Casanova’s lottery is out!

Adversarial Bayesian Simulation [One World ABC’minar]

The next One World ABC webinar will take place on 24 November, at 1:30 UK Time (GMT) and will be presented by Yi Yuexi Wang (University of Chicago) on “Adversarial Bayesian Simulation”, available on arXiv. [The link to the webinar is available to those who have registered.]

In the absence of explicit or tractable likelihoods, Bayesians often resort to approximate Bayesian computation (ABC) for inference. In this talk, we will cover two summary-free ABC approaches, both inspired by adversarial learning. The first one adopts a classification-based KL estimator to quantify the discrepancy between real and simulated datasets. We consider the traditional accept/reject kernel as well as an exponential weighting scheme which does not require the ABC acceptance threshold. In the second paper, we develop a Bayesian GAN (B-GAN) sampler that directly targets the posterior by solving an adversarial optimization problem. B-GAN is driven by a deterministic mapping learned on the ABC reference by conditional GANs. Once the mapping has been trained, iid posterior samples are obtained by filtering noise at a negligible additional cost. We propose two post-processing local refinements using (1) data-driven proposals with importance reweighting, and (2) variational Bayes. For both methods, we support our findings with frequentist-Bayesian theoretical results and highly competitive performance in empirical analysis. (Joint work with Veronika Rockova)

Midwestern trip

Next week, I will visit both Iowa State University, in Ames—a funny item for French speaking readers is that I will first land in Des Moines before reaching (les) Ames!, a logical step if any, even though only the first name relates to the early French exploration of the area: Ames has apparently no [ethymological] connection with souls…—, and the University of Chicago Booth Business School, giving a seminar on ABC model choice and empirical likelihood in both places. (I have never been to Iowa before and the last time I visited Chicago—rather than just commuting through O’Hare—was in May 1988, when I drove a friend to the airport…!) Here are the time and places for the seminars (note that the seminar at Booth is on Tuesday rather than on the customary Thursday to accommodate my tight schedule!):

• Monday Oct 29th, 4:10 pm, Snedecor 3105, Iowa State University, Zyskind lecture [abstract]
  
• Tuesday Oct 30th, 12:00pm, Lunch: C50B and 1:20pm Seminar: C50A, the University of Chicago Booth Business School, Econometrics and Statistics Colloquium [abstract]

As a coincidence—not so much as he is currently assistant professor in Ames—, the previous seminar speaker in Ames is my friend Vivek Roy, talking on Monte Carlo Methods for Improper Target Distributions! Here is (again!) the current version of the slides:

Student abroad

Last week, a fourth year student on an exchange program with the University of Chicago came to talk to me on her winter break in Paris. She had a few questions about her choices of program for the next year but she mostly wanted to share about her experience. The math courses she took in Chicago are mostly postgraduate and PhD courses, and she has had a hard time assimilating them but she nonetheless passed all her first trimester courses and she now intends to start a PhD in mathematical modelling. By going to the US, she has also discovered the virtues of personal and group work, which is somehow lost on our students due to a large load of course hours per week… I was glad to see this plan towards a math PhD unravelling, as so few of our students end up doing research, but I was also reflecting that this exchange student would have been less likely to do so, had she stayed in France, not because of the contents of the courses but because the large number of students in our courses (up to 180 in fourth year!) prohibits personal tutoring and advising… I am also quite sorry the exchange program we had with the University of Chicago has now come to an end, as the single student we sent there every year was always successful and pursued brilliant postgraduate studies.