Among the arXiv documents I printed at the turn of the year in order to get a better look at them (in the métro if nowhere else!), there were two papers by Luca Martino and co-authors from Universidad Carlos III, Madrid, A multi-point Metropolis scheme with generic weight functions and Different acceptance functions for multiple try Metropolis schemes. The multiple-try algorithm sounds like another version of the delayed sampling algorithm of Tierney and Mira (1999) and Green and Mira (2001). I somehow missed it, even though it was introduced in Liu et al. (2000) and Quin and Liu (2001). Multiple-try Metropolis builds upon the idea that, instead of making one proposal at a time, it is feasible to build a sequence of proposals and to pick one among those, presumably rather likely and hence more open to being accepted. The sequence of proposals may depend upon the past propositions as well as on the current value, lending some degree of adaptability to the scheme. In the current implementation, the algorithm remains rather clumsy [in my opinion] in that (a) a fixed horizon N need be fixed and (b) an additional series of backward simulations need be produced simply to keep the balance equation happy… Hence a total number of simulations O(N) for one possible acceptance. The first note slightly extends Quin and Liu (2001) by using a fairly general weighting scheme. The second paper studies some particular choices for the weights in a much less adaptive scheme (where parallelisation would be an appropriate alternative, since each proposal in the multiple try only depends on the current value of the chain). But it does not demonstrate a more efficient behaviour than when using a cycle or a mixture of Metropolis-Hastings algorithms. The method seems to regain popularity, though, as Roberto Casarin, Radu Craiu and Fabrizio Leisen (also from Carlos III) arXived a paper on a multiple-try algorithm, connected with population Monte Carlo, and more recently published it in Statistics and Computing.
Archive for Madrid
multiple try/point Metropolis algorithm
Posted in Statistics, Travel with tags adaptive MCMC methods, arXiv, Madrid, multiple-try Metropolis algorithm, parallelisation, population Monte Carlo on January 23, 2012 by xi'anIan Banks
Posted in Books, Travel with tags book review, Iain Banks, Madrid, science fiction on November 20, 2011 by xi'an
The day after I got an email from Julien that he could not finish the three Iain Banks´ he had started (just like me!), I came across an interview of the author in the French daily Libération. I read it carefully, being stuck in a plane to Madrid with no option to open my laptop, even on my lap… The funny thing is that the interview itself is close to impossible to understand (even with a passable knowledge of French!), but also that Iain Banks acknowledges that the names he invents for places and objects are taken from an alphabetical list he prepares months in advance. No wonder Julien complained about this aspect! (I must acknowledge, though, that I like my first attempt, The Algebraist.
Workshop Métodos Bayesianos 11
Posted in pictures, Statistics, Travel, University life with tags ABC, Bayesian decision theory, Bayesian model choice, compositional data analysis, integral priors, Madrid, MCMC, Universidad Complutense de Madrid, Workshop Métodos Bayesianos 11 on November 14, 2011 by xi'an
The special day on Bayesian methods (this was the second edition) organised by Miguel Gómez Villegas at Universidad Complutense de Madrid was quite intense (ending up after 8pm!) but definitely worth the trip. First, I was not the only one to talk about ABC since Miguel González Velasco presented a work on ABC and MCMC applied to branching processes. Gonzalo García-Donato also argued through a very convincing talk about the desideratas on priors used in model selection: I had of course though about those during Anabel’s thesis last February, but this was very well-defended. Antonio Cano Sánchez and Diego Salmerón gave a two-men show on their current integral prior research, which reminded me of the work we did together a few years ago, opening new vistas for models with covariates. Julián de la Horra Navarro talked about robust losses I had never seen before, Rosario Susi Garcia about prior sensitivity for Bayesian networks [again something I had not seen previously], and Juan José Egozcue introduced us to a more mathematical topic of representing priors and posteriors within a new algebra, linked with compositional data analysis, although its overall impact on Bayesian grounds somehow escaped me. Lizbetz Naranjo Albarrán discussed the MCMC estimation of a misspecified logistic regression model, with the surprising feature that the misspecification was not directly observed. In addition, I met several friends and had the opportunity of discussing with them about our on-going research. In particular, they set me thinking on the extension of our work to more than two competing models. Rekindling earlier thoughts about the choice of statistic, tolerance, and distance one model at the time (but not beyond my earlier reticences on comparing models based on different statistics). And a possible postvalidation of published works on ABC model choice according to our criterion.
The day ended up in typical Spanish time, i.e. with a superb if fairly late dinner, right next to the beautiful Teatro Real. (I still managed to get a few hours sleep, though, unlike the kids I saw walking the streets after a long night out, when taking the metro to the airport in the early morning..)
ABC model choice [slides]
Posted in pictures, Statistics, Travel, University life with tags ABC, asymptotics, Bayesian model choice, insufficiency, Madrid, Novermber 11, quantile distribution, sufficient statistics, summary statistics, Workshop Métodos Bayesianos 11 on November 7, 2011 by xi'an
Here are the slides for my talks both at CREST this afternoon (in ½ an hour!) and in Madrid [on Friday 11/11/11=16, magical day of the year, especially since I will be speaking at 11:11 CET…] for the Workshop Métodos Bayesianos 11 (no major difference with the slides from Zürich, hey!, except for the quantile distribution example]
The controversy about hypothesis testing
Posted in Statistics, Travel, University life with tags Bayesian mode, hypothesis testing, José Miguel Bernardo, Madrid on July 21, 2011 by xi'an
José Bernardo announced a workshop in Madrid at the end of the year (December 15 and 16) on (the controversy about) hypothesis testing. The details are on this dedicated blog. Papers can be submitted until August 31. I wish I could attend, but being in Phoenix and London the previous days, it simply is impossible…
