A comparison of variational and Markov chain Monte Carlo methods for inference in partially observed stochastic dynamic systems

In recent work we have developed a novel variational inference method for partially observed systems governed by stochastic differential equations. In this paper we provide a comparison of the Variational Gaussian Process Smoother with an exact solution computed using a Hybrid Monte Carlo approach to path sampling, applied to a stochastic double well potential model. It is demonstrated that the variational smoother provides us a very accurate estimate of mean path while conditional variance is slightly underestimated. We conclude with some remarks as to the advantages and disadvantages of the variational smoother. © 2008 Springer Science + Business Media LLC.

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.

Productivity change using growth accounting and frontier-based approaches:evidence from a Monte Carlo analysis

This study presents some quantitative evidence from a number of simulation experiments on the accuracy of the productivitygrowth estimates derived from growthaccounting (GA) and frontier-based methods (namely data envelopment analysis-, corrected ordinary least squares-, and stochastic frontier analysis-based malmquist indices) under various conditions. These include the presence of technical inefficiency, measurement error, misspecification of the production function (for the GA and parametric approaches) and increased input and price volatility from one period to the next. The study finds that the frontier-based methods usually outperform GA, but the overall performance varies by experiment. Parametric approaches generally perform best when there is no functional form misspecification, but their accuracy greatly diminishes otherwise. The results also show that the deterministic approaches perform adequately even under conditions of (modest) measurement error and when measurement error becomes larger, the accuracy of all approaches (including stochastic approaches) deteriorates rapidly, to the point that their estimates could be considered unreliable for policy purposes.

Monte Carlo and molecular dynamics simulations of methane in potassium montmorillonite clay hydrates at elevated pressures and temperatures

The structure and dynamics of methane in hydrated potassium montmorillonite clay have been studied under conditions encountered in sedimentary basin and compared to those of hydrated sodium montmorillonite clay using computer simulation techniques. The simulated systems contain two molecular layers of water and followed gradients of 150 barkm-1 and 30 Kkm-1 up to a maximum burial depth of 6 km. Methane particle is coordinated to about 19 oxygen atoms, with 6 of these coming from the clay surface oxygen. Potassium ions tend to move away from the center towards the clay surface, in contrast to the behavior observed with the hydrated sodium form. The clay surface affinity for methane was found to be higher in the hydrated K-form. Methane diffusion in the two-layer hydrated K-montmorillonite increases from 0.39×10-9 m2s-1 at 280 K to 3.27×10-9 m2s-1 at 460 K compared to 0.36×10-9 m2s-1 at 280 K to 4.26×10-9 m2s-1 at 460 K in Na-montmorillonite hydrate. The distributions of the potassium ions were found to vary in the hydrates when compared to those of sodium form. Water molecules were also found to be very mobile in the potassium clay hydrates compared to sodium clay hydrates. © 2004 Elsevier Inc. All All rights reserved.

Accuracy and optimal sampling in Monte Carlo solution of population balance equations

Implementation of a Monte Carlo simulation for the solution of population balance equations (PBEs) requires choice of initial sample number (N0), number of replicates (M), and number of bins for probability distribution reconstruction (n). It is found that Squared Hellinger Distance, H2, is a useful measurement of the accuracy of Monte Carlo (MC) simulation, and can be related directly to N0, M, and n. Asymptotic approximations of H2 are deduced and tested for both one-dimensional (1-D) and 2-D PBEs with coalescence. The central processing unit (CPU) cost, C, is found in a power-law relationship, C= aMNb0, with the CPU cost index, b, indicating the weighting of N0 in the total CPU cost. n must be chosen to balance accuracy and resolution. For fixed n, M × N0 determines the accuracy of MC prediction; if b > 1, then the optimal solution strategy uses multiple replications and small sample size. Conversely, if 0 < b < 1, one replicate and a large initial sample size is preferred. © 2015 American Institute of Chemical Engineers AIChE J, 61: 2394–2402, 2015

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.

Computer simulation of radio-frequency methane/hydrogen plasmas and their interaction with GaAs Surfaces

The following thesis describes the computer modelling of radio frequency capacitively coupled methane/hydrogen plasmas and the consequences for the reactive ion etching of (100) GaAs surfaces. In addition a range of etching experiments was undertaken over a matrix of pressure, power and methane concentration. The resulting surfaces were investigated using X-ray photoelectron spectroscopy and the results were discussed in terms of physical and chemical models of particle/surface interactions in addition to the predictions for energies, angles and relative fluxes to the substrate of the various plasma species. The model consisted of a Monte Carlo code which followed electrons and ions through the plasma and sheath potentials whilst taking account of collisions with background neutral gas molecules. The ionisation profile output from the electron module was used as input for the ionic module. Momentum scattering interactions of ions with gas molecules were investigated via different models and compared against results given by quantum mechanical code. The interactions were treated as central potential scattering events and the resulting neutral cascades were followed. The resulting predictions for ion energies at the cathode compared well to experimental ion energy distributions and this verified the particular form of the electrical potentials used and their applicability in the particular geometry plasma cell used in the etching experiments. The final code was used to investigate the effect of external plasma parameters on the mass distribution, energy and angles of all species impingent on the electrodes. Comparisons of electron energies in the plasma also agreed favourably with measurements made using a Langmuir electric probe. The surface analysis showed the surfaces all to be depleted in arsenic due to its preferential removal and the resultant Ga:As ratio in the surface was found to be directly linked to the etch rate. The etch rate was determined by the methane flux which was predicted by the code.

Gamma rays associated with neutron scattering in fusion reactor materials

The gamma-rays produced by the inelastic scattering of 14 MeV neutrons. in fusion reactor materials have been studied using a gamma-ray spectrometer employing a sodium iodide scintillation detector. The source neutrons are produced by the T(d,n)4He reaction using the SAMES accelerator at the University of Aston in Birmingham. In order to eliminate the large gamma-ray background and neutron signal due to the sensitivity of the sodium iodide detector to neutrons, the gamma-ray detector is heavily shielded and is used together with a particle time of flight discrimination system based on the associated particle time of flight method. The instant of production of a source neutron is determined by detecting the associated alpha-particle enabling discrimination between the neutrons and gamma-rays by their different time of flight times. The electronic system used for measuring the time of flight of the neutrons and gamrna-rays over the fixed flight path is described. The materials studied in this work were Lithium and Lead because of their importance as fuel breeding and shielding materials in conceptual fusion reactor designs. Several sample thicknesses were studied to determine the multiple scattering effects. The observed gamma-ray spectra from each sample at several scattering angles in the angular range Oº - 90° enabled absolute differential gamma-ray production cross-sections and angular distributions of the resolved gamma-rays from Lithium to be measured and compared with published data. For the Lead sample, the absolute differential gamma-ray production cross-sections for discrete 1 MeV ranges and the angular distributions were measured. The measured angular distributions of the present work and those on Iron from previous work are compared to the predictions of the Monte Carlo programme M.O.R.S.E. Good agreement was obtained between the experimental results and the theoretical predictions. In addition an empirical relation has been constructed which describes the multiple scattering effects by a single parameter and is capable of predicting the gamma-ray production cross-sections for the materials to an accuracy of ± 25%.

Structure of liquid and glassy ZnCl2

The method of isotope substitution in neutron diffraction was used to measure the structure of liquid ZnCl2 at 332(5)?°C and glassy ZnCl2 at 25(1)?°C. The partial structure factors were obtained from the measured diffraction patterns by using the method of singular value decomposition and by using the reverse Monte Carlo procedure. The partial structure factors reproduce the diffraction patterns measured by high-energy x-ray diffraction once a correction for the resolution function of the neutron diffractometer has been made. The results show that the predominant structural motif in both phases is the corner sharing ZnCl4 tetrahedron and that there is a small number of edge-sharing configurations, these being more abundant in the liquid. The tetrahedra organize on an intermediate length scale to give a first sharp diffraction peak in the measured diffraction patterns at a scattering vector kFSDP?1 Å-1 that is most prominent for the Zn-Zn correlations. The results support the notion that the relative fragility of tetrahedral glass forming MX2 liquids is related to the occurrence of edge-sharing units.

Reentrant condensation of proteins in solution induced by multivalent counterions

Negatively charged globular proteins in solution undergo a condensation upon adding trivalent counterions between two critical concentrations C* and C**, C*ray scattering indicates a short-ranged attraction between counterion-bound proteins near C* and C**. Monte Carlo simulations (under these strong electrostatic coupling conditions) support an effective inversion of charge on surface side chains through binding of the multivalent counterions.