Throughover the workshop in Chennai floated (!) the figure of Jean/André Ville, with his inequality generalising Markov’s, who invented martingales. He is not such a well-known figure in France—at least to me!—, despite having led a rather exceptional life, from being a visiting scholar in Berlin (in the Maison académique de Berlin, along with a certain Jean-Paul Sartre) and Vienna in the 1930s, to his wife being (in Berlin) one of the many (disposable and despised) lovers of JP Sartre (to whom an open-minded or clueless Ville later sent his thèse d’université on martingales and collectives, a much more substantial piece of work than the current PhD), to him working with German and Austrian mathematicians and logicians, such as Popper, Gödel, and Wald–who, what a coïncidence!, died in India from a plane crash in 1950 that had left from Chennai–and being impressed enough by the latter to passing an economics degree in the Sorbonne when back in Paris, establishing a minimax result for a zero-sum matrix game with two players, to his counter-example to von Mises’ kollectiv, to his nickname of the King of Counterexamples in the Viennese mathematics seminar, to him operating the first (Bull) computer at the Université de Paris. (Glenn Shafer wrote a detailed accounting of his youth, on which this post is based, up to his thesis defence but a few days from France mobilising for war–where his collegue Wolfgang Doeblin would kill himself the year after, to avoid capture–. With Bernard Bru, Edmond Malinvaud and Alain Trognon among the people who helped.) After the war, he worked several years as a prépa maths teacher before working for a French State electricity companion on signal theory and Monte Carlo methods, and then returning to Université de Paris as a professor in 1957.
Archive for Vienna
André ou Jean Ville (1910-1989)
Posted in Books, pictures, Travel, University life with tags 25w5482, Abraham Wald, Alain Trognon, André Ville, Andrey Markov, École Normale Supérieure, Berlin, Bernard Bru, BIRS-CMI, Bull computers, Chennai, Edmond Malinvaud, Emile Borel, George Darmois, Glenn Shafer, history of Monte Carlo, history of statistics, India, Jean Ville, Jean-Paul Sartre, Karl Popper, Kurt Gödel, martingales, Maurice Fréchet, minimax strategy, Monte Carlo methods, Paris, Paul Lévy, plane crash, Richard von Mises, signal theory, Simone de Beauvoir, Sorbonne, supermartingale, two-player game, Université de Paris, Vienna, Ville's inequality, Wolfgang Doeblin, WW II on August 12, 2025 by xi'anSparse Bayesian factor analysis when the number of factors Is unknown [ISBA webinar]
Posted in Books, Statistics, University life with tags Austria, Bayesian Analysis, discussion paper, factor analysis, International Society for Bayesian Analysis, shrinkage estimation, Sylvia Frühwirth-Schnatter, unknown number of components, Vienna, webinar, WU Wien on February 10, 2025 by xi'an
ulΓimaΓe Pólγa
Posted in Books, pictures, Statistics, Travel with tags auxiliary variables, Data augmentation, Gibbs sampling, latent variable models, Polya, Schönbrunn palace, TU Wien, Vienna, Wien on July 18, 2023 by xi'an
Last week, Gegor Zens, Sylvia Frühwirth-Schnatter, and Helga Wagner arXived a revision of their paper on latent Pólya-Gamma random variables for logistic regression models (which I had not read before). The central idea follows from Albert and Chib 1993 paper on a Gibbs sampler for binary and polychotomous data, namely a data augmentation (a.k.a. Gibbs sampling) that is natural as it allows for direct and uncalibrated sampling, but is not necessarily the best choice, since the completion by latent variables is prone to increase computing time and slow down exploration. In addition, since the posterior is close to Normal, a Metropolis scheme based on the MLE asymptotic distribution could perform well, w/o the completion step. As for other latent variable models such as mixtures, I keep wondering how efficiency could be improved by some latent variates not be changing at every iteration, given their almost Dirac (conditional) distribution. Especially in imbalanced cases. The paper proposes several novel mixture representations that lead to know distributions on the mixing parameter, constructed as in Jun Liu’s and Xiao-Li Meng’s auxiliary scale (or location-scale) completions, but these require an artificial parameter that need be calibrated.
Wünsche nach Mut und Ausdauer nach Wien
Posted in pictures, Travel with tags Austria, Danube, Donau, Donauinsel, sunrise, terrorism, Vienna, Wien on November 3, 2020 by xi'an
1:59:40!
Posted in pictures, Running, Travel with tags Austria, Eliud Kipchoge, Kenya, marathon, pacemakers, sub-two-hours marathon, unofficial record, Vienna, Wien, Wiener Prater on October 12, 2019 by xi'an
