Our Warwick PhD student Shreya Sinha-Roy—who is now looking for a postdoctoral position next semester!—, along with Sherman Khoo, Ritabrata Dutta and myself, has now completed a paper on shrinkage priors for implicit generative models. That is, models based on deep neural networks and hence associated with intractable likelihoods. The work centres on developing and assessing an efficient training mechanism for these models, leveraging on tools from Bayesian model averaging using shrinkage (yay!) priors inspired from Lasso (rather than from my PhD years!) and generalized Bayes. In this large p (dimension of parameters) and small n (sample size of data) scenario, those sparsity inducing priors have been successfully used for linear regression when p is much larger than n, but have not been applied to implicit generative models due to the intractability of the likelihood function of the parameters of the model given observed data. Adapting a scoring rule posterior based on a strictly proper scoring rule as in generalized Bayes, we propose a block SGMCMC within Gibbs sampling mechanism to handle high dimensional parameter space for learning a sparse Bayesian model averaged neural implicit generative model in a sample efficient way. We illustrate excellent performance of our proposed method for p (much larger than n) linear regressions and three applications of neural generative models in tasks relevant to weather forecasting to reinforcement learning
Archive for Warwickshire
back to shrinkage!
Posted in Books, Statistics, University life with tags Bayesian lasso, generalised Bayesian inference, generative model, Gibbs sampling, intractable likelihood, MathPhDInFrance, Rouen, shrinkage, Université de Rouen, University of Warwick, Warwickshire on February 12, 2026 by xi'ancoupling-based approach to f-divergences diagnostics for MCMC
Posted in Books, Statistics, Travel, University life with tags arXiv, backward sampling, control variates, convergence diagnostics, effective sample size, embarrassingly parallel MCMC, f-divergence, importance sampling, χ² divergence, Kenilworth, Markov chain Monte Carlo algorithm, MCMC, National University Singapore, NUS, Rao-Blackwellisation, sampling, unbiased MCMC, Warwickshire on October 27, 2025 by xi'an
Adrien Corenflos (University of Warwick) and Hai-Dang Dau (NUS) just arXived their paper on MCMC diagnostics that Adrien told me about last month, while in Warwick.
“This [f-divergence] bound is clearly suboptimal since it does not vary in t and does not take into account the mixing of the Markov chain. We present a scheme where the weights are ‘harmonized’ as the Markov chain progresses, reflecting its mixing through the notion of coupling.”
They start by opposing the classical ergodic average and embarrassingly parallel estimates obtained by N parallel chains culled of their B initial values, to couplings used in standard diagnoses. Opting for the parallel perspective, maybe rekindling the diagnostic war of the early 1990s! The evaluation tool in the paper is based on f-divergences, like the χ² divergence which naturally relates to the effective sample size when considering weighted atomic measures. When consistent, these weighted approximations produce upper bounds on the f-divergence, with exact convergence in case of independence.
In my opinion the most exciting part of the paper stands with the ability to modify these weights along MCMC iterations, since the naïve sequential importance sampling argument I also use in class keeps them constant! The trick is to (be able to) couple randomly chosen parallel chains, with the weights being averaged at each coupling event. The resulting algorithm preserves expectation (in the importance sampling sense) and consistency (in the particle sense). Furthermore, the f-divergence bound based on the weights can only decrease between iterations, which reminds me of interleaving. And exponential convergence of the weights to uniform ones (under the strong assumption of a uniformly lower bounded probability of coupling). The paper concludes with interesting remarks on perfect sampling, Rao-Blackwellisation, control variates, and backward sampling.
A long-standing gap exists between the theoretical analysis of Markov chain Monte Carlo convergence, which is often based on statistical divergences, and the diagnostics used in practice. We introduce the first general convergence diagnostics for Markov chain Monte Carlo based on any f χ² -divergence, allowing users to directly monitor, among others, the Kullback–Leibler and the divergences as well as the Hellinger and the total variation distances. Our first key contribution is a coupling-based ‘weight harmonization’ scheme that produces a direct, computable, and consistent weighting of interacting Markov chains with respect to their target distribution. The second key contribution is to show how such consistent weightings of empirical measures can be used to provide upper bounds to f -divergences in general. We prove that these bounds are guaranteed to tighten over time and converge to zero as the chains approach stationarity, providing a concrete diagnostic.
open position in mathematical finance at Warwick
Posted in Kids, Statistics, Travel, University life with tags Applied Statistics & Risk Unit, assistant professor position, Coventry, CRiSM, data science, deadline, Department of Computer Science, department of statistics, finance, Great-Britain, mathematical finance, Mathematics Institute, Midlands, MORSE, United Kingdom, University of Warwick, Warwick Centre for the Applications of Mathematical and Computing Sciences, Warwickshire on October 24, 2025 by xi'an
turning sixty…
Posted in pictures, Travel, University life with tags 60th Anniversary, Britain, campus life, Coventry, Faculty of Arts, Occulus Building, University of Warwick, Warwickshire, WMG on October 5, 2025 by xi'an
David Lodge (1935-2025)
Posted in Books, Travel, University life with tags academia, Birmingham, Campus Trilogy, conferences, David Lodge, Edgbaston, France, Margaret Thatcher, obituary, University of Warwick, Warwickshire, West Midlands on January 15, 2025 by xi'an
Found upon my return from India that British and Birmingham writer David Lodge had passed away. While I cannot trace all the novels of his’ I read, and while I have a false memory of him being the author of a dystopia on an isolationist England returning to postcard pastoral England (namely, Julian Barnes’ England England!), I clearly remember the fun in reading his (Rummidge) campus trilogy, a fictional Midlands campus that sounded like a mix between the University of Birmingham and the Warwick campus. I vaguely remember enjoying Changing Places, and the barbs on US and UK academic lives, while Small World, focussing on the excesses of 1970’s and 1980’s international academic conferences, was both to the point and hilarious. The third volume, Nice Work, is much less of a satire of academic life, as it focus on a couple of characters, gradually switching opinions about the other (character and community). Plus attacking Thatcherism on the side. Since I read these books in the 1990’s. they may have aged or lost their appeal (esp. the trick at the centre of Nice Work), but they were definitely enjoyable at the time.
