Category Archives: SPSA

“Grid shading by simulated annealing” [Martyn Plummer]

Source: Grid shading by simulated annealing (or what I did on my holidays), aka “fun with GCHQ job adverts”, by Martyn Plummer, developer of JAGS. Excerpt: I wanted to solve the puzzle but did not want to sit down with … Continue reading

Posted in approximate Bayesian computation, Bayesian, Bayesian inversion, Boltzmann, BUGS, Christian Robert, Gibbs Sampling, JAGS, likelihood-free, Markov Chain Monte Carlo, Martyn Plummer, mathematics, maths, MCMC, Monte Carlo Statistical Methods, optimization, probabilistic programming, SPSA, stochastic algorithms, stochastic search | Leave a comment

high dimension Metropolis-Hastings algorithms

If attempting to simulate from a multivariate standard normal distribution in a large dimension, when starting from the mode of the target, i.e., its mean γ, leaving the mode γis extremely unlikely, given the huge drop between the value of the density at the mode γ and at likely realisations Continue reading

Posted in Bayes, Bayesian, Bayesian inversion, boosting, chance, Christian Robert, computation, ensembles, Gibbs Sampling, James Spall, Jerome Friedman, Markov Chain Monte Carlo, mathematics, maths, MCMC, Monte Carlo Statistical Methods, multivariate statistics, numerical software, numerics, optimization, reasonableness, Robert Schapire, SPSA, state-space models, statistics, stochastic algorithms, stochastic search, stochastics, Yoav Freund | Leave a comment

“The joy and martyrdom of trying to be a Bayesian”

Bayesians have all been there. Some of us don’t depend upon producing publications to assure our pay, so we less have the pressure of pleasing peer reviewers. Nonetheless, it’s all reacting to “What the hell are you doing? I don’t … Continue reading

Posted in Bayesian, BUGS, Gibbs Sampling, JAGS, MCMC, optimization, probabilistic programming, R, rationality, reasonableness, risk, SPSA, statistics, stochastic algorithms, stochastic search | Leave a comment

“Bayes’ theorem in the 21st century”

Professor Bradley Efron wrote a piece on “Bayes’ theorem in the 21st century” in Science for 7th June 2013 which, as always, offers his measured approach to the frequentist-Bayesian controversy (see B. Efron, “A 250 year argument: Belief, behavior, and the … Continue reading

Posted in Bayesian, education, maths, optimization, rationality, SPSA, statistics, stochastic algorithms, stochastic search | Leave a comment