Probability-Matching Predictors for Extreme Extremes

A location- and scale-invariant predictor is constructed which exhibits good probability matching for extreme predictions outside the span of data drawn from a variety of (stationary) general distributions. It is constructed via the three-parameter {\mu, \sigma, \xi} Generalized Pareto Distribution (GPD). The predictor is designed to provide matching probability exactly for the GPD in both the extreme heavy-tailed limit and the extreme bounded-tail limit, whilst giving a good approximation to probability matching at all intermediate values of the tail parameter \xi. The predictor is valid even for small sample sizes N, even as small as N = 3. The main purpose of this paper is to present the somewhat lengthy derivations which draw heavily on the theory of hypergeometric functions, particularly the Lauricella functions. Whilst the construction is inspired by the Bayesian approach to the prediction problem, it considers the case of vague prior information about both parameters and model, and all derivations are undertaken using sampling theory.

Testing of the multi-objective alliance algorithm on benchmark functions

A new version of the Multi-objective Alliance Algorithm (MOAA) is described. The MOAA's performance is compared with that of NSGA-II using the epsilon and hypervolume indicators to evaluate the results. The benchmark functions chosen for the comparison are from the ZDT and DTLZ families and the main classical multi-objective (MO) problems. The results show that the new MOAA version is able to outperform NSGA-II on almost all the problems.

Generalized phenomenological model for the viscoelasticity of idealized asphalts

A generalized theory for the viscoelastic behavior of idealized bituminous mixtures (asphalts) is presented. The mathematical model incorporates strain rate and temperature dependency as well as nonmonotonic loading and unloading with shape recovery. The stiffening effect of the aggregate is included. The model is of phenomenological nature. It can be calibrated using a relatively limited set of experimental parameters, obtainable by uniaxial tests. It is shown that the mathematical model can be represented as a special nonlinear form of the Burgers model. This facilitates the derivation of numerical algorithms for solving the constitutive equations. A numerical scheme is implemented in a user material subroutine (UMAT) in the finite-element analysis (FEA) code ABAQUS. Simulation results are compared with uniaxial and indentation tests on an idealized asphalt mix. © 2014 American Society of Civil Engineers.

Predictive entropy search for efficient global optimization of black-box functions

We propose a novel information-theoretic approach for Bayesian optimization called Predictive Entropy Search (PES). At each iteration, PES selects the next evaluation point that maximizes the expected information gained with respect to the global maximum. PES codifies this intractable acquisition function in terms of the expected reduction in the differential entropy of the predictive distribution. This reformulation allows PES to obtain approximations that are both more accurate and efficient than other alternatives such as Entropy Search (ES). Furthermore, PES can easily perform a fully Bayesian treatment of the model hyperparameters while ES cannot. We evaluate PES in both synthetic and real-world applications, including optimization problems in machine learning, finance, biotechnology, and robotics. We show that the increased accuracy of PES leads to significant gains in optimization performance.