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.

The subordinated processes controlled by a family of subordinators and corresponding Fokker-Planck type equations

In this work, we consider subordinated processes controlled by a family of subordinators which consist of a power function of a time variable and a negative power function of an α-stable random variable. The effect of parameters in the subordinators on the subordinated process is discussed. By suitable variable substitutions and the Laplace transform technique, the corresponding fractional Fokker–Planck-type equations are derived. We also compute their mean square displacements in a free force field. By choosing suitable ranges of parameters, the resulting subordinated processes may be subdiffusive, normal diffusive or superdiffusive

Methods for constructing uncertainty intervals for queries of Bayesian nets

In this paper the issue of finding uncertainty intervals for queries in a Bayesian Network is reconsidered. The investigation focuses on Bayesian Nets with discrete nodes and finite populations. An earlier asymptotic approach is compared with a simulation-based approach, together with further alternatives, one based on a single sample of the Bayesian Net of a particular finite population size, and another which uses expected population sizes together with exact probabilities. We conclude that a query of a Bayesian Net should be expressed as a probability embedded in an uncertainty interval. Based on an investigation of two Bayesian Net structures, the preferred method is the simulation method. However, both the single sample method and the expected sample size methods may be useful and are simpler to compute. Any method at all is more useful than none, when assessing a Bayesian Net under development, or when drawing conclusions from an ‘expert’ system.

A directed continuous time random walk model with jump length depending on waiting time

In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model, the Laplace-Laplace transform of the probability density function P(x,t) of finding the walker at position at time is completely determined by the Laplace transform of the probability density function φ(t) of the waiting time. In terms of the probability density function of the waiting time in the Laplace domain, the limit distribution of the random process and the corresponding evolving equations are derived.

Scheme of squares: Part I. Systems formalism for potentiostatic studies

The so-called “Scheme of Squares”, displaying an interconnectivity of heterogeneous electron transfer and homogeneous (e.g., proton transfer) reactions, is analysed. Explicit expressions for the various partial currents under potentiostatic conditions are given. The formalism is applicable to several electrode geometries and models (e.g., semi-infinite linear diffusion, rotating disk electrodes, spherical or cylindrical systems) and the analysis is exact. The steady-state (t→∞) expressions for the current are directly given in terms of constant matrices whereas the transients are obtained as Laplace transforms that need to be inverted by approximation of numerical methods. The methodology employs a systems approach which replaces a system of partial differential equations (governing the concentrations of the several electroactive species) by an equivalent set of difference equations obeyed by the various partial currents.

Two-dimensional heat conduction with phase change in a semi-infinite mould

Analytical solution of a 2-dimensional problem of solidification of a superheated liquid in a semi-infinite mould has been studied in this paper. On the boundary, the prescribed temperature is such that the solidification starts simultaneously at all points of the boundary. Results are also given for the 2-dimensional ablation problem. The solution of the heat conduction equation has been obtained in terms of multiple Laplace integrals involving suitable unknown fictitious initial temperatures. These fictitious initial temperatures have interesting physical interpretations. By choosing suitable series expansions for fictitious initial temperatures and moving interface boundary, the unknown quantities can be determined. Solidification thickness has been calculated for short time and effect of parameters on the solidification thickness has been shown with the help of graphs.

Time-dependent flows of rotating and stratified fluids in geometries with non-uniform cross-sections

Unsteady rotating and stratified flows in geometries with non-uniform cross-sections are investigated under Oseen approximation using Laplace transform technique. The solutions are obtained in closed form and they reveal that the flow remains oscillatory even after infinitely large time. The existence of inertial waves propagating in both positive and negative directions of the flow is observed. When the Rossby or Froude number is close to a certain infinite set of critical values the blocking and back flow occur and the flow pattern becomes more and more complicated with increasing number of stagnant zones when each critical value is crossed. The analogy that is observed in the solutions for rotating and stratified flows is also discussed.

Flow field and traverse times for fan forced injection of fumigant via circular or annular inlet into stored grain

Fan forced injection of phosphine gas fumigant into stored grain is a common method to treat infestation by insects. For low injection velocities the transport of fumigant can be modelled as Darcy flow in a porous medium where the gas pressure satisfies Laplace's equation. Using this approach, a closed form series solution is derived for the pressure, velocity and streamlines in a cylindrically stored grain bed with either a circular or annular inlet, from which traverse times are numerically computed. A leading order closed form expression for the traverse time is also obtained and found to be reasonable for inlet configurations close to the central axis of the grain storage. Results are interpreted for the case of a representative 6m high farm wheat store, where the time to advect the phosphine to almost the entire grain bed is found to be approximately one hour.

Beyond fractional derivatives: local approximation of other convolution integrals

Dynamic systems involving convolution integrals with decaying kernels, of which fractionally damped systems form a special case, are non-local in time and hence infinite dimensional. Straightforward numerical solution of such systems up to time t needs O(t(2)) computations owing to the repeated evaluation of integrals over intervals that grow like t. Finite-dimensional and local approximations are thus desirable. We present here an approximation method which first rewrites the evolution equation as a coupled in finite-dimensional system with no convolution, and then uses Galerkin approximation with finite elements to obtain linear, finite-dimensional, constant coefficient approximations for the convolution. This paper is a broad generalization, based on a new insight, of our prior work with fractional order derivatives (Singh & Chatterjee 2006 Nonlinear Dyn. 45, 183-206). In particular, the decaying kernels we can address are now generalized to the Laplace transforms of known functions; of these, the power law kernel of fractional order differentiation is a special case. The approximation can be refined easily. The local nature of the approximation allows numerical solution up to time t with O(t) computations. Examples with several different kernels show excellent performance. A key feature of our approach is that the dynamic system in which the convolution integral appears is itself approximated using another system, as distinct from numerically approximating just the solution for the given initial values; this allows non-standard uses of the approximation, e. g. in stability analyses.

A semi-analytical solution for multilayer diffusion in a composite medium consisting of a large number of layers

Diffusion in a composite slab consisting of a large number of layers provides an ideal prototype problem for developing and analysing two-scale modelling approaches for heterogeneous media. Numerous analytical techniques have been proposed for solving the transient diffusion equation in a one-dimensional composite slab consisting of an arbitrary number of layers. Most of these approaches, however, require the solution of a complex transcendental equation arising from a matrix determinant for the eigenvalues that is difficult to solve numerically for a large number of layers. To overcome this issue, in this paper, we present a semi-analytical method based on the Laplace transform and an orthogonal eigenfunction expansion. The proposed approach uses eigenvalues local to each layer that can be obtained either explicitly, or by solving simple transcendental equations. The semi-analytical solution is applicable to both perfect and imperfect contact at the interfaces between adjacent layers and either Dirichlet, Neumann or Robin boundary conditions at the ends of the slab. The solution approach is verified for several test cases and is shown to work well for a large number of layers. The work is concluded with an application to macroscopic modelling where the solution of a fine-scale multilayered medium consisting of two hundred layers is compared against an “up-scaled” variant of the same problem involving only ten layers.

Expected Performance of the ATLAS Experiment - Detector, Trigger and Physics

A detailed study is presented of the expected performance of the ATLAS detector. The reconstruction of tracks, leptons, photons, missing energy and jets is investigated, together with the performance of b-tagging and the trigger. The physics potential for a variety of interesting physics processes, within the Standard Model and beyond, is examined. The study comprises a series of notes based on simulations of the detector and physics processes, with particular emphasis given to the data expected from the first years of operation of the LHC at CERN.

Effect of impulsive change of wall velocity and wall temperature in viscous heat-conducting gas

A study of compression waves produced in a viscous heat-conducting gas by the impulsive start of a one-dimensional piston and by the inpulsive change of piston wall temperature is made using Laplace Transform Technique for Prandt1 number unity. Expressions for velocity, temperature and density have also been obtained using small-time expansion procedure in this case. For arbitrary Prandt1 number solutions have been developed using large-time expansion procedure. A number of graphs exhibiting the distribution of the fluid velocity, temperature and density have been drawn.

Application of D transforms in the analysis of nonlinear distributed parameter systems

The scope of application of Laplace transforms presently limited to the study of linear partial differential equations, is extended to the nonlinear domain by this study. This has been achieved by modifying the definition of D transforms, put forth recently for the study of classes of nonlinear lumped parameter systems. The appropriate properties of the new D transforms are presented to bring out their applicability in the analysis of nonlinear distributed parameter systems.

Paradigms in Statistical Inference for Finite Populations; Up to the 1950s

Modern sample surveys started to spread after statistician at the U.S. Bureau of the Census in the 1940s had developed a sampling design for the Current Population Survey (CPS). A significant factor was also that digital computers became available for statisticians. In the beginning of 1950s, the theory was documented in textbooks on survey sampling. This thesis is about the development of the statistical inference for sample surveys. For the first time the idea of statistical inference was enunciated by a French scientist, P. S. Laplace. In 1781, he published a plan for a partial investigation in which he determined the sample size needed to reach the desired accuracy in estimation. The plan was based on Laplace s Principle of Inverse Probability and on his derivation of the Central Limit Theorem. They were published in a memoir in 1774 which is one of the origins of statistical inference. Laplace s inference model was based on Bernoulli trials and binominal probabilities. He assumed that populations were changing constantly. It was depicted by assuming a priori distributions for parameters. Laplace s inference model dominated statistical thinking for a century. Sample selection in Laplace s investigations was purposive. In 1894 in the International Statistical Institute meeting, Norwegian Anders Kiaer presented the idea of the Representative Method to draw samples. Its idea was that the sample would be a miniature of the population. It is still prevailing. The virtues of random sampling were known but practical problems of sample selection and data collection hindered its use. Arhtur Bowley realized the potentials of Kiaer s method and in the beginning of the 20th century carried out several surveys in the UK. He also developed the theory of statistical inference for finite populations. It was based on Laplace s inference model. R. A. Fisher contributions in the 1920 s constitute a watershed in the statistical science He revolutionized the theory of statistics. In addition, he introduced a new statistical inference model which is still the prevailing paradigm. The essential idea is to draw repeatedly samples from the same population and the assumption that population parameters are constants. Fisher s theory did not include a priori probabilities. Jerzy Neyman adopted Fisher s inference model and applied it to finite populations with the difference that Neyman s inference model does not include any assumptions of the distributions of the study variables. Applying Fisher s fiducial argument he developed the theory for confidence intervals. Neyman s last contribution to survey sampling presented a theory for double sampling. This gave the central idea for statisticians at the U.S. Census Bureau to develop the complex survey design for the CPS. Important criterion was to have a method in which the costs of data collection were acceptable, and which provided approximately equal interviewer workloads, besides sufficient accuracy in estimation.

Solution of a Boundary-Value Problem associated with Diffraction of Water Waves by a Nearly Vertical Barrier

An exact solution is derived for a boundary-value problem for Laplace's equation which is a generalization of the one occurring in the course of solution of the problem of diffraction of surface water waves by a nearly vertical submerged barrier. The method of solution involves the use of complex function theory, the Schwarz reflection principle, and reduction to a system of two uncoupled Riemann-Hilbert problems. Known results, representing the reflection and transmission coefficients of the water wave problem involving a nearly vertical barrier, are derived in terms of the shape function.