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.

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.

A sequential Monte Carlo approach to the sequential design for discriminating between rival continuous data models

Here we present a sequential Monte Carlo approach to Bayesian sequential design for the incorporation of model uncertainty. The methodology is demonstrated through the development and implementation of two model discrimination utilities; mutual information and total separation, but it can also be applied more generally if one has different experimental aims. A sequential Monte Carlo algorithm is run for each rival model (in parallel), and provides a convenient estimate of the marginal likelihood (of each model) given the data, which can be used for model comparison and in the evaluation of utility functions. A major benefit of this approach is that it requires very little problem specific tuning and is also computationally efficient when compared to full Markov chain Monte Carlo approaches. This research is motivated by applications in drug development and chemical engineering.

Transdimensional sequential Monte Carlo using variational Bayes — SMCVB

A new transdimensional Sequential Monte Carlo (SMC) algorithm called SM- CVB is proposed. In an SMC approach, a weighted sample of particles is generated from a sequence of probability distributions which ‘converge’ to the target distribution of interest, in this case a Bayesian posterior distri- bution. The approach is based on the use of variational Bayes to propose new particles at each iteration of the SMCVB algorithm in order to target the posterior more efficiently. The variational-Bayes-generated proposals are not limited to a fixed dimension. This means that the weighted particle sets that arise can have varying dimensions thereby allowing us the option to also estimate an appropriate dimension for the model. This novel algorithm is outlined within the context of finite mixture model estimation. This pro- vides a less computationally demanding alternative to using reversible jump Markov chain Monte Carlo kernels within an SMC approach. We illustrate these ideas in a simulated data analysis and in applications.

Identificação de danos estruturais via método de Monte Carlo com cadeias de Markov

O presente trabalho apresenta um estudo referente à aplicação da abordagem Bayesiana como técnica de solução do problema inverso de identificação de danos estruturais, onde a integridade da estrutura é continuamente descrita por um parâmetro estrutural denominado parâmetro de coesão. A estrutura escolhida para análise é uma viga simplesmente apoiada do tipo Euler-Bernoulli. A identificação de danos é baseada em alterações na resposta impulsiva da estrutura, provocadas pela presença dos mesmos. O problema direto é resolvido através do Método de Elementos Finitos (MEF), que, por sua vez, é parametrizado pelo parâmetro de coesão da estrutura. O problema de identificação de danos é formulado como um problema inverso, cuja solução, do ponto de vista Bayesiano, é uma distribuição de probabilidade a posteriori para cada parâmetro de coesão da estrutura, obtida utilizando-se a metodologia de amostragem de Monte Carlo com Cadeia de Markov. As incertezas inerentes aos dados medidos serão contempladas na função de verossimilhança. Três estratégias de solução são apresentadas. Na Estratégia 1, os parâmetros de coesão da estrutura são amostrados de funções densidade de probabilidade a posteriori que possuem o mesmo desvio padrão. Na Estratégia 2, após uma análise prévia do processo de identificação de danos, determina-se regiões da viga potencialmente danificadas e os parâmetros de coesão associados à essas regiões são amostrados a partir de funções de densidade de probabilidade a posteriori que possuem desvios diferenciados. Na Estratégia 3, após uma análise prévia do processo de identificação de danos, apenas os parâmetros associados às regiões identificadas como potencialmente danificadas são atualizados. Um conjunto de resultados numéricos é apresentado levando-se em consideração diferentes níveis de ruído para as três estratégias de solução apresentadas.

Population Monte Carlo Algorithm in High Dimensions

The population Monte Carlo algorithm is an iterative importance sampling scheme for solving static problems. We examine the population Monte Carlo algorithm in a simplified setting, a single step of the general algorithm, and study a fundamental problem that occurs in applying importance sampling to high-dimensional problem. The precision of the computed estimate from the simplified setting is measured by the asymptotic variance of estimate under conditions on the importance function. We demonstrate the exponential growth of the asymptotic variance with the dimension and show that the optimal covariance matrix for the importance function can be estimated in special cases.

Monte Carlo approaches to nonlinear optimal control

This paper explores the use of Monte Carlo techniques in deterministic nonlinear optimal control. Inter-dimensional population Markov Chain Monte Carlo (MCMC) techniques are proposed to solve the nonlinear optimal control problem. The linear quadratic and Acrobot problems are studied to demonstrate the successful application of the relevant techniques.

Monte Carlo-Based Bayesian group object tracking and causal reasoning

We present algorithms for tracking and reasoning of local traits in the subsystem level based on the observed emergent behavior of multiple coordinated groups in potentially cluttered environments. Our proposed Bayesian inference schemes, which are primarily based on (Markov chain) Monte Carlo sequential methods, include: 1) an evolving network-based multiple object tracking algorithm that is capable of categorizing objects into groups, 2) a multiple cluster tracking algorithm for dealing with prohibitively large number of objects, and 3) a causality inference framework for identifying dominant agents based exclusively on their observed trajectories.We use these as building blocks for developing a unified tracking and behavioral reasoning paradigm. Both synthetic and realistic examples are provided for demonstrating the derived concepts. © 2013 Springer-Verlag Berlin Heidelberg.

Linear gaussian computations for near-exact Bayesian Monte Carlo inference in skewed alpha-stable time series models

In this paper we study parameter estimation for time series with asymmetric α-stable innovations. The proposed methods use a Poisson sum series representation (PSSR) for the asymmetric α-stable noise to express the process in a conditionally Gaussian framework. That allows us to implement Bayesian parameter estimation using Markov chain Monte Carlo (MCMC) methods. We further enhance the series representation by introducing a novel approximation of the series residual terms in which we are able to characterise the mean and variance of the approximation. Simulations illustrate the proposed framework applied to linear time series, estimating the model parameter values and model order P for an autoregressive (AR(P)) model driven by asymmetric α-stable innovations. © 2012 IEEE.

A Monte Carlo expectation maximisation algorithm for multiple target tracking

In this paper, we present an expectation-maximisation (EM) algorithm for maximum likelihood estimation in multiple target models (MTT) with Gaussian linear state-space dynamics. We show that estimation of sufficient statistics for EM in a single Gaussian linear state-space model can be extended to the MTT case along with a Monte Carlo approximation for inference of unknown associations of targets. The stochastic approximation EM algorithm that we present here can be used along with any Monte Carlo method which has been developed for tracking in MTT models, such as Markov chain Monte Carlo and sequential Monte Carlo methods. We demonstrate the performance of the algorithm with a simulation. © 2012 ISIF (Intl Society of Information Fusi).

Bayesian inference and learning in Gaussian process state-space models with Particle MCMC

State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference and learning (i.e. state estimation and system identification) in nonlinear nonparametric state-space models. We place a Gaussian process prior over the state transition dynamics, resulting in a flexible model able to capture complex dynamical phenomena. To enable efficient inference, we marginalize over the transition dynamics function and, instead, infer directly the joint smoothing distribution using specially tailored Particle Markov Chain Monte Carlo samplers. Once a sample from the smoothing distribution is computed, the state transition predictive distribution can be formulated analytically. Our approach preserves the full nonparametric expressivity of the model and can make use of sparse Gaussian processes to greatly reduce computational complexity.

Monte Carlo numerical treatment of large linear algebra problems

In this paper we deal with performance analysis of Monte Carlo algorithm for large linear algebra problems. We consider applicability and efficiency of the Markov chain Monte Carlo for large problems, i.e., problems involving matrices with a number of non-zero elements ranging between one million and one billion. We are concentrating on analysis of the almost Optimal Monte Carlo (MAO) algorithm for evaluating bilinear forms of matrix powers since they form the so-called Krylov subspaces. Results are presented comparing the performance of the Robust and Non-robust Monte Carlo algorithms. The algorithms are tested on large dense matrices as well as on large unstructured sparse matrices.

Bayesian parameter estimation for latent Markov random fields and social networks

Undirected graphical models are widely used in statistics, physics and machine vision. However Bayesian parameter estimation for undirected models is extremely challenging, since evaluation of the posterior typically involves the calculation of an intractable normalising constant. This problem has received much attention, but very little of this has focussed on the important practical case where the data consists of noisy or incomplete observations of the underlying hidden structure. This paper specifically addresses this problem, comparing two alternative methodologies. In the first of these approaches particle Markov chain Monte Carlo (Andrieu et al., 2010) is used to efficiently explore the parameter space, combined with the exchange algorithm (Murray et al., 2006) for avoiding the calculation of the intractable normalising constant (a proof showing that this combination targets the correct distribution in found in a supplementary appendix online). This approach is compared with approximate Bayesian computation (Pritchard et al., 1999). Applications to estimating the parameters of Ising models and exponential random graphs from noisy data are presented. Each algorithm used in the paper targets an approximation to the true posterior due to the use of MCMC to simulate from the latent graphical model, in lieu of being able to do this exactly in general. The supplementary appendix also describes the nature of the resulting approximation.

Modelización econométrica a través de cadenas de Markov de Monte Carlo (MCMC) en valoración contingente

Doctorado en Análisis Económico. Programa en Análisis Económico Aplicado