arXiv subjects

Charly Andral

Publications and source records attributed to Charly Andral.

6 recordsLinked to original sources

arXiv2026

Impact of Residential Retrofits on Gas and Electricity Consumption in France

This study examines the impact of residential energy retrofits on household energy consumption in France using smart meter data from nearly 2,500 Hello Watt users, using a two-period difference-in-differences design. The dataset combines daily electricity and gas consumption collected through smart meters, hourly temperatures from M\'et\'eo France, and user-declared home and retrofit information. As a control, we use a group composed of homes of Hello Watt users that are similar to the treated homes, but did not undergo any renovations. The average treatment effect on the treated is estimated with the estimator of Sant'Anna & Zhao (2020). Estimates are reported by energy source (electricity vs. gas) and by retrofit type. The retrofit measures considered are limited to single interventions: wall insulation, attic insulation, floor insulation, installation of an air-to-air heat pump, or installation of an air-to-water heat pump. A comprehensive retrofit is defined separately as the simultaneous implementation of at least two of these measures. Our results show that insulation works cause a significant decrease in both electricity and gas consumption (3% to 13% and 5% to 16% respectively, depending on the retrofit type). We also estimate the reduction on the heating consumption only (7% to 27% for electrical heating and 7% to 19% for gas heating). We also study retrofits that consist in replacing a gas boiler with an air-to-water heat pump, resulting in a cut of 85% in carbon emissions.

stat.AP↗

arXiv2025

Permutations accelerate Approximate Bayesian Computation

Approximate Bayesian Computation (ABC) methods have become essential tools for performing inference when likelihood functions are intractable or computationally prohibitive. However, their scalability remains a major challenge in hierarchical or high-dimensional models. In this paper, we introduce permABC, a new ABC framework designed for settings with both global and local parameters, where observations are grouped into exchangeable compartments. Building upon the Sequential Monte Carlo ABC (ABC-SMC) framework, permABC exploits the exchangeability of compartments through permutation-based matching, significantly improving computational efficiency. We then develop two further, complementary sequential strategies: Over Sampling, which facilitates early-stage acceptance by temporarily increasing the number of simulated compartments, and Under Matching, which relaxes the acceptance condition by matching only subsets of the data. These techniques allow for robust and scalable inference even in high-dimensional regimes. Through synthetic and real-world experiments -- including a hierarchical Susceptible-Infectious-Recover model of the early COVID-19 epidemic across 94 French departments -- we demonstrate the practical gains in accuracy and efficiency achieved by our approach.

stat.ME↗

arXiv2024

Automated Techniques for Efficient Sampling of Piecewise-Deterministic Markov Processes

Piecewise deterministic Markov processes (PDMPs) are a class of continuous-time Markov processes that were recently used to develop a new class of Markov chain Monte Carlo algorithms. However, the implementation of the processes is challenging due to the continuous-time aspect and the necessity of integrating the rate function. Recently, Corbella, Spencer, and Roberts (2022) proposed a new algorithm to automate the implementation of the Zig-Zag sampler. However, the efficiency of the algorithm highly depends on a hyperparameter ($t_{\text{max}}$) that is fixed all along the run of the algorithm and needs preliminary runs to tune. In this work, we relax this assumption and propose a new variant of their algorithm that let this parameter change over time and automatically adapt to the target distribution. We also replace the Brent optimization algorithm by a grid-based method to compute the upper bound of the rate function. This method is more robust to the regularity of the function and gives a tighter upper bound while being quicker to compute. We also extend the algorithm to other PDMPs and provide a Python implementation of the algorithm based on JAX.

stat.CO↗

arXiv2024

The Importance Markov Chain

The Importance Markov chain is a novel algorithm bridging the gap between rejection sampling and importance sampling, moving from one to the other through a tuning parameter. Based on a modified sample of an instrumental Markov chain targeting an instrumental distribution (typically via a MCMC kernel), the Importance Markov chain produces an extended Markov chain where the marginal distribution of the first component converges to the target distribution. For example, when targeting a multimodal distribution, the instrumental distribution can be chosen as a tempered version of the target which allows the algorithm to explore its modes more efficiently. We obtain a Law of Large Numbers and a Central Limit Theorem as well as geometric ergodicity for this extended kernel under mild assumptions on the instrumental kernel. Computationally, the algorithm is easy to implement and preexisting libraries can be used to sample from the instrumental distribution.

stat.CO↗

arXiv2024

Combining Normalizing Flows and Quasi-Monte Carlo

Recent advances in machine learning have led to the development of new methods for enhancing Monte Carlo methods such as Markov chain Monte Carlo (MCMC) and importance sampling (IS). One such method is normalizing flows, which use a neural network to approximate a distribution by evaluating it pointwise. Normalizing flows have been shown to improve the performance of MCMC and IS. On the other side, (randomized) quasi-Monte Carlo methods are used to perform numerical integration. They replace the random sampling of Monte Carlo by a sequence which cover the hypercube more uniformly, resulting in better convergence rates for the error that plain Monte Carlo. In this work, we combine these two methods by using quasi-Monte Carlo to sample the initial distribution that is transported by the flow. We demonstrate through numerical experiments that this combination can lead to an estimator with significantly lower variance than if the flow was sampled with a classic Monte Carlo.

stat.CO↗

arXiv2022

An attempt to trace the birth of importance sampling

In this note, we try to trace the birth of importance sampling (IS) back to 1949. We found the classical formulation of IS in a paper from Kahn in June 1949. As for the appearance of the expression importance sampling itself, it may have appeared a few months later, maybe in 1949 during conferences, but there is no published article with the name before 1950.

math.HO↗