Bayesian inference for wind field retrieval

In many problems in spatial statistics it is necessary to infer a global problem solution by combining local models. A principled approach to this problem is to develop a global probabilistic model for the relationships between local variables and to use this as the prior in a Bayesian inference procedure. We show how a Gaussian process with hyper-parameters estimated from Numerical Weather Prediction Models yields meteorologically convincing wind fields. We use neural networks to make local estimates of wind vector probabilities. The resulting inference problem cannot be solved analytically, but Markov Chain Monte Carlo methods allow us to retrieve accurate wind fields.

The Beginning of the End of the Road? Britain and the European Council Meeting, 8-9 December 2011

What will the outcome of last week’s EU summit mean for the future of the UK’s position within the Union? According to Dr. Simon Green, Professor of Politics at Aston University, UK, it could spell disaster for Britain in the single market of the EU. In his essay entitled The Beginning of the End of the Road? Britain and the European Council meeting, 8/9 December 2011, originally published in Aston University’s Aston Centre for Europe blog, Dr. Green explains that Prime Minster David Cameron’s decision to exclude the UK from the EU’s new intergovernmental pact will alienate the UK from the Union more than ever before.

Efficient Bayesian inference for learning in the Ising linear perceptron and signal detection in CDMA

Efficient new Bayesian inference technique is employed for studying critical properties of the Ising linear perceptron and for signal detection in code division multiple access (CDMA). The approach is based on a recently introduced message passing technique for densely connected systems. Here we study both critical and non-critical regimes. Results obtained in the non-critical regime give rise to a highly efficient signal detection algorithm in the context of CDMA; while in the critical regime one observes a first-order transition line that ends in a continuous phase transition point. Finite size effects are also studied. © 2006 Elsevier B.V. All rights reserved.

Improved message passing for inference in densely connected systems

An improved inference method for densely connected systems is presented. The approach is based on passing condensed messages between variables, representing macroscopic averages of microscopic messages. We extend previous work that showed promising results in cases where the solution space is contiguous to cases where fragmentation occurs. We apply the method to the signal detection problem of Code Division Multiple Access (CDMA) for demonstrating its potential. A highly efficient practical algorithm is also derived on the basis of insight gained from the analysis. © EDP Sciences.

Bayesian inference for wind field retrieval

In many problems in spatial statistics it is necessary to infer a global problem solution by combining local models. A principled approach to this problem is to develop a global probabilistic model for the relationships between local variables and to use this as the prior in a Bayesian inference procedure. We show how a Gaussian process with hyper-parameters estimated from Numerical Weather Prediction Models yields meteorologically convincing wind fields. We use neural networks to make local estimates of wind vector probabilities. The resulting inference problem cannot be solved analytically, but Markov Chain Monte Carlo methods allow us to retrieve accurate wind fields.

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.

A basis function approach to Bayesian inference in diffusion processes

In this paper, we present a framework for Bayesian inference in continuous-time diffusion processes. The new method is directly related to the recently proposed variational Gaussian Process approximation (VGPA) approach to Bayesian smoothing of partially observed diffusions. By adopting a basis function expansion (BF-VGPA), both the time-dependent control parameters of the approximate GP process and its moment equations are projected onto a lower-dimensional subspace. This allows us both to reduce the computational complexity and to eliminate the time discretisation used in the previous algorithm. The new algorithm is tested on an Ornstein-Uhlenbeck process. Our preliminary results show that BF-VGPA algorithm provides a reasonably accurate state estimation using a small number of basis functions.

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 inference for Student-t MLP models

This paper presents a novel methodology to infer parameters of probabilistic models whose output noise is a Student-t distribution. The method is an extension of earlier work for models that are linear in parameters to nonlinear multi-layer perceptrons (MLPs). We used an EM algorithm combined with variational approximation, the evidence procedure, and an optimisation algorithm. The technique was tested on two regression applications. The first one is a synthetic dataset and the second is gas forward contract prices data from the UK energy market. The results showed that forecasting accuracy is significantly improved by using Student-t noise models.

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

Inference and optimization of real edges on sparse graphs:A statistical physics perspective

Inference and optimization of real-value edge variables in sparse graphs are studied using the Bethe approximation and replica method of statistical physics. Equilibrium states of general energy functions involving a large set of real edge variables that interact at the network nodes are obtained in various cases. When applied to the representative problem of network resource allocation, efficient distributed algorithms are also devised. Scaling properties with respect to the network connectivity and the resource availability are found, and links to probabilistic Bayesian approximation methods are established. Different cost measures are considered and algorithmic solutions in the various cases are devised and examined numerically. Simulation results are in full agreement with the theory. © 2007 The American Physical Society.

Inference by replication in densely connected systems

An efficient Bayesian inference method for problems that can be mapped onto dense graphs is presented. The approach is based on message passing where messages are averaged over a large number of replicated variable systems exposed to the same evidential nodes. An assumption about the symmetry of the solutions is required for carrying out the averages; here we extend the previous derivation based on a replica-symmetric- (RS)-like structure to include a more complex one-step replica-symmetry-breaking-like (1RSB-like) ansatz. To demonstrate the potential of the approach it is employed for studying critical properties of the Ising linear perceptron and for multiuser detection in code division multiple access (CDMA) under different noise models. Results obtained under the RS assumption in the noncritical regime give rise to a highly efficient signal detection algorithm in the context of CDMA; while in the critical regime one observes a first-order transition line that ends in a continuous phase transition point. Finite size effects are also observed. While the 1RSB ansatz is not required for the original problems, it was applied to the CDMA signal detection problem with a more complex noise model that exhibits RSB behavior, resulting in an improvement in performance. © 2007 The American Physical Society.

Inference by belief propagation in composite systems

We devise a message passing algorithm for probabilistic inference in composite systems, consisting of a large number of variables, that exhibit weak random interactions among all variables and strong interactions with a small subset of randomly chosen variables; the relative strength of the two interactions is controlled by a free parameter. We examine the performance of the algorithm numerically on a number of systems of this type for varying mixing parameter values.

A new variational radial basis function approximation for inference in multivariate diffusions

In this paper we present a radial basis function based extension to a recently proposed variational algorithm for approximate inference for diffusion processes. Inference, for state and in particular (hyper-) parameters, in diffusion processes is a challenging and crucial task. We show that the new radial basis function approximation based algorithm converges to the original algorithm and has beneficial characteristics when estimating (hyper-)parameters. We validate our new approach on a nonlinear double well potential dynamical system.