Entrance hall of the ICMS

Advances in Markov Chain Monte Carlo

Apr 23, 2012 - Apr 25, 2012

ICMS, 15 South College Street Edinburgh

Organisers

Name Institution
Girolami, Mark University of Warwick
Mira, Antonietta Università della Svizzera Italiana, Switzerland and Università dell’Insubria, Italy
Robert, Christian Université Paris-Dauphine & University of Warwick

The popularisation and entry into mainstream statistical practice of Markov chain Monte Carlo (MCMC) methods and associated simulation algorithms over the last twenty years has been due, largely, to their enabling practical use of Bayesian statistical inference. MCMC methods for statistical inference are routinely being deployed in the basic sciences such as Genetics, Molecular and Cellular Biology, Ecology, Clinical Medicine, High Energy Physics, Cosmology, as well as the engineering, social, political, and computing sciences.

The recent methodological advances in MCMC and theory now presents an opportunity to gather leading experts in the field to present latest developments, update researchers, provide a comprehensive perspective on where the research is heading, and define the next set of advances.  

This workshop also aims to publicise the research area to younger researchers within the UK and Europe.

 

Arrangements

Conference Co-ordinator

Catherine McDonald is the conference co-ordinator for this workshop. email: Catherine.McDonald@icms.org.uk

Information about different aspects of the workshop arrangements can be accessed via the following links:

General information | Information for invited speakers | Information for all other participants


INFORMATION FOR INVITED SPEAKERS

Registration and Financial Matters

ALL INVITED SPEAKERS SHOULD HAVE RECEIVED AN INVITATION EMAIL FROM ICMS AND SHOULD REGISTER USING THE UNIQUE LINK CONTAINED IN THAT MESSAGE. 

A registration fee of 50GBP is payable by all invited speakers.

The registration fees can be paid by completing the details on this credit/debit card payment form.   As email is not secure, please print the form and return it by fax using the fax number at the top of the form.  ICMS will take your payment and a receipt will be given to you at Registration.  Alternatively, we can accept sterling cheques, made payable to Heriot-Watt University but sent to Catherine McDonald, ICMS, 15 South College Street, Edinburgh, EH8 9AA.  If you have any difficulty in paying in advance, please email Catherine McDonald.

Accommodation for speakers

ICMS has reserved rooms for all invited speakers at Masson House, Pollock Halls, Holyrood Park Road, Edinburgh. These are double rooms with en suite bathrooms. All accommodation is no more than a twenty minute walk from ICMS. Please indicate on your registration form if you wish to take up the offer of these rooms or make your own arrangements.

Lecture theatre facilities

The lecture theatre is fitted with data projection, visualiser (the new generation of over-head), smart-board and blackboard.  More information about the facilities are available from Catherine McDonald.

General information | Information for invited speakers | Information for all other participants


 

INFORMATION FOR ALL OTHER PARTICIPANTS

Registration and Financial Matters

If you would like to attend the workshop you apply using this form. Please make sure you have submitted this registration form by Thursday 5 April 2012. There is no automatic acknowledgement of your application.If your application is successful your name will appear on the workshop web page. 

The registration fee for other participants is 100 GBP. The registration fee covers the cost of lunch each day, coffee and tea and a workshop dinner on Tuesday evening. 

The registration fees can be paid by completing the details on this credit/debit card payment form.   As email is not secure, please print the form and return it by fax using the fax number at the top of the form.  ICMS will take your payment and a receipt will be given to you at Registration.  Alternatively, we can accept sterling cheques, made payable to Heriot-Watt University but sent to Catherine McDonald, ICMS, 15 South College Street, Edinburgh, EH8 9AA.  If you have any difficulty in paying in advance, please email Catherine McDonald: Catherine.McDonald@icms.org.uk .

Accommodation

ICMS cannot reserve accommodation for you. Suggestions for accommodation close to ICMS can be found here.

General information | Information for invited speakers | Information for all other participants


 

GENERAL INFORMATION

Workshop venue
The workshop will take place at ICMS 15 South College Street Edinburgh EH8 9AA. A map of the venue and the location of accommodation booked for invited speakers can be found here.

Visas

ICMS asks attendees to check if they require a visa for entry to the United Kingdom. This government website gives more information. If you do require a visa ICMS will provide you with a letter in support of your application.

Meals and Refreshments

Morning and afternoon refreshments will be provided on each day of the workshop. A buffet lunch will be provided at ICMS in the Chapterhouse on the ground floor of 15 South College Street on Monday, Tuesday and Wednesday. A workshop dinner will be held on Tuesday.

Travel within the UK and Edinburgh

Information about travel to the UK and Edinburgh is available here. Please note that it is your responsibility to have adequate travel insurance to cover medical and other emergencies that may occur on your trip.

A taxi directly from the airport will cost approximately 18.00 to 20.00 GBP to the city centre for a one-way journey. From the airport, you can take the airport bus Airlink to the city centre. It will cost you 3.50 GBP for a single ticket, or 6.00 GBP return. More details on the airport bus Airlink is available here. The bus will take you to Waverley Bridge (next to Waverley Railway Station). If travelling by train, please note that Edinburgh has two railway stations - Waverley Railway Station being the main station and closest to the workshop venue at ICMS and George Square. If you alight at Edinburgh Waverley, the workshop venue is an easy 10 minute walk over North and South Bridge map. The second railway station is called Haymarket and is at the West End of the city centre.

Lothian buses, Edinburgh's local bus service, charge 1.40 GBP for a single journey and 3.50 GBP for a day ticket. Please note that the exact fare is required and no change is given.

General information | Information for invited speakers | Information for all other participants


 

Programme

Provisonal Programme

Monday 23 April

08.45 - 09.40

Registration and coffee in the Chapterhouse, Level 1(ground floor), 15 South College Street

09.40 - 09.50

Introduction and welcome

 

Theory Session (Chair Christian Robert)

09.50 - 10.40

Gareth Roberts (University of Warwick)
Why does the Gibbs sampler work on hierarchical models?

10.40 - 10.50

Floor Discussion

10.50 - 11.20

Coffee and Tea in the Chapterhouse, Level 1(ground floor)

11.20 - 11.55

Christophe Andrieu (University of Bristol)
Stability and stabilisation of controlled Markov chains and their applications in statistics

11.55 - 12.30

Jim Hobert (University of Florida)
Convergence rate results for two Gibbs samplers

12.30 - 13.00

Yves Atchade (University of Michigan)
Computing Bayes factors with confidence

13.00 - 14.00

Buffett Lunch in the Chapterhouse, Level 1 (ground floor)

 

Methodology Session (Chair Xiao-Li Meng)

14.00 - 14.35

Nicolas Chopin (ENSAE-CREST)
My memory is long, my patience is not: how not to use MCMC for Bayesian spectral density estimation for long-memory processes

14.35 - 15.05

Nial Friel (Univeristy College Dublin)
Estimating the evidence for doubly intractable distributions

15.05 - 15.30

Omiros Papaspiliopoulos (Universitat Pompeu Fabra)
Path augmentation

15.30 - 16.00

Coffee and Tea in the Chapterhouse, Level 1(ground floor)

 

Applications Session

16.00 - 16.35

Darren Wilkinson (Newcastle University)
Bayesian inference for Markov processes with application to biochemical network dynamics

16.35 - 17.10

Andrew Golightly (Newcastle University)
Exact inference for stochastic kinetic models via a linear noise approximation

17.10 - 17.45

Maria de Iorio (University College London)
A Bayesian model of NMR spectra for the deconvolution andquantification of metabolites in complex biological mixtures

17.45 - 18.20

Dan Lawson (University of Bristol)
The Dirichlet process in genetics

18.30 - 20.00

Poster Session and Wine Reception in The Atrium, Level 3

 

 

Tuesday 24 April

 

Methodology Session (Chair Mark Girolami)

09.15 - 10.05

Xiao Li Meng (Harvard University)
Thank God that regressing Y or X is not the same as regressing X on Y: interweaving residual augmentations

10.05 - 10.15

Floor Discussion

10.15 - 10.45

Coffee and Tea in the Chapterhouse, Level 1(ground floor)

10.45 - 11.20

Daniele Imparato (Università dell'Insubria)
Density estimators through zero variance Markov Chain Monte Carlo

11.20 - 11.55

Faming Liang (Texas A&M University)
Bayesian subset modeling for high dimensional generalized linear models and its asymptotic properties

11.55 - 12.30

Arnaud Doucet (University of Oxford)
Derivative Free Estimates of the Score Vector and Observed Information Matrix

12.30 - 13.05

Jim Griffin (University of Kent)
Adaptive Monte Carlo methods for variable selection

13.05 - 14.00

Lunch in the Chapterhouse, Level 1(ground floor)

 

Theory Session (Chair Heikki Haario)

14.00 - 14.35

Natesh Pillai (Harvard University)
Recent advances in high dimensional covariance matrix estimation

14.35 - 15.10

Alex Beskos (Univeristy College London)
Hamiltonian dynamics in high dimensions

15.10 - 15.45

Simon Byrne (Univeristy College London) & Frank Critchley (The Open University)
Orthogonal foliations for graphical models

15.45 - 16.15

Coffee and Tea in the Chapterhouse, Level 1(ground floor)

 

Applications Session

16.15 - 16.50

David van Dyke (Imperial College London)
Metropolis Hastings within partially collapsed Gibbs samplers, with application in high-energy astrophysics

16.50 - 17.25

Iain Murray (University of Edinburgh)
Sampling hierarchical latent Gaussian models

17.25 - 18.00

Simo Sarkka (Aalto University)
Posterior inference on parameters of stochastic differential equations via Gaussian process approximations

19.30 - 22.00

Workshop Dinner (The Magnum Restaurant, 1 Albany Street, Edinburgh EH1 3PY)

 

 

Wednesday 25 April

 

Application Session (Chair Antonietta Mira)

09.15 - 10.05

Heiki Haario (Lappeenranta University of Technology)
State and parameter estimation for large scale models

10.05 - 10.15

Floor Discussion

10.15 - 10.50

Marko Laine (Finnish Meteorological Institute)
Efficient adaptive MCMC for complex models

10.50 - 11.20

Coffee and Tea in the Chapterhouse, Level 1(ground floor)

 

Theory Session

11.20 - 11.55

Gersende Fort (LTCI, CNRS - TELECOM ParisTech)
Stochastic approximation for adaptive interacting MCMC samplers

11.55 - 12.30

Andrew Stuart (Univeristy of Warwick)
Random walk metropolis algorithms in high dimensions

12.30 - 13.05

Krysztof Latuszynski (University of Warwick)
Robustness of manifold MALA and related algorithms

13.05 - 13.35

Nick Whiteley (University of Bristol)
Stability properties of particle filters

13.35 - 14.35

Lunch in the Chapterhouse, Level 1(ground floor) 

 

Methodology Session (Chair Gareth Roberts)

14.35 - 15.10

Jean-Michel Marin (Université Montpellier 2)
Bayesian inference on a mixture model with spatial dependence

15.10 - 15.45

Gareth Tribello (ETH Zurich and Universita della Svizzera Italiana)
Methods for surveying complex probability distributions

15.45 - 16.00

Closing Remarks

16.00

Workshop closes

 

 

Presentations:

Presentation Details
Andrieu, Christophe
Stability and stabilisation of controlled Markov chains and their applications in statistics
View Abstract Down
Atchade, Yves
Computing Bayes factors with confidence
View Abstract Down
Beskos, Alexandros
Hamiltonian dynamics in high dimensions
View Abstract Down
Byrne, Simon
Orthogonal foliations for graphical models (Joint presentation with Frank Critchley, Open University)
View Abstract Down
Chopin, Nicolas
My memory is long, my patience is not: how not to use MCMC for Bayesian spectral density estimation for long-memory processes
View Abstract Down
De Iorio, Maria
A Bayesian model of NMR spectra for the deconvolution andquantification of metabolites in complex biological mixtures
View Abstract Down
Fort, Gersende
Stochastic approximation for adaptive interacting MCMC samplers
View Abstract Down
Friel, Nial
Estimating the evidence for doubly intractable distributions
View Abstract Down
Golightly, Andrew
Exact inference for stochastic kinetic models via a linear noise approximation
View Abstract Down
Griffin, Jim
Adaptive Monte Carlo methods for variable selection
View Abstract Down
Haario, Heikki
State and parameter estimation for large scale models
View Abstract Down
Hobert, Jim
Convergence rate results for two Gibbs samplers
View Abstract Down
Imparato, Daniele
Density estimators through zero variance Markov Chain Monte Carlo
View Abstract Down
Laine, Marko
Efficient adaptive MCMC for complex models
View Abstract Down
Latuszynski, Krzysztof
Robustness of manifold MALA and related algorithms
View Abstract Down
Lawson, Dan
The Dirichlet process in genetics
View Abstract Down
Liang, Faming
Bayesian subset modeling for high dimensional generalized linear models and its asymptotic properties
View Abstract Down
Marin, Jean-Michel
Bayesian inference on a mixture model with spatial dependence
View Abstract Down
Meng, Xiao-Li
Thank God that regressing Y on X is not the same as regressing X on Y: interweaving residual augmentations
View Abstract Down
Murray, Iain
Sampling hierarchical latent Gaussian models
View Abstract Down
Papaspiliopoulos, Omiros
Path augmentation
View Abstract Down
Pillai, Natesh
Recent advances in high dimensional covariance matrix estimation
View Abstract Down
Roberts, Gareth
Why does the Gibbs sampler work on hierarchical models?
View Abstract Down
Särkkä, Simo
Posterior inference on parameters of stochastic differential equations via Gaussian process approximations
View Abstract Down
Stuart, Andrew
Random walk metropolis algorithms in high dimensions
View Abstract Down
Tribello, Gareth
Methods for surveying complex probability distributions
View Abstract Down
van Dyk, David
Metropolis Hastings within partially collapsed Gibbs samplers, with application in high-energy astrophysics
View Abstract Down
Whiteley, Nick
Stability properties of particle filters
View Abstract Down
Wilkinson, Darren
Bayesian inference for Markov processes with application to biochemical network dynamics
View Abstract Down

Participants

Name Institution
Andrieu, Christophe University of Bristol
Atchade, Yves University of Michigan
Beskos, Alexandros University College London
Byrne, Simon University College London
Chopin, Nicolas ENSAE-CREST
Critchley, Frank The Open University
De Iorio, Maria University College London
Doucet, Arnaud University of Oxford
Fort, Gersende Telecom ParisTech/LTCI/CNRS
Friel, Nial University College Dublin
Gamado, Kokouvi Mawuli BioSS and Heriot-Watt University
Girolami, Mark University of Warwick
Golightly, Andrew Newcastle University
Griffin, Jim University of Kent
Haario, Heikki Lappeenranta University of Technology
Hamid, Bazargan Heriot Watt University
Hobert, Jim University of Florida
Imparato, Daniele Università dell'Insubria
Laine, Marko Finnish Meteorological Institute
Latuszynski, Krzysztof University of Warwick
Lawson, Dan University of Bristol
Liang, Faming Texas A & M University
Lord, Gabriel Heriot-Watt University
Marin, Jean-Michel University Montpellier 2
Marion, Glenn Biomathematics & Statistics Scotland,
Mavros, George Heriot Watt University
Meng, Xiao-Li Harvard University
Miasojedow, Blazej LTCI, TELECOM ParisTech
Mira, Antonietta Università della Svizzera Italiana, Switzerland and Università dell’Insubria, Italy
Murray, Iain University of Edinburgh
Papaspiliopoulos, Omiros ICREA & Universitat Pompeu Fabra
Peluso, Stefano Universita della Svizzera Italiana
Pereyra, Marcelo University of Toulouse
Pillai, Natesh Harvard University
Pollock, Murray University of Warwick
Robert, Christian Université Paris-Dauphine & University of Warwick
Roberts, Gareth University of Warwick
Särkkä, Simo Aalto University
Siu Yin, LAU Heriot-Watt University, Edinburgh
Solgi, Reza Swiss Finance Institute at University of Lugano
Stuart, Andrew University of Warwick
Thiery, Alexandre Warwick University
Tribello, Gareth ETH Zurich + Università della Svizzera Italiana
van Dyk, David Imperial College London
Vollmer, Sebastian University of Warwick
Whiteley, Nick University of Bristol
Wilkinson, Darren Newcastle University
Wolny, Kasia University of Warwick