Here is the poster presented at MCMSki III next week by Pierre Jacob about our joint paper on parallelisation:
Archive for Adapski
Poster at MCMSki III
Posted in R, Statistics, Travel with tags Adapski, MCMC, MCMSki, Metropolis-Hastings, Monte Carlo Statistical Methods, parallelisation, poster, simulation, Utah on December 28, 2010 by xi'anRobust adaptive Metropolis algorithm [arXiv:10114381]
Posted in R, Statistics with tags acceptance rate, Adapski, adaptive MCMC methods, controlled MCMC, Grapham, LaTeX, Metropolis-Hastings on November 23, 2010 by xi'an
Matti Vihola has posted a new paper on arXiv about adaptive (random walk) Metropolis-Hastings algorithms. The update in the (lower diagonal) scale matrix is
![S_nS_n^\text{T}=S_{n-1}\left(\mathbf{I}_d-\eta_n[\alpha_n-\alpha^\star]\dfrac{U_nU_n^\text{T}}{||U_n||^2}\right)S^\text{T}_{n-1}](https://s0.wp.com/latex.php?latex=S_nS_n%5E%5Ctext%7BT%7D%3DS_%7Bn-1%7D%5Cleft%28%5Cmathbf%7BI%7D_d-%5Ceta_n%5B%5Calpha_n-%5Calpha%5E%5Cstar%5D%5Cdfrac%7BU_nU_n%5E%5Ctext%7BT%7D%7D%7B%7C%7CU_n%7C%7C%5E2%7D%5Cright%29S%5E%5Ctext%7BT%7D_%7Bn-1%7D&bg=000000&fg=B0B0B0&s=0&c=20201002)
where
is the current acceptance probability and
the target acceptance rate;
is the current random noise for the proposal,
;
is a step size sequence decaying to zero.
The spirit of the adaptation is therefore a Robbins-Monro type adaptation of the covariance matrix in the random walk, with a target acceptance rate. It follows the lines Christophe Andrieu and I had drafted in our [most famous!] unpublished paper, Controlled MCMC for optimal sampling. The current paper shows that the fixed point for 
Ps-Took me at least 15 minutes to spot the error in the above LaTeX formula, ending up with S^\text{T}_{n−1}: Copy-pasting from the pdf file had produced an unconventional minus sign in n−1 that was impossible to spot!
Adap’skiii program
Posted in Mountains, R, Statistics, Travel, University life with tags Adapski, adaptive MCMC methods, IMS, ISBA, The Canyons, Utah on October 20, 2010 by xi'an
We have just posted the (mostly definitive) program for Adap’skii, January 3-4, The Canyons, Utah. This is taking place just before and as a satellite of the larger MCMSki III conference, January 4-7, same location. The registration for the conference and for lodging is available through the MCMCSki III registration page, Remember also that this Friday is the deadline for applying for MCMSki III Young Investigator travel funding!
News on MCMSki III
Posted in Mountains, R, Statistics, Travel, University life with tags Adapski, adaptive MCMC methods, Bayesian computation, ISBA, MCMC, MCMSki, registration, The Canyons, Utah on September 15, 2010 by xi'an
Here is a message sent by the organisers of MCMSki III in Utah next early January. When registering, make sure to tick the free $50 registration for Adap’skiii as well!
The fourth joint international meeting of the IMS (Institute of Mathematical Statistics) and ISBA (International Society for Bayesian Analysis), nicknamed “MCMSki III“, will be held at The Canyons resort in Park City, Utah from Wednesday, January 5 to Friday, January 7, 2011. The central (but not sole) theme of the conference will be Markov chain Monte Carlo (MCMC) and related methods and applications, and will feature 3 plenary speakers (Nicky Best, Mike Newton, Jeff Rosenthal) and six invited sessions from internationally known experts covering a broad array of current and developing statistical practice:
* Environmental Health Statistics (organized by: Montse Fuentes)
* Modeling Dependence for High Throughput Data (organized by: Peter Mueller)
* Advances in MCMC for Genomics (organized by: Giovanni Parmigiani and Clelia DiSerio)
* MCMC for Computationally Intensive Inverse Problems (organized by: Dave Higdon)
* Bayes versus Frequentism in Observational Studies (organized by: Sander Greenland)In addition, a pre-conference “AdapSki” satellite meeting on adaptive and other advanced MCMC methods will take place on January 3-4, 2011, with Profs. Christian Robert and Christophe Andrieu again serving as lead organizers.
From our registration page, you will find links to the IMS-sponsored conference registration page, the Canyons lodging page, and our abstract submission page. Please note the “early bird” registration deadline of *November 1, 2010*.
Finally (and most importantly for some), we are very pleased to announce that we have received funds from NSF, NSA, NIH, and ISBA sufficient to help support the travel expenses of perhaps 30 junior investigators (defined as current PhD student, or less than 5 years since PhD). Some of these funds (NSA) are restricted to students from the U.S., while others (ISBA) are primarily intended for students from economically disadvantaged countries. At the time you register for this support, in addition to the three required items you send by email (copy of your CV, copy of your paper, and *brief* supporting note from your advisor), please also submit your abstract and indicate whether or not you would like to be considered for one of 4 oral presentation slots in our new Young Investigator Invited Session (10 am on Thursday Jan 6). Please note that the deadline for applying for this support is *October 22, 2010*; again, the deadline to register for the conference itself without a late fee is November 1, 2010.
We look forward to welcoming you in Park City this January!
Best,
Brad Carlin and Antonietta Mira, MCMSki III conference co-organizers
Shane Reese, MCMSki III local arrangements chair
MCMSki+Adap’ski III poster
Posted in Mountains, Statistics, Travel with tags Adapski, IMS, MCMSki, Utah on March 5, 2010 by xi'anThe IMS has produced the following very nice poster for our meeting(s), enjoy!
