Archive for University of Bristol

a year ago, a world away

Posted in Statistics with tags , , , , , , , , , , , , on February 24, 2021 by xi'an

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).

The Fry Building [Bristol maths]

Posted in Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on March 7, 2020 by xi'an

While I had heard of Bristol maths moving to the Fry Building for most of the years I visited the department, starting circa 1999, this last trip to Bristol was the opportunity for a first glimpse of the renovated building which has been done beautifully, making it the most amazing maths department I have ever visited.  It is incredibly spacious and luminous (even in one of these rare rainy days when I visited), while certainly contributing to the cohesion and interactions of the whole department. And the choice of the Voronoi structure should not have come as a complete surprise (to me), given Peter Green’s famous contribution to their construction!

in Bristol for the day

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on February 28, 2020 by xi'an

I am in Bristol for the day, giving a seminar at the Department of Statistics where I had not been for quite a while (and not since the Department has moved to a beautifully renovated building). The talk is on ABC-Gibbs, whose revision is on the verge of being resubmitted. (I also hope Greta will let me board my plane tonight…)

research position in Bristol

Posted in pictures, Statistics, University life with tags , , , , , , , , , on September 6, 2019 by xi'an

Christophe Andrieu is seeking a senior research associate (reference ACAD103715) at the University of Bristol to work on new approaches to Bayesian data science. The selected candidate would work with Prof. Christophe Andrieu (School of Mathematics) and Prof. Mark Beaumont (Life Science) on new approaches to tackle Bayesian inference in complex statistical models arising in particular in the area of Health Science, with a focus on genetics and/or epidemiological aspects. The position is associated with a £3M programme funded by EPSRC, Bayes4Health, and brings together research groups from the Universities of Lancaster, Bristol, Cambridge, Oxford and Warwick. Active collaboration across the partner institutions, other project partners and the programme grant CoSInES is expected. The position is for up to four years.

The position is for a duration of four years and interviews will take place in early October. Applicants with strong methodological and computational skills and are looking to put together a team of researchers with skills that cover theoretical, methodological and applied statistics should contact Christophe Andrieu at the earliest.