Multitask learning with expert advice

We consider the problem of prediction with expert advice in the setting where a forecaster is presented with several online prediction tasks. Instead of competing against the best expert separately on each task, we assume the tasks are related, and thus we expect that a few experts will perform well on the entire set of tasks. That is, our forecaster would like, on each task, to compete against the best expert chosen from a small set of experts. While we describe the "ideal" algorithm and its performance bound, we show that the computation required for this algorithm is as hard as computation of a matrix permanent. We present an efficient algorithm based on mixing priors, and prove a bound that is nearly as good for the sequential task presentation case. We also consider a harder case where the task may change arbitrarily from round to round, and we develop an efficient approximate randomized algorithm based on Markov chain Monte Carlo techniques.

A semi-analytical particle filter for identification of nonlinear oscillators

Particle filters find important applications in the problems of state and parameter estimations of dynamical systems of engineering interest. Since a typical filtering algorithm involves Monte Carlo simulations of the process equations, sample variance of the estimator is inversely proportional to the number of particles. The sample variance may be reduced if one uses a Rao-Blackwell marginalization of states and performs analytical computations as much as possible. In this work, we propose a semi-analytical particle filter, requiring no Rao-Blackwell marginalization, for state and parameter estimations of nonlinear dynamical systems with additively Gaussian process/observation noises. Through local linearizations of the nonlinear drift fields in the process/observation equations via explicit Ito-Taylor expansions, the given nonlinear system is transformed into an ensemble of locally linearized systems. Using the most recent observation, conditionally Gaussian posterior density functions of the linearized systems are analytically obtained through the Kalman filter. This information is further exploited within the particle filter algorithm for obtaining samples from the optimal posterior density of the states. The potential of the method in state/parameter estimations is demonstrated through numerical illustrations for a few nonlinear oscillators. The proposed filter is found to yield estimates with reduced sample variance and improved accuracy vis-a-vis results from a form of sequential importance sampling filter.

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.

Models and algorithms for detection and tracking of coordinated groups

In this paper, we describe models and algorithms for detection and tracking of group and individual targets. We develop two novel group dynamical models, within a continuous time setting, that aim to mimic behavioural properties of groups. We also describe two possible ways of modeling interactions between closely using Markov Random Field (MRF) and repulsive forces. These can be combined together with a group structure transition model to create realistic evolving group models. We use a Markov Chain Monte Carlo (MCMC)-Particles Algorithm to perform sequential inference. Computer simulations demonstrate the ability of the algorithm to detect and track targets within groups, as well as infer the correct group structure over time. ©2008 IEEE.

Experimental study of two-proton correlated emission from S-29 excited states

An experiment of a S-29 beam bombarding a Au-197 target at an energy of 49.2 MeV/u has been performed to study the two-proton correlated emission from S-29 excited states. Complete-kinematics measurements were carried out in the experiment. The relative momentum, opening angle, and relative energy of two protons, as well as the invariant mass of the final system, were deduced by relativistic-kinematics reconstruction. The Si-27-p-p coincident events were picked out under strict conditions and the phenomenon of p-p correlations was observed among these events. The mechanisms of two-proton emission were analyzed in a simple schematic model, in which the extreme decay modes like He-2 cluster emission, three-body phase-space decay, and two-body sequential emission were taken into account. Associated with the Monte Carlo simulations, the present results show that two protons emitted from the excited states between 9.6 MeV and 10.4 MeV exhibit the features of He-2 cluster decay with a branching ratio of 29(-11)(+10)%.

Investigation of two-proton emission from excited states of the odd-Z nucleus P-28 by complete-kinematics measurements

An experiment to study exotic two-proton emission from excited levels of the odd-Z nucleus P-28 was performed at the National Laboratory of Heavy Ion Research-Radioactive Ion Beam Line (HIRFL-RIBLL) facility. The projectile P-28 at the energy of 46.5 MeV/u was bombarding a Au-197 target to populate the excited states via Coulomb excitation. Complete-kinematics measurements were realized by the array of silicon strip detectors and the CsI + PIN telescope. Two-proton events were selected and the relativistic-kinematics reconstruction was carried out. The spectrum of relative momentum and opening angle between two protons was deduced from Monte Carlo simulations. Experimental results show that two-proton emission from P-28 excited states less than 17.0 MeV is mainly two-body sequential emission or three-body simultaneous decay in phase space. The present simulations cannot distinguish these two decay modes. No obvious diproton emission was found.

Locational distribution of gene functional classes in Arabidopsis thaliana

Riley, M. C., Clare, A., King, R. D. (2007). Locational distribution of gene functional classes in Arabidopsis thaliana. BMC Bioinformatics 8, Article No: 112 Sponsorship: EPSRC / RAEng

Adaptive Mixture Modelling Metropolis Methods for Bayesian Analysis of Non-linear State-Space Models.

We describe a strategy for Markov chain Monte Carlo analysis of non-linear, non-Gaussian state-space models involving batch analysis for inference on dynamic, latent state variables and fixed model parameters. The key innovation is a Metropolis-Hastings method for the time series of state variables based on sequential approximation of filtering and smoothing densities using normal mixtures. These mixtures are propagated through the non-linearities using an accurate, local mixture approximation method, and we use a regenerating procedure to deal with potential degeneracy of mixture components. This provides accurate, direct approximations to sequential filtering and retrospective smoothing distributions, and hence a useful construction of global Metropolis proposal distributions for simulation of posteriors for the set of states. This analysis is embedded within a Gibbs sampler to include uncertain fixed parameters. We give an example motivated by an application in systems biology. Supplemental materials provide an example based on a stochastic volatility model as well as MATLAB code.

Three-stage contingent screening for down syndrome

Objective To demonstrate the potential value of three-stage sequential screening for Down syndrome. Methods Protocols were considered in which maternal serum pregnancy associated plasma protein-A (PAPP-A) and free -human chorionic gonadotropin (hCG) measurements were taken on all women in the first trimester. Those women with very low Down syndrome risks were screened negative at that stage and nuchal translucency (NT) was measured on the remainder and the risk reassessed. Those with very low risk were then screened negative and those with very high risk were offered early diagnostic testing. Those with intermediate risks received second-trimester maternal serum -fetoprotein, free -hCG, unconjugated estriol and inhibin-A. Risk was then reassessed and those with high risk were offered diagnosis. Detection rates and false-positive rates were estimated by multivariate Gaussian modelling using Monte-Carlo simulation. Results The modelling suggests that, with full adherence to a three-stage policy, overall detection rates of nearly 90% and false-positive rates below 2.0% can be achieved. Approximately two-thirds of pregnancies are screened on the basis of first-trimester biochemistry alone, five out of six women complete their screening in the first trimester, and the first-trimester detection rate is over 60%. Conclusion Three-stage contingent sequential screening is potentially highly effective for Down syndrome screening. The acceptability of this protocol and its performance in practice, should be tested in prospective studies. Copyright © 2006 John Wiley & Sons, Ltd.

Uso estratégico de la deuda: un estudio a nivel de empresa para colombia 1995-2003

El presente trabajo intenta estimar si las empresas emplean estratégicamente la deuda para limitar la entrada de potenciales rivales. Mediante la metodología de Método Generalizado de Momentos (GMM) se evalúa el efecto que tienen los activos específicos, la cuota de mercado y el tamaño, como proxies de las rentas del mercado, y las barreras de entrada sobre los niveles de endeudamiento, a nivel de empresa para Colombia, durante 1995-2003. Se encuentra que las empresas utilizan los activos específicos para limitar la entrada al mercado y que el endeudamiento decrece a medida que las empresas aumentan su cuota en el mercado

Adaptive approximate Bayesian computation

Sequential techniques can enhance the efficiency of the approximate Bayesian computation algorithm, as in Sisson et al.'s (2007) partial rejection control version. While this method is based upon the theoretical works of Del Moral et al. (2006), the application to approximate Bayesian computation results in a bias in the approximation to the posterior. An alternative version based on genuine importance sampling arguments bypasses this difficulty, in connection with the population Monte Carlo method of Cappe et al. (2004), and it includes an automatic scaling of the forward kernel. When applied to a population genetics example, it compares favourably with two other versions of the approximate algorithm.

Pooled unit root tests in panels with a common factor

This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters and that they are unbiased against heterogenous local alternatives. Our Monte Carlo results indicate that the tests perform well in comparison to other popular tests that also presumes a common factor structure for the cross-sectional dependence.

A panel data approach to economic forecasting: the bias-corrected average forecast

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular, it is asymptotically equivalent to the conditional expectation, i.e., has an optimal limiting mean-squared error. We also develop a zeromean test for the average bias and discuss the forecast-combination puzzle in small and large samples. Monte-Carlo simulations are conducted to evaluate the performance of the feasible bias-corrected average forecast in finite samples. An empirical exercise based upon data from a well known survey is also presented. Overall, theoretical and empirical results show promise for the feasible bias-corrected average forecast.

A panel data approach to economic forecasting: the bias-corrected average forecast

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular it delivers a zero-limiting mean-squared error if the number of forecasts and the number of post-sample time periods is sufficiently large. We also develop a zero-mean test for the average bias. Monte-Carlo simulations are conducted to evaluate the performance of this new technique in finite samples. An empirical exercise, based upon data from well known surveys is also presented. Overall, these results show promise for the bias-corrected average forecast.

A panel data approach to economic forecasting: the bias-corrected average forecast

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular, it is asymptotically equivalent to the conditional expectation, i.e., has an optimal limiting mean-squared error. We also develop a zeromean test for the average bias and discuss the forecast-combination puzzle in small and large samples. Monte-Carlo simulations are conducted to evaluate the performance of the feasible bias-corrected average forecast in finite samples. An empirical exercise, based upon data from a well known survey is also presented. Overall, these results show promise for the feasible bias-corrected average forecast.