Archive for Wales
early morn in Powys [jatp]
Posted in Mountains, pictures, Running, Travel with tags Cymru, Great-Britain, Gregynog Hall, Powys, running injury, sunrise, Tregynon, Wales, winter running on April 8, 2022 by xi'an
robustified Hamiltonian
Posted in Books, Statistics, University life with tags Gregynog, Hamiltonian, HMC, leapfrog integrator, non-reversible MCMC, NUTS, randomised HMC, single malt, University of Warwick, Wales on April 1, 2022 by xi'an
In Gregynog, last week, Lionel Riou-Durant (Warwick) presented his recent work with Jure Vogrinc on Metropolis Adjusted Langevin Trajectories, which I had also heard in the Séminaire Parisien de Statistique two weeks ago. Starting with a nice exposition of Hamiltonian Monte Carlo, highlighting its drawbacks. This includes the potentially damaging impact of poorly tuning the integration time. Their proposal is to act upon the velocity in the Hamiltonian through Langevin (positive) damping, which also preserves the stationarity. (And connects with randomised HMC.) One theoretical in the paper is that the Langevin diffusion achieves the fastest mixing rate among randomised HMCs. From a practical perspective, there exists a version of the leapfrog integrator that adapts to this setting and can be implemented as a Metropolis adjustment. (Hence the MALT connection.) An interesting feature is that the process as such is ergodic, which avoids renewal steps (and U-turns). (There are still calibration parameters to adjust, obviously.)
back to Powys
Posted in Statistics with tags Bettws, Cymru, Gregynog Hall, Powys, Tregynon, University of Warwick, Wales on March 29, 2022 by xi'an
a year ago, a world away
Posted in Statistics with tags Bristol, COVID-19, demonstration, England, flight, Greta Thunberg, pandemics, plane trip, seminar, Travel, United Kingdom, University of Bristol, Wales on February 24, 2021 by xi'an
in Bristol for the day
Posted in pictures, Statistics, Travel, University life with tags ABC, ABC-Gibbs, Bristol, Britain, Cardiff, England, intractable likelihood, likelihood-free methods, seminar, slideshare, University of Bristol, Wales 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…)
Xi'an's Og 