# Category Archives: stochastic algorithms

## Sampling: Rejection, Reservoir, and Slice

An article by Suilou Huang for catatrophe modeler AIR-WorldWide of Boston about rejection sampling in CAT modeling got me thinking about pulling together some notes about sampling algorithms of various kinds. There are, of course, books written about this subject, … Continue reading

## Repaired R code for Markov spatial simulation of hurricane tracks from historical trajectories

I’m currently studying random walk and diffusion processes and their connections with random fields. I’m interested in this because at the core of dynamic linear models, Kalman filters, and state-space methods there is a random walk in a parameter space. … Continue reading

## A model of an electrical grid: A vision

Many people seem to view the electrical grid of the future being much like the present one. I think a lot about networks, because of my job. And I especially think a lot about network topologies, although primarily concerning the … Continue reading

## JASA demands code and data be supplied as a condition of publication

The Journal of the American Statistical Association (“JASA”) has announced in this month’s Amstat News that effective 1st September 2016 “… will require code and data as a minimum standard for reproducibility of statistical scientific research.” Trends were heading this … Continue reading

## France, and Mathematics

Cédric Villani, does Mathematics. “Problems worthy of attack, prove their worth by hitting back.” — Piet Hein

## Six cases of models

The previous post included an attempt to explain land surface temperatures as estimated by the BEST project using a dynamic linear model including regressions on both quarterly CO2 concentrations and ocean heat content. The idea was to check the explanatory … Continue reading

## “Lucky d20” (by Tamino, with my reblogging comments)

Originally posted on Open Mind:

What with talk of killer heat waves, droughts, floods, etc. etc., this blog tends to get pretty serious. When it does, we don’t deal with happy prospects, but with the danger of worldwide catastrophe. But…

## Of my favorite things …

(Clarifying language added 4 Apr 2016, 12:26 EDT.) I just watched an episode from the last season of Star Trek: The Next Generation entitled “Force of Nature.” As anyone who pays the least attention to this blog knows, opposing human … Continue reading

## “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

## 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

## Generating supports for classification rules in black box regression models

Inspired by the extensive and excellent work in approximate Bayesian computation (see also), especially that done by Professors Christian Robert and colleagues (see also), and Professor Simon Wood (see also), it occurred to me that the complaints regarding lack of … Continue reading

## Thoughts on “Regime Shift?”

John Baez at The Azimuth Project opened a discussion on the recent paper by Reid, et al Philip C. Reid et al, Global impacts of the 1980s regime shift on the Earth’s climate and systems, Global Change Biology, 2015. I … Continue reading

## reblog: “Tiny Data, Approximate Bayesian Computation and the Socks of Karl Broman”

It’s Rasmus Bååth, in a post and video of which I am very fond: http://www.sumsar.net/blog/2014/10/tiny-data-and-the-socks-of-karl-broman/.

## What the future of energy everywhere looks like

What will the energy landscape look like after utility companies are either dead, dying, or revert to a tiny portion of their territory? Silicon Valley CCE Partnership gives us all a clue. It’s been described in the San Francisco Chronicle, … Continue reading

## Southern New England Meteorology Conference, 24th October 2015

I attending the 2015 edition of the Southern New England Meteorology Conference in Milton, MA, near the Blue Hill, and its Blue Hill Climatological Observatory, of which I am a member as we as of the American Meteorological Society. I … Continue reading

## On differential localization of tumors using relative concentrations of ctDNA. Part 1.

Like most mammalian tissue, tumors often produce shards of DNA as a byproduct of cell death and fracture. This circulating tumor DNA is being studied as a means of detecting tumors or their resurgence after treatment. (See also a Q&A … Continue reading

## On Changing Things

You never change things by fighting the existing reality. To change something, build a new model that makes the existing model obsolete. That’s from Buckminster Fuller, a fellow Unitarian.

## Your future: Antarctica, in detail

Climate and geophysical accuracy demands fine modeling grids, and very large supercomputers. The best and biggest supercomputers have not been available for climate work, until recently. Watch how results differ if fine meshes and big supercomputers are used. Why haven’t … Continue reading

## “The Bayesian Second Law of Thermodynamics” (Sean Carroll, and collaborators)

http://www.preposterousuniverse.com/blog/2015/08/11/the-bayesian-second-law-of-thermodynamics/ See also.

## Comprehensive and compact tutorial on Petris’ DLM package in R; with an update about Helske’s KFAS

A blogger named Lalas produced on Quantitative Thoughts a very comprehensive and compact tutorial on the R package dlm by Petris. I use dlm a lot. Unfortunately, Lalas does not give details on how the SVD is used. They do … Continue reading

## “Cauchy Distribution: Evil or Angel?” (from Xian)

Cauchy Distribution: Evil or Angel?. From Professor Christian Robert.

## “… the most patronizing start to an answer I have ever received …”

Professor Christian Robert tries to help out a student of MCMC on Cross Validated and earns the comment that his help had “the most patronizing start to an answer I have ever received“. I learned a new term: primitivus petitor.

## “A vignette on Metropolis” (Christian Robert)

Originally posted on Xi'an's Og:

Over the past week, I wrote a short introduction to the Metropolis-Hastings algorithm, mostly in the style of our Introduction to Monte Carlo with R book, that is, with very little theory and…

## “Unbiased Bayes for Big Data: Path of partial posteriors” (Christian Robert)

Unbiased Bayes for Big Data: Path of partial posteriors.

## Dynamic Linear Models package, dlmodeler

I’m checking out the dlmodeler package in R for a work project. It is accompanied by textbooks, G. Petris, S. Petrone, P. Campagnoli, Dynamic Linear Models with R, Springer, 2009 and J. Durbin, S. J. Koopman, Time Series Analysis by … Continue reading

## Markov Chain Monte Carlo methods and logistic regression

This post could also be subtitled “Residual deviance isn’t the whole story.” My favorite book on logistic regression is by Dr Joseph Hilbe, Logistic Regression Models, CRC Press, 2009, Chapman & Hill. It is a solidly frequentist text, but its … Continue reading

## Bayesian change-point analysis for global temperatures, 1850-2010

Professor Peter Congdon reports on two Bayesian models for global temperature shifts in his textbook, Applied Bayesian Modelling, as “Example 6.12: Global temperatures, 1850-2010”, on pages 252-253. A direct link is available online. The first is apparently original with Congdon, … Continue reading

## Christian Robert on the amazing Gibbs sampler

Professor Christian Robert remarks on the amazing Gibbs sampler. Implicitly he’s also underscoring the power of properly done Bayesian computational analysis. For here we have a problem with a posterior distribution having two strong modes, so a point estimate, like … Continue reading