Dr Krzysztof Łatuszyński

research interests / papers & preprints / my students / recent activities

I'm currently highlighting the following

seminar: Algorithms & Computationally Intensive Inference
is a weekly informal reading/discussion Fri 2pm in A1.01
New paper: Nonasymptotic bounds on the estimation error of MCMC algorithms
(with Blazej Miasojedow and Wojciech Niemiro) [.pdf / CRISM-11-23 / arxiv:1106.4739]
New paper: CLTs and asymptotic variance of time sampled Markov chains
(with Gareth O. Roberts) [.pdf / CRiSM-11-04 / arxiv:1102.2171]
to appear, Methodology and Computing in Applied Probability
New paper: Adaptive Gibbs samplers and related MCMC methods
(with Gareth O. Roberts and Jeffrey S. Rosenthal) [.pdf / CRISM-11-03 / arxiv:1101.5838]
(Major revision of an earlier two-author paper)
to appear, The Annals of Applied Probability

research interests

general: stochastic simulations, computational statistics, Bayesian statistics
specific: Markov chain Monte Carlo, adaptive Monte Carlo, perfect simulation, exact inference for SDEs
I also like: applied statistics, algebraic statistics, optimal transport, ...

journal papers and preprints thinking

2011

Path Stability Condition for Adaptive MCMC
[.pdf / CRiSM-number / arxiv:number]
Nonasymptotic bounds on the estimation error of MCMC algorithms
(with Blazej Miasojedow and Wojciech Niemiro) [.pdf / CRISM-11-23 / arxiv:1106.4739]
CLTs and asymptotic variance of time sampled Markov chains
(with Gareth O. Roberts) [.pdf / CRiSM-11-04 / arxiv:1102.2171]
to appear, Methodology and Computing in Applied Probability
Adaptive Gibbs samplers and related MCMC methods
(with Gareth O. Roberts and Jeffrey S. Rosenthal) [.pdf / CRISM-11-03 / arxiv:1101.5838]
(Major revision of an earlier two-author paper)
to appear, The Annals of Applied Probability

2010

Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques
(with Blazej Miasojedow and Wojciech Niemiro) [.pdf / CRiSM-11-02 / arxiv:1101.5837]
to appear, MCQMC 2010 Conference Proceedings (2011)
Adaptive Gibbs samplers (later revised into this paper)
(with Jeffrey S. Rosenthal) [.pdf / CRISM-10-02 / arxiv:1001.2797]

2009

Rigorous confidence bounds for MCMC under a geometric drift condition
(with Wojciech Niemiro) [.pdf / CRISM-09-35 / arxiv:0908.2098 / R-functions]
Journal of Complexity, 27(1), pp. 23–38, (2011)
Nonasymptotic bounds on the estimation error for regenerative MCMC algorithms
(with Blazej Miasojedow and Wojciech Niemiro) [.pdf / CRiSM-09-23 / arxiv:0907.4915]
Simulating Event of Unknown Probabilities via Reverse Time Martingales
(with Ioannis Kosmidis, Omiros Papaspiliopoulos, Gareth O. Roberts) [.pdf / CRiSM-09-30 / arxiv:0907.4018 / C code available on request]
Random Structures and Algorithms, 38(4), pp. 441-452, (2011)

2008

A Regenerative Proof of the Central Limit Theorem for Uniformly Ergodic Markov Chains
(with Witold Bednorz and Rafal Latala) [ams: MR2386065 (2008m:60138)]
Electronic Communications in Probability, 13, pp. 85-98, (2008)

2007

A few Remarks on "Fixed-Width Output Analysis for Markov Chain Monte Carlo" by Jones et al.
(with Witold Bednorz) [.pdf / abstract]
Journal of the American Statistical Association, 102(480), pp. 1485-1486, (2007)

other research contributions (PhD Thesis, conference proceedings, book chapters & contributions, discussions, reports...)

2010

Discussion of Girolami M. and Calderhead B.
(with Gareth O. Roberts, Alexandre Thiéry and Katarzyna Wolny)
Journal of the Royal Statistical Society B, 73(2), pp. 188-189, (2011).
The Effect of Obesity on Sleep Quality in Sleep Apnea Patients Before and During CPAP Therapy
(J. Antczak, B. Horn, A. Richter, R. Bodenschatz, K. Latuszynski, E.W. Schmidt, W. Jernajczyk)
Discussion of Andrieu C., Doucet A. and Holenstein R.
(with Omiros Papaspiliopoulos)
Journal of the Royal Statistical Society B, 72(3), pp. 310-311, (2010).
The Barnoulli Factory, its extensions and applications
[.pdf]
International Workshop on Applied Probability - IWAP2010 Short paper

2009

Optimal transports and c-convex functions
Oberwolfach Reports, Volume 6, Issue 2, 2009, Arbeitsgemeinschaft: Optimal Transport and Geometry organised by Felix Otto and Karl-Theodor Sturm
Quasi-symmetry and Cycles
(with Carlos Trenado)
I had the pleasure to contribute (pp. 128-131) to the problem section of Lectures on Algebraic Statistics by M. Drton, B. Sturmfels and S. Sullivant, Series: Obervolfach Seminars, Vol.39, Birkhäuser 2009

2008

Wage Differences between Woman and Man in Polish Labor Market in 2004
(with Lukasz Wozny)
a book chapter in Wzrost gospodarczy a bezrobocie i nierownosci w podziale dochodu, ed. Marek Garbicz, Wojciech Pacho, SGH, Warszawa 2008
Regeneration and Fixed-Width Analysis of Markov Chain Monte Carlo Algorithms
[.pdf / arxiv:0907.4716]
PhD Thesis (2008), University of Warsaw, supervisor: Wojciech Niemiro

2007

A Regeneration Proof of the Central Limit Theorem for Uniformly Ergodic Markov Chains
(with Witold Bednorz)
15th European Young Statisticians Meeting - EYSM Conference Proceedings, 2007. (see the substantially extended 2008 ECP paper!)

2006

$(\varepsilon-\alpha)-$ MCMC-Approximation under Drift Condition
(with Wojciech Niemiro)
Proceedings of the 6th International Workshop on Rare Event Simulation (RESIM 2006). (see also the improved and extended 2009 paper and Chapter 5 of my PhD Thesis)

my students

Katarzyna Wolny – MSc. in econometrics, Warsaw School of Economics, 2009, thesis title “Exact simulation of diffusions”
(currently PhD student at the University of Warwick)
Małgorzata Popławska – B.Sc., in statistics, Dept. of Mathemtics, University of Warsaw, 2009, thesis title “Bayesian formulation of the Black-Litterman model”
(currently graduate student at Tinbergen Institute, Amsterdam)

recent activities

Jan 3-7 (2012) I was visiting Daniel Rudolf at the Jena University, Germany
June 26-30 (2011) I participated in the 4th Workshop on High-Dimensional Approximation, Bonn, Germany
June 7-10 (2011) I participated in ASMDA 2011, Rome, Italy
June 2-5 (2011) I participated in the Adrian F.M. Smith Conference, Crete
May30 - June1 (2011) I participated in Greek Stochastics \gamma, Crete
April 28 - May 5 (2011) I was visiting Omiros Papaspiliopoulos at the Universitat Pompeu Fabra, Barcelona, Spain
January 22-29 (2011) I was visiting Galin Jones at the University of Minnesota
January 8-22 (2011) I was visiting Jeffrey Rosenthal at the University of Toronto
January 5-7 (2011) I participated in MCMSki3, Utah, USA
January 3-4 (2011) I participated in AdapSkIII, Utah, USA
August 25-28 (2010) I participated in Greek Stochastics \beta, Lefkada, Greece
August 15-20 (2010) I participated in MCQMC2010, Warsaw, Poland
Wojciech Niemiro and I organised "Probabilistic MCMC I & II" sessions with talks by:
Galin L. Jones / Mylène Bèdard / David A. White / Yvo Pokern
Eero Saksman / Gersende Fort / Dawn B. Woodard / Mark Huber
July 5-8 (2010) I participated in IWAP2010, Colmenarejo, Madrid, Spain
June 3-8 (2010) I participated in 9th Valencia Meeting, Spain
March 18-29 (2010) I was visiting Omiros Papaspiliopoulos at the Universitat Pompeu Fabra, Barcelona, Spain
March 11-14 (2010) I was visiting Jan Palczewski at the University of Leeds
in September-October 2009 I was a postdoctoral fellow with Jeffrey Rosenthal at the University of Toronto
August 28-31 (2009) I participated in Greek Stochastics \alpha, Lefkada, Greece
from July 19 to August 23 (2009) I was hosting CRiSM visitor Wojciech Niemiro (University of Warsaw)
July 5-18 (2009) I participated in 39th Probability Summerschool in Saint-Flour
June 18-20 (2009) I participated in BISP6 - Sixth Workshop on BAYESIAN INFERENCE IN STOCHASTIC PROCESSES, Bressanone, Italy
June 5-11 (2009) I was visiting Omiros Papaspiliopoulos at the Berlin Mathematical School, Berlin, Germany
from March 29 to April 4 (2009) I participated in Oberwolfach Arbeitsgemeinschaft: Optimal Transport and Geometry, Oberwolfach, Germany