PySSM : a Python module for Bayesian inference of linear Gaussian state space models

PySSM is a Python package that has been developed for the analysis of time series using linear Gaussian state space models (SSM). PySSM is easy to use; models can be set up quickly and efficiently and a variety of different settings are available to the user. It also takes advantage of scientific libraries Numpy and Scipy and other high level features of the Python language. PySSM is also used as a platform for interfacing between optimised and parallelised Fortran routines. These Fortran routines heavily utilise Basic Linear Algebra (BLAS) and Linear Algebra Package (LAPACK) functions for maximum performance. PySSM contains classes for filtering, classical smoothing as well as simulation smoothing.

On the diversity analysis of the sequential slotted amplify-decode-and-forward protocol

In this paper, we review the sequential slotted amplify-decode-and-forward (SADF) protocol with half-duplex single-antenna and evaluate its performance in terms of pairwise error probability (PEP). We obtain the PEP upper bound of the protocol and find out that the achievable diversity order of the protocol is two with arbitrary number of relay terminals. To achieve the maximum achievable diversity order, we propose a simple precoder that is easy to implement with any number of relay terminals and transmission slots. Simulation results show that the proposed precoder achieves the maximum achievable diversity order and has similar BER performance compared to some of the existing precoders.

Sequential slotted amplify-and-forward with partial relay isolation

In this paper, we propose a novel relay ordering and scheduling strategy for the sequential slotted amplify-and-forward (SAF) protocol and evaluate its performance in terms of diversity-multiplexing trade-off (DMT). The relays between the source and destination are grouped into two relay clusters based on their respective locations. The proposed strategy achieves partial relay isolation and decreases the decoding complexity at the destination. We show that the DMT upper bound of sequential-SAF with the proposed strategy outperforms other amplify and forward protocols and is more practical compared to the relay isolation assumption made in the original paper [1]. Simulation result shows that the sequential-SAF protocol with the proposed strategy has better outage performance compared to the existing AF and non-cooperative protocols in high SNR regime.

Sequential slotted amplify-decode-and-forward

In this paper, we propose a novel slotted hybrid cooperative protocol named the sequential slotted amplify-decodeand-forward (SADF) protocol and evaluate its performance in terms of diversity-multiplexing trade-off (DMT). The relays between the source and destination are divided into two different groups and each relay either amplifies or decodes the received signal. We first compute the optimal DMT of the proposed protocol with the assumption of perfect decoding at the DF relays. We then derive the DMT closed-form expression of the proposed sequential-SADF and obtain the proximity gain bound for achieving the optimal DMT. With the proximity gain bound, we then found the distance ratio to achieve the optimal DMT performance. Simulation result shows that the proposed protocol with high proximity gain outperforms other cooperative communication protocols in high SNR regime.

Mechanism based emulation of dynamic simulation models : concept and application in hydrology

Many model-based investigation techniques, such as sensitivity analysis, optimization, and statistical inference, require a large number of model evaluations to be performed at different input and/or parameter values. This limits the application of these techniques to models that can be implemented in computationally efficient computer codes. Emulators, by providing efficient interpolation between outputs of deterministic simulation models, can considerably extend the field of applicability of such computationally demanding techniques. So far, the dominant techniques for developing emulators have been priors in the form of Gaussian stochastic processes (GASP) that were conditioned with a design data set of inputs and corresponding model outputs. In the context of dynamic models, this approach has two essential disadvantages: (i) these emulators do not consider our knowledge of the structure of the model, and (ii) they run into numerical difficulties if there are a large number of closely spaced input points as is often the case in the time dimension of dynamic models. To address both of these problems, a new concept of developing emulators for dynamic models is proposed. This concept is based on a prior that combines a simplified linear state space model of the temporal evolution of the dynamic model with Gaussian stochastic processes for the innovation terms as functions of model parameters and/or inputs. These innovation terms are intended to correct the error of the linear model at each output step. Conditioning this prior to the design data set is done by Kalman smoothing. This leads to an efficient emulator that, due to the consideration of our knowledge about dominant mechanisms built into the simulation model, can be expected to outperform purely statistical emulators at least in cases in which the design data set is small. The feasibility and potential difficulties of the proposed approach are demonstrated by the application to a simple hydrological model.

STI-GMaS : an open-source environment for simulation of sexually-transmitted infections

Background Sexually-transmitted pathogens often have severe reproductive health implications if treatment is delayed or absent, especially in females. The complex processes of disease progression, namely replication and ascension of the infection through the genital tract, span both extracellular and intracellular physiological scales, and in females can vary over the distinct phases of the menstrual cycle. The complexity of these processes, coupled with the common impossibility of obtaining comprehensive and sequential clinical data from individual human patients, makes mathematical and computational modelling valuable tools in developing our understanding of the infection, with a view to identifying new interventions. While many within-host models of sexually-transmitted infections (STIs) are available in existing literature, these models are difficult to deploy in clinical/experimental settings since simulations often require complex computational approaches. Results We present STI-GMaS (Sexually-Transmitted Infections – Graphical Modelling and Simulation), an environment for simulation of STI models, with a view to stimulating the uptake of these models within the laboratory or clinic. The software currently focuses upon the representative case-study of Chlamydia trachomatis, the most common sexually-transmitted bacterial pathogen of humans. Here, we demonstrate the use of a hybrid PDE–cellular automata model for simulation of a hypothetical Chlamydia vaccination, demonstrating the effect of a vaccine-induced antibody in preventing the infection from ascending to above the cervix. This example illustrates the ease with which existing models can be adapted to describe new studies, and its careful parameterisation within STI-GMaS facilitates future tuning to experimental data as they arise. Conclusions STI-GMaS represents the first software designed explicitly for in-silico simulation of STI models by non-theoreticians, thus presenting a novel route to bridging the gap between computational and clinical/experimental disciplines. With the propensity for model reuse and extension, there is much scope within STI-GMaS to allow clinical and experimental studies to inform model inputs and drive future model development. Many of the modelling paradigms and software design principles deployed to date transfer readily to other STIs, both bacterial and viral; forthcoming releases of STI-GMaS will extend the software to incorporate a more diverse range of infections.

A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design

A computationally efficient sequential Monte Carlo algorithm is proposed for the sequential design of experiments for the collection of block data described by mixed effects models. The difficulty in applying a sequential Monte Carlo algorithm in such settings is the need to evaluate the observed data likelihood, which is typically intractable for all but linear Gaussian models. To overcome this difficulty, we propose to unbiasedly estimate the likelihood, and perform inference and make decisions based on an exact-approximate algorithm. Two estimates are proposed: using Quasi Monte Carlo methods and using the Laplace approximation with importance sampling. Both of these approaches can be computationally expensive, so we propose exploiting parallel computational architectures to ensure designs can be derived in a timely manner. We also extend our approach to allow for model uncertainty. This research is motivated by important pharmacological studies related to the treatment of critically ill patients.

An efficient DSE using conditional multivariate complex Gaussian distribution

This paper presents an efficient noniterative method for distribution state estimation using conditional multivariate complex Gaussian distribution (CMCGD). In the proposed method, the mean and standard deviation (SD) of the state variables is obtained in one step considering load uncertainties, measurement errors, and load correlations. In this method, first the bus voltages, branch currents, and injection currents are represented by MCGD using direct load flow and a linear transformation. Then, the mean and SD of bus voltages, or other states, are calculated using CMCGD and estimation of variance method. The mean and SD of pseudo measurements, as well as spatial correlations between pseudo measurements, are modeled based on the historical data for different levels of load duration curve. The proposed method can handle load uncertainties without using time-consuming approaches such as Monte Carlo. Simulation results of two case studies, six-bus, and a realistic 747-bus distribution network show the effectiveness of the proposed method in terms of speed, accuracy, and quality against the conventional approach.

Criteria for working-correlation-structure selection in GEE: Assessment via simulation

Efficiency of analysis using generalized estimation equations is enhanced when intracluster correlation structure is accurately modeled. We compare two existing criteria (a quasi-likelihood information criterion, and the Rotnitzky-Jewell criterion) to identify the true correlation structure via simulations with Gaussian or binomial response, covariates varying at cluster or observation level, and exchangeable or AR(l) intracluster correlation structure. Rotnitzky and Jewell's approach performs better when the true intracluster correlation structure is exchangeable, while the quasi-likelihood criteria performs better for an AR(l) structure.

Sequential allocation in clinical trials

Suppose two treatments with binary responses are available for patients with some disease and that each patient will receive one of the two treatments. In this paper we consider the interests of patients both within and outside a trial using a Bayesian bandit approach and conclude that equal allocation is not appropriate for either group of patients. It is suggested that Gittins indices should be used (using an approach called dynamic discounting by choosing the discount rate based on the number of future patients in the trial) if the disease is rare, and the least failures rule if the disease is common. Some analytical and simulation results are provided.

Decentralized sequential change detection using physical layer fusion

We study the problem of decentralized sequential change detection with conditionally independent observations. The sensors form a star topology with a central node called fusion center as the hub. The sensors transmit a simple function of their observations in an analog fashion over a wireless Gaussian multiple access channel and operate under either a power constraint or an energy constraint. Simulations demonstrate that the proposed techniques have lower detection delays when compared with existing schemes. Moreover we demonstrate that the energy-constrained formulation enables better use of the total available energy than a power-constrained formulation.

Direct numerical simulation of autoignition in a non-premixed, turbulent medium

In this paper, direct numerical simulation of autoignition in an initially non-premixed medium under isotropic, homogeneous, and decaying turbulence is presented. The pressure-based method developed herein is a spectral implementation of the sequential steps followed in the predictor-corrector type of algorithms; it includes the effects of density fluctuations caused by spatial inhomogeneities ill temperature and species. The velocity and pressure field are solved in the spectral space while the scalars and density field are solved in the physical space. The presented results reveal that the autoignition spots originate and evolve at locations where (1) the composition corresponds to a small range around a specific mixture fraction, and (2) the conditional scaler dissipation rate is low. A careful examination of the data obtained indicates that the autoignition spots originate in the vortex cores, and the hot gases travel outward as combustion progresses. Hence, the applicability of the transient laminar flamelet model for this problem is questioned. The dependence of autoignition characteristics on parameters such as (1) die initial eddy-turnover time and (2) the initial ratio of length scale of scalars to that of velocities are investigated. Certain implications of new results on the conditional moment closure modeling are discussed.

Translational and rotational motion in molecular liquids: A computer simulation study of Lennard-Jones ellipsoids

In order to understand the translational and rotational motion in dense molecular liquids, detailed molecular dynamics simulations of Lennard-Jones ellipsoids have been carried out for three different values of the aspect ratio kappa. For ellipsoids with an aspect ratio equal to 2, the product of the translational diffusion coefficient (D-T) and the average orientational correlation time of the l-th rank harmonics (tau(lR)), converges to a nearly constant value at high density. Surprisingly, this density independent value of D-T tau(lR) is within 5% of the hydrodynamic prediction with the slip boundary condition. This is despite the fact that both D-T and tau(lR) themselves change nearly by an order of magnitude in the density range considered, and the rotational correlation function itself is strongly nonexponential. For small aspect ratios (kappa less than or equal to 1.5), the rotational correlation function remains largely Gaussian even at a very large density, while for a large aspect ratio (kappa greater than or equal to 3), the transition to the nematic liquid-crystalline phase precludes the hydrodynamic regime. Thus, the rotational dynamics of ellipsoids show great sensitivity to the aspect ratio. At low density, tau(lR) goes through a minimum value, indicating the role of interactions in enhancing the rate of orientational relaxation. (C) 1997 American Institute of Physics. [S0021-9606(97)50142-5].

Optimizing Delay in Sequential Change Detection on Ad Hoc Wireless Sensor Networks

We consider the classical problem of sequential detection of change in a distribution (from hypothesis 0 to hypothesis 1), where the fusion centre receives vectors of periodic measurements, with the measurements being i.i.d. over time and across the vector components, under each of the two hypotheses. In our problem, the sensor devices ("motes") that generate the measurements constitute an ad hoc wireless network. The motes contend using a random access protocol (such as CSMA/CA) to transmit their measurement packets to the fusion centre. The fusion centre waits for vectors of measurements to accumulate before taking decisions. We formulate the optimal detection problem, taking into account the network delay experienced by the vectors of measurements, and find that, under periodic sampling, the detection delay decouples into network delay and decision delay. We obtain a lower bound on the network delay, and propose a censoring scheme, where lagging sensors drop their delayed observations in order to mitigate network delay. We show that this scheme can achieve the lower bound. This approach is explored via simulation. We also use numerical evaluation and simulation to study issues such as: the optimal sampling rate for a given number of sensors, and the optimal number of sensors for a given measurement rate

Nonlinear dynamic state estimation in instrumented structures with conditionally linear Gaussian substructures

Many problems of state estimation in structural dynamics permit a partitioning of system states into nonlinear and conditionally linear substructures. This enables a part of the problem to be solved exactly, using the Kalman filter, and the remainder using Monte Carlo simulations. The present study develops an algorithm that combines sequential importance sampling based particle filtering with Kalman filtering to a fairly general form of process equations and demonstrates the application of a substructuring scheme to problems of hidden state estimation in structures with local nonlinearities, response sensitivity model updating in nonlinear systems, and characterization of residual displacements in instrumented inelastic structures. The paper also theoretically demonstrates that the sampling variance associated with the substructuring scheme used does not exceed the sampling variance corresponding to the Monte Carlo filtering without substructuring. (C) 2012 Elsevier Ltd. All rights reserved.