This is the cover page of Marco Banterle‘s thesis, who will defend on Thursday [July 21, 13:00], at a rather quiet time for French universities, which is one reason for advertising it here. The thesis is built around several of Marco’s papers, like delayed acceptance, dimension expansion, and Gaussian copula for graphical models. The defence is open to everyone, so feel free to join if near Paris-Dauphine!
Archive for PhD students
computer strategies for complex Bayesian models
Posted in Books, Kids, Statistics, University life with tags defense, delayed acceptance, dimension expansion, Gaussian copula, Paris, PhD students, PhD thesis, Porte Dauphine, Université Paris Dauphine on July 18, 2016 by xi'anthe penalty method
Posted in Statistics, University life with tags bias, Euro 2016, exchange algorithm, football, Hastings-Metropolis sampler, Monte Carlo Statistical Methods, path sampling, PhD students, pseudo-marginal MCMC, unbiased estimation, Université Paris Dauphine on July 7, 2016 by xi'an“In this paper we will make conceptually simple generalization of Metropolis algorithm, by adjusting the acceptance ratio formula so that the transition probabilities are unaffected by the fluctuations in the estimate of [the acceptance ratio]…”
Last Friday, in Paris-Dauphine, my PhD student Changye Wu showed me a paper of Ceperley and Dewing entitled the penalty method for random walks with uncertain energies. Of which I was unaware of (and which alas pre-dated a recent advance made by Changye). Despite its physics connections, the paper is actually about estimating a Metropolis-Hastings acceptance ratio and correcting the Metropolis-Hastings move for this estimation. While there is no generic solution to this problem, assuming that the logarithm of the acceptance ratio estimate is Gaussian around the true log acceptance ratio (and hence unbiased) leads to a log-normal correction for the acceptance probability.
“Unfortunately there is a serious complication: the variance needed in the noise penalty is also unknown.”
Even when the Gaussian assumption is acceptable, there is a further issue with this approach, namely that it also depends on an unknown variance term. And replacing it with an estimate induces further bias. So it may be that this method has not met with many followers because of those two penalising factors. Despite precluding the pseudo-marginal approach of Mark Beaumont (2003) by a few years, with the later estimating separately numerator and denominator in the Metropolis-Hastings acceptance ratio. And hence being applicable in a much wider collection of cases. Although I wonder if some generic approaches like path sampling or the exchange algorithm could be applied on a generic basis… [I just realised the title could be confusing in relation with the current football competition!]
snapshots of Oxford Statistics
Posted in Kids, pictures, Statistics, Travel, University life, Wines with tags bike, Des Moines, Iowa, John Cairns, Oxford, OxWaSP, PhD students, Racoon River Brewing Co., University of Oxford on February 29, 2016 by xi'an
Following the opening of the new Department of Statistics building in Oxford [which somewhat ironically is the former Department of Mathematics!], a professional photographer was commissioned for a photo cover of this move. Which is incidentally fantastic for the cohesion and work quality of the department, when compared with the former configuration in two disconnected buildings on South Parks Road. Not mentioning the vis-à-vis with Eagle and Child.
As the photographer happened to be there the very day I was teaching my Bayesian module for the OxWaSP PhD students, I ended up in some of the photographs (with no clear memory of this photographer, who was most unintrusive). With my Racoon River Brewing Co. tee-shirt I brought back from Des Moines. And was wearing in a very indirect allusion to the US primaries the night before!
a week in Oxford
Posted in Books, Kids, pictures, Statistics, Travel, University life with tags airbnb, Bayesian statistics, EPSRC, mountain bike, PhD course, PhD students, slides, slideshare, stolen bike, The Bayesian Choice, University of Oxford, University of Warwick on January 26, 2015 by xi'an
I spent [most of] the past week in Oxford in connection with our joint OxWaSP PhD program, which is supported by the EPSRC, and constitutes a joint Centre of Doctoral Training in statistical science focussing on data-intensive environments and large-scale models. The first cohort of a dozen PhD students had started their training last Fall with the first year spent in Oxford, before splitting between Oxford and Warwick to write their thesis. Courses are taught over a two week block, with a two day introduction to the theme (Bayesian Statistics in my case), followed by reading, meetings, daily research talks, mini-projects, and a final day in Warwick including presentations of the mini-projects and a concluding seminar. (involving Jonty Rougier and Robin Ryder, next Friday). This approach by bursts of training periods is quite ambitious in that it requires a lot from the students, both through the lectures and in personal investment, and reminds me somewhat of a similar approach at École Polytechnique where courses are given over fairly short periods. But it is also profitable for highly motivated and selected students in that total immersion into one topic and a large amount of collective work bring them up to speed with a reasonable basis and the option to write their thesis on that topic. Hopefully, I will see some of those students next year in Warwick working on some Bayesian analysis problem!
On a personal basis, I also enjoyed very much my time in Oxford, first for meeting with old friends, albeit too briefly, and second for cycling, as the owner of the great Airbnb place I rented kindly let me use her bike to go around, which allowed me to go around quite freely! Even on a train trip to Reading. As it was a road racing bike, it took me a trip or two to get used to it, especially on the first day when the roads were somewhat icy, but I enjoyed the lightness of it, relative to my lost mountain bike, to the point of considering switching to a road bike for my next bike… I had also some apprehensions with driving at night, which I avoid while in Paris, but got over them until the very last night when I had a very close brush with a car entering from a side road, which either had not seen me or thought I would let it pass. Gave me the opportunity of shouting Oï!
Path storage in the particle filter
Posted in Books, Kids, Statistics, Travel, University life with tags Annecy, parallel processing, particle filter, PhD students, Rao-Blackwellisation, Statisfaction, train on July 24, 2013 by xi'an
In the train to Annecy, I read the recently arXived paper by my former PhD student Pierre Jacob (now at NUS), along with Lawrence Murray (Perth), and Sylvain Rubenthaler (Nice), where they obtain precise degeneracy rates of the regular particle filter applied to hidden Markov models with a compact observation space, precise enough to consider storing the entire paths at a linear occupancy rate. Interestingly, the distance to the most common ancestor is of order N log N, if N is the number of particles. And the number of nodes is O(N log N) as well. This means indeed that the whole paths can be stored, which offers a lot of potential in terms of Rao-Blackwellisation and parallelisation. I was first bemused by a silly misunderstanding about the purpose of the algorithm: it is directed at inference at the current time index, not over the whole past and not over the parameters of the model for, else how could we consider the algorithm has converged when it degenerates to a single path at some finite horizon the past? Pierre has also written a further comment of the paper on Statistfaction.
