## Bolztmann optimisation as simulating device

Posted in Books, Statistics, University life with tags , , , , , , on June 18, 2020 by xi'an

“The problem of drawing samples from a discrete distribution can be converted into a discrete optimization problem” Maddison et al., 2014

I recently learned about the Gumbel-Max “trick” proposed by Chris Maddison, Daniel Tarlow, and Tom Minka in a 2014 NIPS talk. Namely that, to generate from a Boltzmann distribution

$p_j=\frac{\exp\{g_j\}}{\sum_i \exp\{g_i\}}$

is equivalent to adding standard Gumbel noise to the energies and taking the maximum. A rare (?) instance, compared with the reverse of using simulation to reach maxima. Of course, this requires as many simulations as there as terms in the sum. Or a clever way to avoid this exhaustive listing.

“According to Gumbel’s statistics, 326 out of 354 political murders by right-wing factions in the early Weimar Republic went unpunished, and four out of the 22 left-wing capital crimes.” Science News

As an historical aside I discovered Gumbel’s anti-Nazi activism while in Germany in the 1920’s and early 1930’s (until expelled from the University of Heidelberg). Including the 1932 call against Nazis (which Albert Einstein and Heinrich Mann also signed), hence the above poster.

## truncated Gumbels

Posted in Books, Kids, pictures, Statistics with tags , , , , , , , on April 6, 2018 by xi'an

As I had to wake up pretty early on Easter morning to give my daughter a ride, while waiting I came upon this calculus question on X validated of computing the conditional expectation of a Gumbel variate, conditional on its drifted version being larger than another independent Gumbel variate with the same location-scale parameters. (Just reminding readers that a Gumbel G(0,1) variate is a double log-uniform, i.e., can be generated as X=-log(-log(U)).) And found after a few minutes (and a call to Wolfram Alpha integrator) that

$\mathbb{E}[\epsilon_1|\epsilon_1+c>\epsilon_0]=\gamma+\log(1+e^{-c})$

which is simple enough to make me wonder if there is a simpler derivation than the call to the exponential integral Ei(x) function. (And easy to check by simulation.)

Incidentally, I discovered that Emil Gumbel had applied statistical analysis to the study of four years of political murders in the Weimar Republic, demonstrating the huge bias of the local justice towards right-wing murders. When he signed the urgent call [for the union of the socialist and communist parties] against fascism in 1932, he got expelled from his professor position in Heidelberg and emigrated to France, which he had to leave again for the USA on the Nazi invasion in 1940. Where he became a professor at Columbia.