My PhD student Charly Andral [presented at the mostly Monte Carlo seminar and] arXived a new preprint yesterday, on training a normalizing flow network as an importance sampler (as in Gabrié et al.) or an independent Metropolis proposal, and exploiting its invertibility to call quasi-Monte Carlo low discrepancy sequences to boost its efficiency. (Training the flow is not covered by the paper.) This extends the recent study of He et al. (which was presented at MCM 2023 in Paris) to the normalising flow setting. In the current experiments, the randomized QMC samples are computed using the SciPy package (Roy et al. 2023), where the Sobol’ sequence is based on Joe and Kuo (2008) and on Matouˇsek (1998) for the scrambling, and where the Halton sequence is based on Owen (2017). (No pure QMC was harmed in the process!) The flows are constructed using the package FlowMC. As expected the QMC version brings a significant improvement in the quality of the Monte Carlo approximations, for equivalent computing times, with however a rapid decrease in the efficiency as the dimension of the targetted distribution increases. On the other hand, the architecture of the flow demonstrates little relevance. And the type of RQMC sequence makes a difference, the advantage apparently going to a scrambled Sobol’ sequence.
Archive for MCM 2023
combining normalizing flows and QMC
Posted in Books, Kids, Statistics with tags Arianna Rosenbluth, arXiv, Illya Sobol, importance sampling, inverse cdf, John Halton, MCM 2023, Metropolis-Hastings algorithm, mostly Monte Carlo seminar, normalizing flow, Python, quasi-Monte Carlo methods, scrambling, Sobol sequences on January 23, 2024 by xi'anre-MCM’d
Posted in Statistics, University life with tags adaptive MCMC, alma mater, badge, conference, doubly intractable posterior, Grande Mosquée de Paris, HMC, Jardin des Plantes, Jussieu, MCM 2023, parallel tempering, Paris, PDMP, slice sampler, Sorbonne Université, U-turn on June 28, 2023 by xi'an
When I entered the classroom on the Jussieu campus where the Monday morning session on PDMP was taking place, some friends told me a badge was waiting for me at the registration desk of MCM 2023! Most surprisingly since I had received a deregistration message a few weeks earlier. Great PDMP session with non-reversible tempering (warning: some PDMPs were harmed in the tempering process), scaling PDMPs for highly anisotropic targets, a PDMP form of reversible jump (with sticky floors!) and a more adaptive version of no-U turn via… PDMPs. After lunch at the nearby Grande Mosquée de Paris (I had not visited since… 1974!), I attended the slice sampler session, where mileage varied imho. With a take on doubly-intractable targets that did not seem to relate to the existing literature.
de-MCM’d
Posted in Statistics, University life with tags conference, France, ISBA 2018, Jussieu, MCM 2023, Paris, Sorbonne Université, University of Edinburgh on June 9, 2023 by xi'an
This morning I received a message from the MCM 23 conference organisers that my registration [submitted two months ago] was declined for lack of room! I wonder why the organisers did not opt for broadcasting in a second amphitheater, as was done for ISBA in Edinburgh.
Unfortunately, we have attained the maximal capacity of the amphitheater where the plenary talks will take place (this is the largest amphitheater that one can rent on the Jussieu campus). This amphitheater capacity was significantly larger than the number of attendees of previous MCM conferences. We feel really sorry that we can’t confirm your registration to MCM2023.
Which is pretty frustrating given that the program is of the highest standards and that many friends, coauthors, students, of mine’s are giving talks there. Being a local I’ll try to gatecrash some talks, of course, but I would not bet on my chances, unless I can borrow a badge!
MCM in Paris, 2023
Posted in Books, pictures, Statistics, Travel, University life with tags conference fees, France, MCM 2023, Monte Carlo Methods and Applications, Monte Carlo Statistical Methods, Paris, Place Jussieu, registration fees, Sorbonne Université on December 16, 2022 by xi'an
The next MCM conference takes place in (downtown) Paris next 26-30 June. Deadlines are 31 December for mini-symposia/invited sessions and 28 February for contributed talks/posters. I appreciate very much the effort in lowering the registration fees to 80€ for students and 170€ for others, whilst including lunches into the deal! (The view of Paris in the above logo is actually taking from Paris Jussieu campus.)
