Approximate Bayesian techniques for inference in stochastic dynamical systems

This thesis is concerned with approximate inference in dynamical systems, from a variational Bayesian perspective. When modelling real world dynamical systems, stochastic differential equations appear as a natural choice, mainly because of their ability to model the noise of the system by adding a variant of some stochastic process to the deterministic dynamics. Hence, inference in such processes has drawn much attention. Here two new extended frameworks are derived and presented that are based on basis function expansions and local polynomial approximations of a recently proposed variational Bayesian algorithm. It is shown that the new extensions converge to the original variational algorithm and can be used for state estimation (smoothing). However, the main focus is on estimating the (hyper-) parameters of these systems (i.e. drift parameters and diffusion coefficients). The new methods are numerically validated on a range of different systems which vary in dimensionality and non-linearity. These are the Ornstein-Uhlenbeck process, for which the exact likelihood can be computed analytically, the univariate and highly non-linear, stochastic double well and the multivariate chaotic stochastic Lorenz '63 (3-dimensional model). The algorithms are also applied to the 40 dimensional stochastic Lorenz '96 system. In this investigation these new approaches are compared with a variety of other well known methods such as the ensemble Kalman filter / smoother, a hybrid Monte Carlo sampler, the dual unscented Kalman filter (for jointly estimating the systems states and model parameters) and full weak-constraint 4D-Var. Empirical analysis of their asymptotic behaviour as a function of observation density or length of time window increases is provided.

Enhancing the humidity response time of polymer optical fiber Bragg grating by using laser micromachining

The humidity sensors constructed from polymer optical fiber Bragg gratings (POFBG) respond to the water content change in the fiber induced by varying environmental condition. The water content change is a diffusion process. Therefore the response time of the POFBG sensor strongly depends on the geometry and size of the fiber. In this work we investigate the use of laser micromachining of D-shaped and slotted structures to improve the response time of polymer fiber grating based humidity sensors. A significant improvement in the response time has been achieved in laser micromachined D-shaped POFBG humidity sensors. The slotted geometry allows water rapid access to the core region but this does not of itself improve response time due to the slow expansion of the bulk of the cladding. We show that by straining the slotted sensor, the expansion component can be removed resulting in the response time being determined only by the more rapid, water induced change in core refractive index. In this way the response time is reduced by a factor of 2.5.

Improved response time of laser etched polymer optical fiber Bragg grating humidity sensor

The humidity sensor made of polymer optical fiber Bragg grating (POFBG) responds to the water content change in fiber induced by the change of environmental condition. The response time strongly depends on fiber size as the water change is a diffusion process. The ultra short laser pulses have been providing an effective micro fabrication method to achieve spatial localized modification in materials. In this work we used the excimer laser to create different microstructures (slot, D-shape) in POFBG to improve its performance. A significant improvement in the response time has been achieved in a laser etched D-shaped POFBG humidity sensor.

Improving the response time of polymer optical fibre Bragg grating water activity sensors

In this work we investigate the effect of temperature and diameter size on the response time of a poly(methyl methacrylate) based, polymer optical fibre Bragg grating water activity sensor. The unstrained and etched sensor was placed in an environmental chamber to maintain controlled temperature and humidity conditions and subjected to step changes in humidity. The data show a strong correlation between decrease in diameter and shorter response time. A decrease in response time was also observed with an increase in temperature.

A Bayesian approach to on-line learning

Online learning is discussed from the viewpoint of Bayesian statistical inference. By replacing the true posterior distribution with a simpler parametric distribution, one can define an online algorithm by a repetition of two steps: An update of the approximate posterior, when a new example arrives, and an optimal projection into the parametric family. Choosing this family to be Gaussian, we show that the algorithm achieves asymptotic efficiency. An application to learning in single layer neural networks is given.

Bayesian error bars for regression

Regression problems are concerned with predicting the values of one or more continuous quantities, given the values of a number of input variables. For virtually every application of regression, however, it is also important to have an indication of the uncertainty in the predictions. Such uncertainties are expressed in terms of the error bars, which specify the standard deviation of the distribution of predictions about the mean. Accurate estimate of error bars is of practical importance especially when safety and reliability is an issue. The Bayesian view of regression leads naturally to two contributions to the error bars. The first arises from the intrinsic noise on the target data, while the second comes from the uncertainty in the values of the model parameters which manifests itself in the finite width of the posterior distribution over the space of these parameters. The Hessian matrix which involves the second derivatives of the error function with respect to the weights is needed for implementing the Bayesian formalism in general and estimating the error bars in particular. A study of different methods for evaluating this matrix is given with special emphasis on the outer product approximation method. The contribution of the uncertainty in model parameters to the error bars is a finite data size effect, which becomes negligible as the number of data points in the training set increases. A study of this contribution is given in relation to the distribution of data in input space. It is shown that the addition of data points to the training set can only reduce the local magnitude of the error bars or leave it unchanged. Using the asymptotic limit of an infinite data set, it is shown that the error bars have an approximate relation to the density of data in input space.

Fast response static var generator for improving the power system performance of an electric arc furnace (EAF)

Cascaded multilevel inverters-based Static Var Generators (SVGs) are FACTS equipment introduced for active and reactive power flow control. They eliminate the need for zigzag transformers and give a fast response. However, with regard to their application for flicker reduction in using Electric Arc Furnace (EAF), the existing multilevel inverter-based SVGs suffer from the following disadvantages. (1) To control the reactive power, an off-line calculation of Modulation Index (MI) is required to adjust the SVG output voltage. This slows down the transient response to the changes of reactive power; and (2) Random active power exchange may cause unbalance to the voltage of the d.c. link (HBI) capacitor when the reactive power control is done by adjusting the power angle d alone. To resolve these problems, a mathematical model of 11-level cascaded SVG, was developed. A new control strategy involving both MI (modulation index) and power angle (d) is proposed. A selected harmonics elimination method (SHEM) is taken for switching pattern calculations. To shorten the response time and simplify the controls system, feed forward neural networks are used for on-line computation of the switching patterns instead of using look-up tables. The proposed controller updates the MI and switching patterns once each line-cycle according to the sampled reactive power Qs. Meanwhile, the remainder reactive power (compensated by the MI) and the reactive power variations during the line-cycle will be continuously compensated by adjusting the power angles, d. The scheme senses both variables MI and d, and takes action through the inverter switching angle, qi. As a result, the proposed SVG is expected to give a faster and more accurate response than present designs allow. In support of the proposal there is a mathematical model for reactive powered distribution and a sensitivity matrix for voltage regulation assessment, MATLAB simulation results are provided to validate the proposed schemes. The performance with non-linear time varying loads is analysed and refers to a general review of flicker, of methods for measuring flickers due to arc furnace and means for mitigation.

Data assimilation for precipitation nowcasting using Bayesian inference

This work introduces a new variational Bayes data assimilation method for the stochastic estimation of precipitation dynamics using radar observations for short term probabilistic forecasting (nowcasting). A previously developed spatial rainfall model based on the decomposition of the observed precipitation field using a basis function expansion captures the precipitation intensity from radar images as a set of ‘rain cells’. The prior distributions for the basis function parameters are carefully chosen to have a conjugate structure for the precipitation field model to allow a novel variational Bayes method to be applied to estimate the posterior distributions in closed form, based on solving an optimisation problem, in a spirit similar to 3D VAR analysis, but seeking approximations to the posterior distribution rather than simply the most probable state. A hierarchical Kalman filter is used to estimate the advection field based on the assimilated precipitation fields at two times. The model is applied to tracking precipitation dynamics in a realistic setting, using UK Met Office radar data from both a summer convective event and a winter frontal event. The performance of the model is assessed both traditionally and using probabilistic measures of fit based on ROC curves. The model is shown to provide very good assimilation characteristics, and promising forecast skill. Improvements to the forecasting scheme are discussed

Variational Markov Chain Monte Carlo for Bayesian smoothing of non-linear niffusions

In this paper we develop set of novel Markov chain Monte Carlo algorithms for Bayesian smoothing of partially observed non-linear diffusion processes. The sampling algorithms developed herein use a deterministic approximation to the posterior distribution over paths as the proposal distribution for a mixture of an independence and a random walk sampler. The approximating distribution is sampled by simulating an optimized time-dependent linear diffusion process derived from the recently developed variational Gaussian process approximation method. Flexible blocking strategies are introduced to further improve mixing, and thus the efficiency, of the sampling algorithms. The algorithms are tested on two diffusion processes: one with double-well potential drift and another with SINE drift. The new algorithm's accuracy and efficiency is compared with state-of-the-art hybrid Monte Carlo based path sampling. It is shown that in practical, finite sample, applications the algorithm is accurate except in the presence of large observation errors and low observation densities, which lead to a multi-modal structure in the posterior distribution over paths. More importantly, the variational approximation assisted sampling algorithm outperforms hybrid Monte Carlo in terms of computational efficiency, except when the diffusion process is densely observed with small errors in which case both algorithms are equally efficient.

Bayesian analysis of the scatterometer wind retrieval inverse problem:Some new approaches

The retrieval of wind vectors from satellite scatterometer observations is a non-linear inverse problem. A common approach to solving inverse problems is to adopt a Bayesian framework and to infer the posterior distribution of the parameters of interest given the observations by using a likelihood model relating the observations to the parameters, and a prior distribution over the parameters. We show how Gaussian process priors can be used efficiently with a variety of likelihood models, using local forward (observation) models and direct inverse models for the scatterometer. We present an enhanced Markov chain Monte Carlo method to sample from the resulting multimodal posterior distribution. We go on to show how the computational complexity of the inference can be controlled by using a sparse, sequential Bayes algorithm for estimation with Gaussian processes. This helps to overcome the most serious barrier to the use of probabilistic, Gaussian process methods in remote sensing inverse problems, which is the prohibitively large size of the data sets. We contrast the sampling results with the approximations that are found by using the sparse, sequential Bayes algorithm.

A projected process kriging algorithm for sensor networks with heterogeneous error characteristics

Large monitoring networks are becoming increasingly common and can generate large datasets from thousands to millions of observations in size, often with high temporal resolution. Processing large datasets using traditional geostatistical methods is prohibitively slow and in real world applications different types of sensor can be found across a monitoring network. Heterogeneities in the error characteristics of different sensors, both in terms of distribution and magnitude, presents problems for generating coherent maps. An assumption in traditional geostatistics is that observations are made directly of the underlying process being studied and that the observations are contaminated with Gaussian errors. Under this assumption, sub–optimal predictions will be obtained if the error characteristics of the sensor are effectively non–Gaussian. One method, model based geostatistics, assumes that a Gaussian process prior is imposed over the (latent) process being studied and that the sensor model forms part of the likelihood term. One problem with this type of approach is that the corresponding posterior distribution will be non–Gaussian and computationally demanding as Monte Carlo methods have to be used. An extension of a sequential, approximate Bayesian inference method enables observations with arbitrary likelihoods to be treated, in a projected process kriging framework which is less computationally intensive. The approach is illustrated using a simulated dataset with a range of sensor models and error characteristics.

A pragmatic Bayesian approach to wind field retrieval

The ERS-1 Satellite was launched in July 1991 by the European Space Agency into a polar orbit at about 800 km, carrying a C-band scatterometer. A scatterometer measures the amount of backscatter microwave radiation reflected by small ripples on the ocean surface induced by sea-surface winds, and so provides instantaneous snap-shots of wind flow over large areas of the ocean surface, known as wind fields. Inherent in the physics of the observation process is an ambiguity in wind direction; the scatterometer cannot distinguish if the wind is blowing toward or away from the sensor device. This ambiguity implies that there is a one-to-many mapping between scatterometer data and wind direction. Current operational methods for wind field retrieval are based on the retrieval of wind vectors from satellite scatterometer data, followed by a disambiguation and filtering process that is reliant on numerical weather prediction models. The wind vectors are retrieved by the local inversion of a forward model, mapping scatterometer observations to wind vectors, and minimising a cost function in scatterometer measurement space. This thesis applies a pragmatic Bayesian solution to the problem. The likelihood is a combination of conditional probability distributions for the local wind vectors given the scatterometer data. The prior distribution is a vector Gaussian process that provides the geophysical consistency for the wind field. The wind vectors are retrieved directly from the scatterometer data by using mixture density networks, a principled method to model multi-modal conditional probability density functions. The complexity of the mapping and the structure of the conditional probability density function are investigated. A hybrid mixture density network, that incorporates the knowledge that the conditional probability distribution of the observation process is predominantly bi-modal, is developed. The optimal model, which generalises across a swathe of scatterometer readings, is better on key performance measures than the current operational model. Wind field retrieval is approached from three perspectives. The first is a non-autonomous method that confirms the validity of the model by retrieving the correct wind field 99% of the time from a test set of 575 wind fields. The second technique takes the maximum a posteriori probability wind field retrieved from the posterior distribution as the prediction. For the third technique, Markov Chain Monte Carlo (MCMC) techniques were employed to estimate the mass associated with significant modes of the posterior distribution, and make predictions based on the mode with the greatest mass associated with it. General methods for sampling from multi-modal distributions were benchmarked against a specific MCMC transition kernel designed for this problem. It was shown that the general methods were unsuitable for this application due to computational expense. On a test set of 100 wind fields the MAP estimate correctly retrieved 72 wind fields, whilst the sampling method correctly retrieved 73 wind fields.

Bayesian data assimilation

This thesis addresses data assimilation, which typically refers to the estimation of the state of a physical system given a model and observations, and its application to short-term precipitation forecasting. A general introduction to data assimilation is given, both from a deterministic and' stochastic point of view. Data assimilation algorithms are reviewed, in the static case (when no dynamics are involved), then in the dynamic case. A double experiment on two non-linear models, the Lorenz 63 and the Lorenz 96 models, is run and the comparative performance of the methods is discussed in terms of quality of the assimilation, robustness "in the non-linear regime and computational time. Following the general review and analysis, data assimilation is discussed in the particular context of very short-term rainfall forecasting (nowcasting) using radar images. An extended Bayesian precipitation nowcasting model is introduced. The model is stochastic in nature and relies on the spatial decomposition of the rainfall field into rain "cells". Radar observations are assimilated using a Variational Bayesian method in which the true posterior distribution of the parameters is approximated by a more tractable distribution. The motion of the cells is captured by a 20 Gaussian process. The model is tested on two precipitation events, the first dominated by convective showers, the second by precipitation fronts. Several deterministic and probabilistic validation methods are applied and the model is shown to retain reasonable prediction skill at up to 3 hours lead time. Extensions to the model are discussed.

Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions

In this paper we develop set of novel Markov Chain Monte Carlo algorithms for Bayesian smoothing of partially observed non-linear diffusion processes. The sampling algorithms developed herein use a deterministic approximation to the posterior distribution over paths as the proposal distribution for a mixture of an independence and a random walk sampler. The approximating distribution is sampled by simulating an optimized time-dependent linear diffusion process derived from the recently developed variational Gaussian process approximation method. The novel diffusion bridge proposal derived from the variational approximation allows the use of a flexible blocking strategy that further improves mixing, and thus the efficiency, of the sampling algorithms. The algorithms are tested on two diffusion processes: one with double-well potential drift and another with SINE drift. The new algorithm's accuracy and efficiency is compared with state-of-the-art hybrid Monte Carlo based path sampling. It is shown that in practical, finite sample applications the algorithm is accurate except in the presence of large observation errors and low to a multi-modal structure in the posterior distribution over paths. More importantly, the variational approximation assisted sampling algorithm outperforms hybrid Monte Carlo in terms of computational efficiency, except when the diffusion process is densely observed with small errors in which case both algorithms are equally efficient. © 2011 Springer-Verlag.

Regression with input-dependent noise: A Bayesian treatment

In most treatments of the regression problem it is assumed that the distribution of target data can be described by a deterministic function of the inputs, together with additive Gaussian noise having constant variance. The use of maximum likelihood to train such models then corresponds to the minimization of a sum-of-squares error function. In many applications a more realistic model would allow the noise variance itself to depend on the input variables. However, the use of maximum likelihood to train such models would give highly biased results. In this paper we show how a Bayesian treatment can allow for an input-dependent variance while overcoming the bias of maximum likelihood.