Adaptive algorithms and Markov chain Monte Carlo methods

A Markov Chain Monte Carlo technique for parameter estimation and inference in pesticide fate and transport modeling

Appropriate models in biostatistics are often quite complicated. Such models are typically most easily fit using Bayesian methods, which can often be implemented using simulation techniques. Markov chain Monte Carlo (MCMC) methods are an important set of tools for such simulations. We give an overview and references of this rapidly emerging technology along with a relatively simple example. MCMC techniques can be viewed as extensions of iterative maximization techniques, but with random jumps rather than maximizations at each step. Special care is needed when implementing iterative maximization procedures rather than closed-form methods, and even more care is needed with iterative simulation procedures: it is substantially more difficult to monitor convergence to a distribution than to a point. The most reliable implementations of MCMC build upon results from simpler models fit using combinations of maximization algorithms and noniterative simulations, so that the user has a rough idea of the location and scale of the posterior distribution of the quantities of interest under the more complicated model. These concerns with implementation, however, should not deter the biostatistician from using MCMC methods, but rather help to ensure wise use of these powerful techniques.

The Ideal Observer (IO) performance has been advocated when optimizing medical imaging systems for signal detection tasks. However, analytical computation of the IO test statistic is generally intractable. To approximate the IO test statistic, sampling-based methods that employ Markov-Chain Monte Carlo (MCMC) techniques have been developed. However, current applications of MCMC techniques have been limited to several object models such as a lumpy object model and a binary texture model, and it remains unclear how MCMC methods can be implemented with other more sophisticated object models. Deep learning methods that employ generative adversarial networks (GANs) hold great promise to learn stochastic object models (SOMs) from image data. In this study, we described a method to approximate the IO by applying MCMC techniques to SOMs learned by use of GANs. The proposed method can be employed with arbitrary object models that can be learned by use of GANs, thereby the domain of applicability of MCMC techniques for approximating the IO performance is extended. In this study, both signal-known-exactly (SKE) and signal-known-statistically (SKS) binary signal detection tasks are considered. The IO performance computed by the proposed method is compared to that computed by the conventional MCMC method. The advantages of the proposed method are discussed.

This article estimates technical and allocative inefficiencies and increase in costs therefrom of individual firms using a translog cost system consisting of the cost function and the cost share equations. We call it a nonlinear random-effects system because technical and allocative inefficiencies are random (hence the term random effects) and are separated from the random noise terms appearing in each equation of the system, and because the inefficiency terms appear in the system in a highly nonlinear fashion, which helps in separating them from random errors. We use Bayesian inference procedures based on Markov chain Monte Carlo (MCMC) techniques to estimate the proposed system. Inferences on firm-specific technical inefficiency and both input-specific and firm-specific allocative inefficiencies are developed using MCMC techniques. We apply the new methods to a sample of 500 U.S. commercial banks. We focus on input allocation problem based on the assumption that banks minimize cost. Empirical results show that cost for the top (bottom) 10% of banks is increased by at least 3% (11%) due to technical inefficiency. In contrast, very few banks are found to be efficient in allocating all the inputs. Costs are increased by 13% on average due to input misallocation. Increase in costs due to both technical and allocative inefficiencies for the top (bottom) 10% of the banks is at least 11% (29%). When translated into dollar figures, this result indicates that elimination of technical and allocative inefficiencies would save the top (bottom) 10% of the banks more than $$.20 ($$3.56) million. We also find that none of the banks in our sample exceeded the efficient scale size, although most of them were operating near their optimum scale (unitary returns to scale).

Using the standard one-zone synchrotron self-Compton model and the Markov chain Monte Carlo (MCMC) technique, we systematically analyse the quasi-simultaneous multiwavelength spectral energy distributions (SEDs) of Mrk 421 and Mrk 501 during states of relatively low activity. With this model in place, a semi-analytical method is developed to examine the uncertainty in jet power estimation caused by degeneracy of the radiative models. The semi-analytical method, in combination with the MCMC technique, allows us to explore the jet properties over a wide range of the variability time-scale. Our results seem to support the following. (i) In both Mrk 421 and Mrk 501, the jets are powered by rapidly rotating black holes. The black hole spin in Mrk 501 could be lower than that in Mrk 421 or possibly they are equal under the assumption of the Blandford–Znajek mechanism. (ii) The energy losses, which could be used to form the large-scale radio structure, are important for reconciling the differences of the kinetic power derived from the observations of the large-scale structure and the SED fitting results. Moreover, the jet energy losses in the propagation are more significant for Mrk 501 than for Mrk 421.

Bayesian model updating has received considerable attention and has been extensively used in structural damage detection. It provides a rigorous statistical framework for realizing structural system identification and characterizing uncertainties associated with modeling and measurements. The Markov Chain Monte Carlo (MCMC) is a promising tool for inferring the posterior distribution of model parameters to avoid the intractable evaluation of multi-dimensional integration. However, the efficacy of most MCMC techniques suffers from the curse of parameter dimension, which restricts the application of Bayesian model updating to the damage detection of large-scale systems. In addition, there are several MCMC techniques that require users to properly choose application-specific models, based on the understanding of algorithm mechanisms and limitations. As seen in the literature, there is a lack of comprehensive work that investigates the performances of various MCMC algorithms in their application of structural damage detection. In this study, the Differential Evolutionary Adaptive Metropolis (DREAM), a multi-chain MCMC, is explored and adapted to Bayesian model updating. This paper illustrates how DREAM is used for model updating with many uncertainty parameters (i.e., 40 parameters). Furthermore, the study provides a tutorial to users who may be less experienced with Bayesian model updating and MCMC. Two advanced single-chain MCMC algorithms, namely, the Delayed Rejection Adaptive Metropolis (DRAM) and Transitional Markov Chain Monte Carlo (TMCMC), and DREAM are elaborately introduced to allow practitioners to understand better the concepts and practical implementations. Their performances in model updating and damage detection are compared through three different engineering applications with increased complexity, e.g., a forty-story shear building, a two-span continuous steel beam, and a large-scale steel pedestrian bridge.

PurposeThe application of statistical inversion theory provides a powerful approach for solving estimation problems including the ability for uncertainty quantification (UQ) by means of Markov chain Monte Carlo (MCMC) methods and Monte Carlo integration. This paper aims to analyze the application of a state reduction technique within different MCMC techniques to improve the computational efficiency and the tuning process of these algorithms.Design/methodology/approachA reduced state representation is constructed from a general prior distribution. For sampling the Metropolis Hastings (MH) Algorithm and the Gibbs sampler are used. Efficient proposal generation techniques and techniques for conditional sampling are proposed and evaluated for an exemplary inverse problem.FindingsFor the MH-algorithm, high acceptance rates can be obtained with a simple proposal kernel. For the Gibbs sampler, an efficient technique for conditional sampling was found. The state reduction scheme stabilizes the ill-posed inverse problem, allowing a solution without a dedicated prior distribution. The state reduction is suitable to represent general material distributions.Practical implicationsThe state reduction scheme and the MCMC techniques can be applied in different imaging problems. The stabilizing nature of the state reduction improves the solution of ill-posed problems. The tuning of the MCMC methods is simplified.Originality/valueThe paper presents a method to improve the solution process of inverse problems within the Bayesian framework. The stabilization of the inverse problem due to the state reduction improves the solution. The approach simplifies the tuning of MCMC methods.

Many vision applications have been formulated as Markov Random Field (MRF) problems. Although many of them are discrete labeling problems, continuous formulation often achieves great improvement on the qualities of the solutions in some applications such as stereo matching and optical flow. In continuous formulation, however, it is much more difficult to optimize the target functions. In this paper, we propose a new method called fusion move driven Markov Chain Monte Carlo method (MCMC-F) that combines the Markov Chain Monte Carlo method and the fusion move to solve continuous MRF problems effectively. This algorithm exploits powerful fusion move while it fully explore the whole solution space. We evaluate it using the stereo matching problem. We empirically demonstrate that the proposed algorithm is more stable and always finds lower energy states than the state-of-the art optimization techniques.

Group Importance Sampling for particle filtering and MCMC

In this study, a comparison between three methods for estimating unknown parameters of the Kumaraswamy Weibull distribution for different sample sizes of type II censoring data is presented. Specifically, we compare the behaviors of maximum likelihood estimates, Lindley and Markov chain Monte Carlo (MCMC) estimates as Bayesian estimates. We have not found any work on this topic after reviews of the literature except one with little information about the inference of this important distribution. The simplest form for Lindley approximation of the posterior mean is proposed and approximate closed forms of acceptable Bayes estimates for the models of multi-parameters such as Kumaraswamy Weibull distribution is derived. A Monte Carlo simulation is conducted to investigate the performances of the proposed estimators. Finally, three real data examples are analyzed to illustrate the application possibility of the different proposed estimation methods. The results reveal that, although, good performance of the approximate forms of Lindley estimators, the estimators resulting in the MCMC technique are better in the sense of the mean squared errors.

Precise radial velocity measurements have led to the discovery of ~100\nextrasolar planetary systems. We investigate the uncertainty in the orbital\nsolutions that have been fit to these observations. Understanding these\nuncertainties will become more and more important as the discovery space for\nextrasolar planets shifts to longer and longer periods. While detections of\nshort period planets can be rapidly refined, planets with long orbital periods\nwill require observations spanning decades to constrain the orbital parameters\nprecisely. Already in some cases, multiple distinct orbital solutions provide\nsimilarly good fits, particularly in multiple planet systems. We present a\nmethod for quantifying the uncertainties in orbital fits and addressing\nspecific questions directly from the observational data rather than relying on\nbest fit orbital solutions. This Markov chain Monte Carlo (MCMC) technique has\nthe advantage that it is well suited for the high dimensional parameter spaces\nnecessary for the multiple planet systems. We apply the MCMC technique to\nseveral extrasolar planetary systems, assessing the uncertainties in orbital\nelements for several systems. Our MCMC simulations demonstrate that for some\nsystems there are strong correlations between orbital parameters and/or\nsignificant non-Gaussianities in parameter distributions, even though the\nmeasurement errors are nearly Gaussian. Once these effects are considered the\nactual uncertainties in orbital elements can be significantly larger or smaller\nthan the published uncertainties. We also present simple applications of our\nmethods such as predicting the times of possible transits for GJ 876.\n

This paper presents a methodology for evaluating the time-dependent system reliability of a pressurised gas pipeline segment containing multiple active metal-loss corrosion defects. The methodology incorporates three distinctive failure modes of the pipe segment due to corrosion, namely small leak, large leak and rupture. The growth of the depth of individual corrosion defect is assumed to follow a power-law function of time. The Bayesian updating and Markov Chain Monte Carlo (MCMC) simulation techniques are used to quantify the parameters of the power-law growth model based on data obtained from multiple inspections carried out at different times. The simple Monte Carlo and MCMC techniques are combined to evaluate the system reliability. A numerical example involving an in-service gas pipeline located in Alberta, Canada, is used to illustrate the proposed methodology. Results of the sensitivity analysis suggest that the use of a defect-specific or segment-specific growth model for the defect depth has a marked impact on the evaluated system reliability. The proposed methodology can be incorporated in reliability-based pipeline corrosion management programmes to assist integrity engineers in making informed decisions about defect repair and mitigation.

Global fits of physics models require efficient methods for exploring high-dimensional and/or multimodal posterior functions. We introduce a novel method for accelerating Markov Chain Monte Carlo (MCMC) sampling by pairing a Metropolis-Hastings algorithm with a diffusion model that can draw global samples with the aim of approximating the posterior. We briefly review diffusion models in the context of image synthesis before providing a streamlined diffusion model tailored towards low-dimensional data arrays. We then present our adapted Metropolis-Hastings algorithm which combines local proposals with global proposals taken from a diffusion model that is regularly trained on the samples produced during the MCMC run. Our approach leads to a significant reduction in the number of likelihood evaluations required to obtain an accurate representation of the Bayesian posterior across several analytic functions, as well as for a physical example based on a global analysis of parton distribution functions. Our method is extensible to other MCMC techniques, and we briefly compare our method to similar approaches based on normalizing flows. A code implementation can be found at https://github.com/NickHunt-Smith/MCMC-diffusion.

Markov Chain Monte Carlo (MCMC) techniques, in the context of Bayesian inference, constitute a practical and effective tool to produce samples from an arbitrary distribution. These algorithms are applied to calculate parameter values of predictive models of the phenomenon of varying volatility in data time series. For this purpose, 3 such research models of time-varying volatility are simulated in STAN a probabilistic programming language for statistical inference. The accuracy of these models’ predictive function is confirmed by applying in data time series with known prior values. Moreover, Stan models’ performance is illustrated by the real stock prices of two shares in the stock market of New York. Finally, an Information Criterion of the results is applied to each model as well, to evaluate their predictive ability, comparing and selecting the most effective one. Keywords: MCMC, Time-series, Time-varying volatility models, STAN.

Bayesian inference has been successfully applied in fields as varied as anti-spam filtering, DNA sequencing, war codebreaking and election forecasting. Founded on the apparently simple Bayes’ theorem, which relates the previous distribution of a parameter with its distribution after evidence is collected, Bayesian tools allow for incorporating all existing knowledge about the phenomenon under study in order to improve parameter estimation. Because of the stochastic nature of the wireless channel, Bayesian inference is particularly well suited to the problem of symbol detection in many modern digital communication systems. When combined with Markov Chain Monte Carlo (MCMC) techniques, Bayesian receivers are capable of achieving minimum Bit Error Rate (BER) while avoiding the prohibitively high computational complexity associated with standard Maximum Likelihood (ML) or Maximum A Posteriori (MAP) estimators. In addition, such receivers are capable of numerically integrating out channel coefficients and noise variance, thus avoiding the need to use sub-optimal estimates of these parameters. This tutorial presents the rudiments of Bayesian statistics and MCMC in general, and discusses their applications in wireless communications in particular. The paper also details the design of Bayesian MCMC receiver in a system employing BPSK and ubject frequency-selective fading and Gaussian noise. Afterwards, recent advances in Bayesian receivers are surveyed for several important practical wireless transmission schemes, including MIMO, CDMA and OFDM. In addition, the paper addresses the application of Bayesian tools in challenging channel conditions — namely, nonlinear, non-Gaussian, underwater and fast fading channels.