## Impresiónes de València 9

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , on June 10, 2010 by xi'an

The València 9 meeting in Benidorm is now over, even for those who stay till the end of the party (!)… In retrospect, I found the scientific quality of this last meeting of the series quite high and I am thus sad this series comes to an end. This mythical gathering of “true believers” on a Valencianos beach town certainly had a charm not found in other meetings (even though I have no particular love of beaches, of beach towns or of cabarets) in that it brought people really together for a rather long time in an intense and sometime heated exchange of ideas. (This secluded perspective of course reinforced the caricatures of Bayesians as sectarians!) This was particularly true this time as the huge majority of people stayed in the same (awful) hotel. Also, the fact that there was no parallel sessions was a major factor to keep people together… (The fact that the afternoon sessions were administered by ISBA rather than the València 9 scientific committee had the drawback of sometimes producing similar talks.) In my personal view, there were somehow too many non-parametric and sparsity sessions/talks, but this follows the research trends in the community (after all in the 1994 meeting, there were also “too many” MCMC talks!) And the discussions from the floor were much more limited than in the earlier meetings (but most invited discussions were a clear added value to the talks). Maybe this is due to the growing Bayesian community. As in earlier editions, the poster sessions were a strong moment with the frustrating drawback of having too many posters in a single session to allow for a complete coverage (unless you were ready to stay up till 2am…) Again a consequence of the size of the audience. But it was a pleasure to see how Bayesian statistics was well and alive and how the community was bridging old-timers having attending all of the nine Valencia meetings with newcomers still writing their PhD. (Congrats to Emily Fox and to James Scott for their respective Savage awards!)

Darren Wilkinson also gives an overview of the “last Valencia meeting” on his blog. This post includes a detailed analysis of the GPU solution enthusiatically defended by Chris Holmes. Since I came back from the meeting with ideas towards parallel accelerations for MCMC algorithms, I will look carefully at his arguments.

## València 9 snapshot [5]

Posted in pictures, Running, Statistics, University life with tags , , , , , , , on June 9, 2010 by xi'an

For the final day of the meeting, after a good one hour run to the end of the Benidorm bay (for me at least!),  we got treated to great talks, culminating with the fitting conclusion given by the conference originator, José Bernardo. The first talk of the day was Guido Consonni’s, who introduced a new class of non-local priors to deal with variable selection. From my understanding, those priors avoid a neighbourhood of zero by placing a polynomial prior on the regression coefficients in order to discriminate better between the null and the alternative,

$\pi(\mathbf{\beta}) = \prod_i \beta_i^ h$

but the influence of the power h seems to be drastic, judging from the example showed by Guido where a move from h=0 to h=1, modified the posterior probability from 0.091 to 0.99 for the same dataset. The discussion by Jim Smith was a perfect finale to the Valencia meetings, Jim being much more abrasive than the usual discussant (while always giving the impression of being near a heart attack//!) The talk from Sylvia Früwirth-Schnatter purposely borrowed Nick Polson’ s title Shrink globally, act locally, and was also dealing with the Bayesian (re)interpretation of Lasso. (I was again left with the impression of hyperparameters that needed to be calibrated but this impression may change after I read the paper!) The talk by Xiao-Li Meng was as efficient as ever with Xiao-Li! Despite the penalising fact of being based on a discussion he wrote for Statistical Science, he managed to convey a global  and convincing picture of likelihood inference in latent variable models, while having the audience laugh most of the talk, a feat repeated by his discussant, Ed George. The basic issue of treating latent variables as parameters offers no particular difficulty in Bayesian inference but this is not true for likelihood models, as shown by both Xiao-Li and Ed. The last talk of the València series managed to make a unifying theory out of the major achievements of José Bernardo and, while I have some criticisms about the outcome, this journey back to decision theory, intrinsic losses and reference priors was nonetheless a very appropriate supplementary contribution of José to this wonderful series of meetings…. Luis Perricchi discussed the paper in a very opinionated manner, defending the role of the Bayes factor, and the debate could have gone forever…Hopefully, I will find time to post my comments on José’s paper.

I am quite sorry I had to leave before the Savage prize session where the four finalists to the prize gave a lecture. Those finalists are of the highest quality as the prize is not given in years when the quality of the theses is not deemed high enough. I will also miss the final evening during which the DeGroot Prize is attributed. (When I received the prize for Bayesian Core. in 2004, I had also left in the morning Valparaiso, just before the banquet!)

## València 9 snapshot [4]

Posted in Statistics, University life with tags , , , , , , , , on June 8, 2010 by xi'an

This one-before-last day at València 9 was fairly busy and I skipped the [tantalising] trip back to Sella to attend morning and afternoon talks. The first session involved Nicolas Chopin and Pierre Jacob’s free-energy paper whose earlier version I had heard at CREST, which builds on the earlier paper of Nicolas with Tony Lelièvre and Gabriel Stoltz to build a sequential Monte Carlo sampler that is biased along a preferential direction in order to fight multimodality and label switching in the case of mixtures. Peter Green rightly pointed out the difficulty in building this direction, which appears like a principal component to me, but this may open a new direction for research on a potentially adaptive direction updated with the SMC sampler… Although I always have trouble understanding the gist of causal models, Thomas Richardson’s talk about transparent parameterisation was quite interesting  in its links both with contingency tables and with identifiability issues (should Bayesians care about identifiability?! I did not really understand why the data could help in specifying the unidentified parameter in an empirical Bayes manner, though).

The morning talk by Darren Wilkinson was a particularly enticing talk in that Darren presented in a very articulate manner the specifics of analysing stochastic kinetic models for bacterial regulation and that he also introduced a likelihood-free MCMC that was not ABC-MCMC. (At first sight, it sounds like the auxiliary variable technique of Møller, Pettit, Reeves and Berthelsen, but I want to read the paper to understand better the differences.) Despite the appalling audio and video rendering in the conference room, the filmed discussion by Samuel Kou got into a comparison with ABC. The afternoon non-parametric session left me a bit confused as to the infinite regress on Dirichlet process expansions, but I enjoyed the next talk by Geoff Nicholls on partial ordering inference immensely, even though I missed the bishop example at the beginning because the talks got drifted due to the absence of the first speaker of the session. During the poster session (where again I only saw a fourth of the material!), I had the pleasant surprise to meet a student from the University of Canterbury, Christchurch, who took my Bayesian Core class when I visited in 2006.

## Climbing in Sella

Posted in Mountains, Travel with tags , , , on June 7, 2010 by xi'an

A bonus—on top of attending the meeting of course!—in coming to Benidorm for the València 9 meeting was to go climbing on one of the numerous routes nearby. While the cliffs of Peñon de Ifach were most attractive, the lack of clear information on the fully bolted routes led me to pick the backcountry cliffs near Sella, where Julien Cornebise and I climbed a 30m V+ route called via del indio. We were actually quite lucky in that the cliff was already visited by local climbers who were quite helpful: as I got stuck on a hidden hand hold when lead-climbing, one of them went up to equip the whole route for us. (Although this was a muy fàcil V+ route, I think I would have had even more difficuties with the final stretch before the belay!) Once equipped, the route indeed felt like a V+ and we spent the next hours going up and down until it was time to get back to the talks. The cliff was facing south/south-west and hence very exposed but between the breeze and the passing clouds it was quite tolerable. And the views on the surrounding red cliffs was amazing.

## València 9 snapshot [3]

Posted in Statistics, University life with tags , , , , on June 7, 2010 by xi'an

Today was somehow a low-key day for me in terms of talks as I was preparing a climb in the Benidorm backcountry (thanks to the advice of Alicia Quiròs) and trying to copy routes from the (low oh so low!) debit wireless at the hotel. The session I attended in the morning was on Bayesian non-parametrics, with David Dunson giving a talk on non-parametric classification, a talk whose contents were so dense in information that it felt like three talks rather than one, especially when there was no paper to back it up! Katja Ickstadt modelled graphical dependence structures using non-parametrics but also mixtures of normals across different graph structures, an innovation I found interesting if difficult to interpret. Tom Loredo concluded the session with a broad and exciting picture of the statistical challenges found in spectral astronomy (even though I often struggle to make sense of the frequency data astronomers favour).

The evening talk by Ioanna Manolopoulou was a superbly rendered study on cell dynamics with incredible 3D animations of those cell systems, representing the Langevin diffusion on the force fields in those systems as evolving vector fields. And then I gave my poster on the Savage-Dickey paradox, hence missing all the other posters in this session… The main difficulty in presenting the result was not about the measure-theoretic difficulty, but rather in explaining the Savage-Dickey representation since this was unknown to most passerbys.

## On particle learning

Posted in R, Statistics, University life with tags , , on June 5, 2010 by xi'an

In connection with the Valencia 9 meeting that started yesterday, and with Hedie‘s talk there, we have posted on arXiv a set of comments on particle learning. The arXiv paper contains several discussions but they mostly focus on the inevitable degeneracy that accompanies particle systems. When Lopes et al. state that $p(Z^t|y^t)$ is not of interest as the filtered, low dimensional $p(Z_t|y^t)$ is sufficient for inference at time t, they seem to implicitly imply that the restriction of the simulation focus to a low dimensional vector is a way to avoid the degeneracy inherent to all particle filters. The particle learning algorithm therefore relies on an approximation of $p(Z^t|y^t)$ and the fact that this approximation quickly degenerates as t increases means that this approximation impacts the approximation of $p(Z_t|y^t)$. We show that, unless the size of the particle population exponentially increases with t, the sample of $Z_t$‘s will not be distributed as an iid sample from $p(Z_t|y^t)$.

The graph above is an illustration of the degeneracy in the setup of a Poisson mixture with five components and 10,000 observations. The boxplots represent the variation of the evidence approximations based on a particle learning sample and Lopes et al. approximation, on a particle learning sample and Chib’s (1995) approximation, and on an MCMC sample and Chib’s (1995) approximation, for 250 replications. The differences are therefore quite severe when considering this number of observations. (I put the R code on my website for anyone who wants to check if I programmed things wrong.) There is no clear solution to the degeneracy problem, in my opinion, because the increase in the particle size overcoming degeneracy must be particularly high… We will be discussing that this morning.