Archive for August, 2011

JSM2011, and a final stretch at RDS

Thursday, August 18th, 2011

The Joint Statistical Meetings conference took place in Miami Beach on July 30-August 5. It went very well, and the definite highlight was the keynote lecture by Sir David Cox. Among the other sessions, the following stand out:

  1. A Frequency Domain EM Algorithm to Detect Similar Dynamics in Time Series with Applications to Spike Sorting and Macro-Economics by Georg M. Goerg, a student at CMU Stat. The talk was very enjoyable and the conveyed ideas were crisp and exciting, the main one being that zero-mean time series can be thought of as histograms by representing them as frequency distributions which allows for an elegant non-parametric classification approach by minimizing the KL divergence of observed and simulated frequency histograms.
  2. Large Scale Data at Facebook by Eric Sun from Facebook. Though not groundbreaking, the talk was exciting as it described the work environment at Facebook and the approach taken to getting signals out of massive data. Mostly, curious facts were presented from analyzing the frequencies of word occurrences in user status updates, with the interesting part being the analysis framework developed to do that.
  3. Jointly Modeling Homophily in Networks and Recruitment Patterns in Respondent-Driven Sampling of Networks by my advisor Joe Blitzstein about our most recent research on model-based estimation for Respondent-Driven Sampling (RDS). The approach we are developing is looking to have several very attractive features in comparison to current estimation techniques and is designed for the case of homophily of varying degree. An example is illustrated on Figure 1.

    Figure 1: An example of homophily, with the network plotted over the histogram of the homophily inducing quantity (left), and resulting (normalized) vertex degrees plotted over the same histogram (right).

    We hope to finish the relevant paper soon and open the approach to extensions by the research community.

During the conference, I also had a chance to finish making a dynamic 3D visualization of a constrained optimization algorithm I developed for In4mation Insights, which is exciting. As for Miami Beach itself, it is a great place to go out and enjoy the good food, sun and beach. JSM2012 will be held in San Diego.

I created the visualization in this post using Processing.

Optimization, experiment design, and Sir David Cox

Wednesday, August 3rd, 2011

It has been almost a year of my involvement in a project of global marketing mix optimization solution for a large consumer packaged goods company. Conceptually, the problem is simple: given a fitted model of a company's revenue as a function of promotion campaigns for its products, and using past year's promotion campaigns allocation scenario as a starting point, find a revenue maximizing scenario subject to promotion expenditure constraints.

Figure 1: A visualization of a step in a solution of an optimization problem. To see the full dynamic visualization, go to

The problem becomes more interesting when we go into details. (more…)