Adap'ski, a satellite meeting to MCMC'ski

Bormio, Italy, January 9-11, 2005

Workshop on Adaptive Monte Carlo organised by

Ch. Andrieu (Dept. Mathematics., University of Bristol, UK)
H. Haario (Dept. Mathematics, University of Lappeenranta, Finland)
C.P. Robert (Dept. Applied Math., Université Paris Dauphine, and CREST, France)

and sponsored by

Motivations

The focus of this research workshop is on presenting the theoretical tools for the development of adaptive Monte Carlo algorithms and on discussing the barriers to the dissemination of such algorithms in more realistic settings. While taking advantage of the gathering of statisticians, probabilists and other scientists at the following MCMC'ski meeting, it is resolutely oriented towards specialists, that is, researchers that are already familiar with the problematic of adaptive Monte Carlo algorithms, rather than towards the general audience of the following MCMC'ski meeting. Indeed, due to the recent upsurge in the study of adaptive Monte Carlo (and in particular MCMC) algorithms, we feel the need for a workshop to gather all those involved or interested in the theoretical and methodological study of these structures, given that the tools used in the various teams are quite similar and often reproduce one another. The workshop is organised around the main themes of the current development, over 4 half-days with one main overview talk and two or three shorter contributions with more technical flavour, and a strong component of open discussion during and after the talks:

        (1) Ergodicity of non-homogeneous Markov chains

        (2) Tools and advances in stochastic optimisation

        (3) Non Markovian alternatives

        (4) Implementation specificities of adaptive algorithms

There will be breaks on both afternoon for informal discussions and relaxation (and skiing!). And a poster session on the Monday night for all attendees to present their own results. Obviously, the discussions and research started during the meeting will be continued during the main MCMC'ski meeting on the following days.

Planned Programme

[A stands for Abstract, P for Paper, and * for confirmed participation, not for snow!]

Sunday 9, 9-10pm: Current challenges of adaptive Monte Carlo [A|P]
Rezia Gareth Roberts, University of Lancaster, UK *

Monday 10, 8:30-12:15am: Progressive adaptation approaches (1)
Palace

On validation of adaptive MCMC [A|P]
Eero Saksman, University of Jyväskylä, Finland *

Coupling and ergodicity of adaptive MCMC [A|P]
Jeff Rosenthal, University of Toronto, Canada *

10:30-11am: Coffee break

Theory of stochastic optimisation [A|P]
Eric Moulines, ENST, Paris, France *

Monday 10, après-ski (4:30-7pm): Progressive adaptation approaches (2)
Palace

4:30-5am: Coffee break

The cross-entropy method [A|P]
Reuven Rubinstein, Technion, Israel *
Discussant: Haakon Tjelmeland, Norwegian University of Trondheim, Norway*

Identification of regeneration times in MCMC simulation [A|P]
Jay Kadane, Carnegie Mellon University, USA *
Discussant: Sujit Sahu, University of Southampton, UK *

Monday 10, after dinner (9-11pm): Posters at the Bar (Rezia) [A]

Tuesday 11, 8:30-12am: Population approaches
Palace

Overview on sequential Monte Carlo [A|P]
Jun Liu, Harvard University, USA *
Discussant: Alan Gelfand, Duke University *

Sequential Monte Carlo samplers [A|P]
Arnaud Doucet, Cambridge University, UK *
Discussant: Chris Holmes, Oxford University, UK *

10:30-11am: Coffee break

Convergence of adaptive sampling schemes [A|P]
Jean-Michel Marin, Université Paris Dauphine & INRIA, France *
Discussant: Paul Fernhead, Lancaster University, UK *

Tuesday 11, après-ski(4:30-7pm): Automatic RJMCMC
Palace

4:30-5am: Coffee break

Towards automatic RJ MCMC [A|P]
David Hastie, University of Bristol, UK *
Discussant: François Perron, Université de Montréal, Canada *

Adaptive RJMCMC in practice [A|P]
Steve Brooks, Cambridge University, UK
Discussant: Antonietta Mira, Università dell' Insubria, Italy *

Tuesday, after dinner (9-11pm): Closure at the Bar (Rezia)

Registration

An on-line registration page is now available. Please contact the organisers for any question regarding registration. Note that there is no registration fee at this stage but that registration is compulsory.

This meeting being a satellite to the MCMC'ski meeting, it is also necessary to register here for the main MCMC'ski meeting and the benefits that come with it.

News

[09/09/04] Due to massive registration increase, the audience limitation to 40 persons is abandonned. There is no longer a restriction on the size of the audience.
[09/24/04] The 40 bedrooms that have been reserved at Hotel Rezia are for the participants in either Adap'ski or MCMC'ski. It is therefore more prudent to make a reservation ASAP!
[09/29/04] The [only] bus from Milano Malpensa to Bormio should leave the airport around 2:30pm (14:30) on Jan. 9, so please make your plane reservation accordingly. And register for that bus on the MCMC'ski website!
[10/08/04] A conference room that can hold the audience of Adap'ski has been found in a nearby hotel at no additional cost! Both days of the conference will thus be held there, while Gareth Roberts' opening talk and the poster on the evening of the 10th will take place in Hotel Rezia. Once again, we advise all participants to reserve their room at Hotel Rezia at their earliest convenience!
[10/11/04] We are now collecting abstracts and links to related papers to put them on line. Please send those by email to Christophe Andrieu (c.andrieu [at] bris.ac.uk)

[11/01/04] There is no room available at Hotel Rezia any longer! Participants should pick their hotel from the list available on the MCMC'ski website. Hotel Nazionale is cheap and very close to the conference center, Hotel Bagni Nuovi is a 5* hotel but far from the conference location, Hotel Palace is where Adap'ski talks will take place so is like the obvious choice and Hotel Sant'Anton is also close to the conference center.
[11/04/04] There are now 65 registered participants!
[12/08/04] The list of speakers and discussants has been slightly modified to accomodate some last minute changes. Check on the MCMC'ski website for the latest information about bus schedules, hotels, ski passes and so on. We have not yet received the abstracts of the talks and posters and need them urgently to complete the webpage before December 16, end of the trimester in Paris. We now have 76 registered participants!
[12/09/04] Some poster abstracts are now on line, but not all! Please send us yours.
[12/27/04] One speaker needs a drive back to Milano Malpensa on the 13th. Pleae contact Ch. Robert if you are driving back that day. And Happy New Year!
[12/31/04] Same request for the 14th at noon.
[06/01/05] Unfortunately, Yves Atchadé is forced to cancel his trip and talk. The program will be reorganised soon, mosta likely by transfering one of the morning talks to the afternoon, giving the audience and the speakers more time to communicate with one another!

Practical details

The meeting will take place partly in Hotel Rezia (evenings) and partly in Palace Hotel conference room (day talks). The participants are advised to make their own reservation as soon as possible to ensure a room for the duration of the workshop (and of the conference). [The hotel rates for the MCMC'ski meeting is obviously extended to this workshop.]

Check the main MCMC'ski website for skiing information, maps and means of transportation. A bus (25 €) will be available for transportation from Milano Malpensa airport on the (early) afternoon of January 9 to ensure that participants arrive on time to attend Gareth Roberts' opening lecture. (The bus must be booked on the MCMC'ski website along with the registration.) There is no bus from Milano Malpensa planed on January 8 nor on January 10. There is no bus at all from Milano Linate [note that there is a regular bus connection between Linate and Malpensa airports]. The return buses to Milano Malpensa on January 15 and 16 are those indicated on the MCMC'ski website.

There will be coffee breaks in all sessions, but no organised lunch meal. (Both breakfast and dinner at Hotel Rezia being part of the price, they will also be part of the meeting and continuing discussion for those staying at Hotel Rezia).

Acknowledgements

We are grateful to the organisers of the MCMC'ski meeting and in particular to Antonietta Mira for their welcome and help with this workshop which would not have been possible without them. Thanks also to Liisa Torikka, who designed the registration page.

Last update january 06, 2005