wonder anew as to why proteins could not be recovered from the swarms of locust to partly compensate for the damages. (Locusts eat their bodyweight in food every day.) And the latest news from NeurIPS about diversity and inclusion. And ethics, as in checking for responsibility and societal consequences of research papers. Reviewing the maths of a submitted paper or the reproducibility of an experiment is already challenging at times, but evaluating the biases in massive proprietary datasets or the long-term societal impact of a classification algorithm may prove beyond the realistic.

Xmas tree at UCL, with a special gift

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , on November 26, 2019 by xi'an

Ph.D. students at UCL Statistics have made this Xmas tree out of bound and unbound volumes of statistics journals, not too hard to spot (especially the Current Indexes which I abandoned when I left my INSEE office a few years ago). An invisible present under the tree is the opening of several positions, namely two permanent lectureships and two three-year research fellowships, all in Statistics or Applied Probability, with the fellowship deadline being the 1st of December 2019!