Archive for Utah

truncated normal algorithms

Posted in Books, pictures, R, Statistics, University life with tags , , , , on January 4, 2017 by xi'an

Nicolas Chopin (CREST) just posted an entry on Statisfaction about the comparison of truncated Normal algorithms run by Alan Rogers, from the University of Utah. Nicolas wrote a paper in Statistics and Computing about a simulation method, which proposes a Ziggurat type of algorithm for this purpose, and which I do not remember reading, thanks to my diminishing memory buffer!  As shown in the picture below, when truncating to the half-line (a,∞), this method improves upon my accept-reject approach except in the far tails.

truncanormOn the top graph, made by Alan Rogers, my uniform proposal (r) seems to be doing better for a Normal truncated to (a,b) when b<0, or when a gets large and close to b. Nicolas’ ziggurat (c) works better than the Gaussian accept-reject method (c) on the positive part. (I wonder what the exponential proposal (e) stands for, in terms of scale parameter.)

Watermelon Sugar

Posted in Mountains, pictures with tags , , , , on June 4, 2016 by xi'an

next BayesComp conference planned for Jan 2018, any volunteer?

Posted in Kids, Mountains, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , on February 25, 2016 by xi'an

MCMSki III poster, 2010 (C.) IMS[A call from the BayesComp section of ISBA for the next Bayesian computation meeting! As suggested in an earlier post, the label MCMski is discontinued to allow for any location amenable to organise a 200 plus meeting in good and hopefully reasonably priced conditions.]

The Bayesian Computation Section of ISBA is soliciting proposals to host its flagship meeting: BayesComp 2018

The expectation is that the meeting will be held in January 2018, but the committee will consider proposals for other times through January 2019. This meeting is a continuation of the popular MCMSki on recent advances in the theory and application of Bayesian computational methods such as MCMC. The tradition was to hold MCMski meetings in ski resorts, but, as the name change suggests, we encourage applications from any venue that could support BC2018.

A three-day meeting is planned, perhaps with an additional day or two of satellite meetings and/or short courses. One page proposals should address feasibility of hosting the meeting including

1. Proposed dates.
2. Transportation for international participants (both the proximity of international airports and transportation to/from the venue).
3. The conference facilities.
4. The availability and cost of hotels, including low cost options.
5. The proposed local organizing committee and their collective experience organizing international meetings.
6. Expected or promised contributions from the host organization, host country, or industrial partners towards the cost of running the meetings.

Proposals should be submitted to Nicolas Chopin (Program Chair) no later than May 31, 2016. The Board of Bayesian Computing Section will evaluate the proposals, choose a venue, and appoint the Program Committee for BayesComp 2018.

MCKSki 5, where willst thou be?!

Posted in Mountains, Statistics, Travel, University life with tags , , , , , , , , , on February 10, 2014 by xi'an

ridge7[Here is a call from the BayesComp Board for proposals for MCMSki 5, renamed as below to fit the BayesComp section. The earlier poll on the ‘Og helped shape the proposal, with the year, 2016 vs. 2017, remaining open. I just added town to resort below as it did not sound from the poll people were terribly interested in resorts.]

The Bayesian Computation Section of ISBA is soliciting proposals to host its flagship conference:

Bayesian Computing at MCMSki

The expectation is that the meeting will be held in January 2016, but the committee will consider proposals for other times through January 2017.

This meeting will be the next incarnation of the popular MCMSki series that addresses recent advances in the theory and application of Bayesian computational methods such as MCMC, all in the context of a world-class ski resort/town. While past meetings have taken place in the Alps and the Rocky Mountains, we encourage applications from any venue that could support MCMSki. A three-day meeting is planned, perhaps with an additional day or two of satellite meetings and/or short courses.

One page proposals should address feasibility of hosting the meeting including

1. Proposed dates.
2. Transportation for international participants (both the proximity of international airports and transportation to/from the venue).
3. The conference facilities.
4. The availability and cost of hotels, including low cost options.
5. The proposed local organizing committee and their collective experience organizing international meetings.
6. Expected or promised contributions from the host organization, host country, or industrial partners towards the cost of running the meetings.

Proposals should be submitted to David van Dyk (dvandyk, BayesComp Program Chair) at imperial.ac.uk no later than May 31, 2014.

The Board of Bayesian Computing Section will evaluate the proposals, choose a venue, and appoint the Program Committee for Bayesian Computing at MCMSki.

MCMski IV (homepage)

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , on October 23, 2012 by xi'an

I have rewritten the text on the home page of the MCMSki IV website. Feel free to comment! I also want to signal the creation of a Facebook page.

The next MCMSki meeting, MCMSki IV, will be held in Chamonix Mont-Blanc, France, from Monday, January 6 to Wednesday, January 8, 2014. As for the previous MCMSki meetings, it jointly supported by the IMS (Institute of Mathematical Statistics) and ISBA (International Society for Bayesian Analysis), as the first meeting of the newly created BayesComp section of ISBA. It will focus on all aspects of MCMC theory and methodology, including related fields like sequential Monte Carlo, approximate Bayesian computation, Hamiltonian Monte Carlo. In contrast with the earlier meetings, it will merge the satellite Adap’ski workshop into the main meeting by having parallel (invited and contributed) sessions on those different themes. A call for proposals of sessions and talks is available here. There will be also opportunities for presenting one’s work at plenary and well-attended evening poster sessions.

In terms of location, after an excursion to Utah, MCMSki IV is back in the Alps, on the French side of Mont-Blanc, and Chamonix offers a wide range of outdoor and indoor activities during the breaks, with all levels of skiing available. The meeting will take place at the Conference Centre le Majestic (Centre des Congrès – Le Majestic) in Chamonix Mont-Blanc. (With a large population of English expatriates living there, Chamonix is very easy to handle for English speakers. The lodging capacities are both diverse and plenty.)

On optimality of kernels for ABC-SMC

Posted in Statistics, University life with tags , , , , , , , , , , on December 11, 2011 by xi'an

This freshly arXived paper by Sarah Filippi, Chris Barnes, Julien Cornebise, and Michael Stumpf, is in the lineage of our 2009 Biometrika ABC-PMC (population Monte Carlo) paper with Marc Beaumont, Jean-Marie Cornuet and Jean-Michel Marin. (I actually missed the first posting while in Berlin last summer. Flying to Utah gave me the opportunity to read it at length!)  The  paper focusses on the impact of the transition kernel in our PMC scheme: while we used component-wise adaptive proposals, the paper studies multivariate adaptivity with a covariance matrix adapted from the whole population, or locally or from an approximation to the information matrix. The simulation study run in the paper shows that, even when accounting for the additional cost due to the derivation of the matrix, the multivariate adaptation can improve the acceptance rate by a fair amount. So this is an interesting and positive sequel to our paper (that I may well end up refereeing one of those days, like an earlier paper from some of the authors!)

The main criticism I may have about the paper is that the selection of the tolerance sequence is not done in an adaptive way, while it could, given the recent developments of Del Moral et al. and of Drovandri and Pettitt (as well as our even more recent still-un-arXived submission to Stat & Computing!). While the target is the same for all transition kernels, thus the comparison still makes sense as is, the final product is to build a complete adaptive scheme that comes as close as possible to the genuine posterior.

This paper also raised a new question: there is a slight distinction between the Kullback-Leibler divergence we used and the Kullback-Leibler divergence the authors use here. (In fact, we do not account for the change in the tolerance.) Now, since what only matters is the distribution of the current particles, and while the distribution on the past particles is needed to compute the double integral leading to the divergence, there is a complete freedom in the choice of this past distribution. As in Del Moral et al., the distribution L(θ:t-1t) could therefore be chosen towards an optimal acceptance rate or something akin. I wonder if anyone ever looked at this…


Bridal Veil fall, Provo

Posted in Mountains, pictures, Travel with tags , , , on December 10, 2011 by xi'an

On Friday, Shane Reese (who so superbly organised the MCMSki III conference early this year and helped us so much for the Adap’ skiii workshop!) took me ice-climbing on one of the most iconic ice routes near Provo, Bridal Veil Fall. There, we met with a guide, Scott Adamson, who lead-climbed both pitches we experimented and belayed us as well.

This was a superb day of climbing where we did about six pitches each, including an attempt towards mixed climbing which was very interesting in its closer connection with rock climbing. Scott was immensely encouraging and it was only towards the end of the day that he told us about the new route he had opened on Moose’s Tooth, Denali, a story I had read in a climbing magazine at that time… (He was trying another route there last spring as well.)