Bayesian Emulation for Sequential Modeling, Inference and Decision Analysis

The advances in three related areas of state-space modeling, sequential Bayesian learning, and decision analysis are addressed, with the statistical challenges of scalability and associated dynamic sparsity. The key theme that ties the three areas is Bayesian model emulation: solving challenging analysis/computational problems using creative model emulators. This idea defines theoretical and applied advances in non-linear, non-Gaussian state-space modeling, dynamic sparsity, decision analysis and statistical computation, across linked contexts of multivariate time series and dynamic networks studies. Examples and applications in financial time series and portfolio analysis, macroeconomics and internet studies from computational advertising demonstrate the utility of the core methodological innovations.

Chapter 1 summarizes the three areas/problems and the key idea of emulating in those areas. Chapter 2 discusses the sequential analysis of latent threshold models with use of emulating models that allows for analytical filtering to enhance the efficiency of posterior sampling. Chapter 3 examines the emulator model in decision analysis, or the synthetic model, that is equivalent to the loss function in the original minimization problem, and shows its performance in the context of sequential portfolio optimization. Chapter 4 describes the method for modeling the steaming data of counts observed on a large network that relies on emulating the whole, dependent network model by independent, conjugate sub-models customized to each set of flow. Chapter 5 reviews those advances and makes the concluding remarks.

Path Optimization in Free Energy Calculations

Free energy calculations are a computational method for determining thermodynamic quantities, such as free energies of binding, via simulation.

Currently, due to computational and algorithmic limitations, free energy calculations are limited in scope.

In this work, we propose two methods for improving the efficiency of free energy calculations.

First, we expand the state space of alchemical intermediates, and show that this expansion enables us to calculate free energies along lower variance paths.

We use Q-learning, a reinforcement learning technique, to discover and optimize paths at low computational cost.

Second, we reduce the cost of sampling along a given path by using sequential Monte Carlo samplers.

We develop a new free energy estimator, pCrooks (pairwise Crooks), a variant on the Crooks fluctuation theorem (CFT), which enables decomposition of the variance of the free energy estimate for discrete paths, while retaining beneficial characteristics of CFT.

Combining these two advancements, we show that for some test models, optimal expanded-space paths have a nearly 80% reduction in variance relative to the standard path.

Additionally, our free energy estimator converges at a more consistent rate and on average 1.8 times faster when we enable path searching, even when the cost of path discovery and refinement is considered.