Bayesian optimal experimental design for the Shock-tube experiment

Surrogate-based sequential Bayesian experimental design using non-stationary Gaussian Processes

Bayesian experimental design (BED) is a framework that uses statistical models and decision making under uncertainty to optimise the cost and performance of a scientific experiment. Sequential BED, as opposed to static BED, considers the scenario where we can sequentially update our beliefs about the model parameters through data gathered in the experiment. A class of models of particular interest for the natural and medical sciences are implicit models, where the data generating distribution is intractable, but sampling from it is possible. Even though there has been a lot of work on static BED for implicit models in the past few years, the notoriously difficult problem of sequential BED for implicit models has barely been touched upon. We address this gap in the literature by devising a novel sequential design framework for parameter estimation that uses the Mutual Information (MI) between model parameters and simulated data as a utility function to find optimal experimental designs, which has not been done before for implicit models. Our approach uses likelihood-free inference by ratio estimation to simultaneously estimate posterior distributions and the MI. During the sequential BED procedure we utilise Bayesian optimisation to help us optimise the MI utility. We find that our framework is efficient for the various implicit models tested, yielding accurate parameter estimates after only a few iterations.

Summary When Shannon entropy is used as a criterion in the optimal design of experiments, advantage can be taken of the classical identity representing the joint entropy of parameters and observations as the sum of the marginal entropy of the observations and the preposterior conditional entropy of the parameters. Following previous work in which this idea was used in spatial sampling, the method is applied to standard parameterized Bayesian optimal experimental design. Under suitable conditions, which include non-linear as well as linear regression models, it is shown in a few steps that maximizing the marginal entropy of the sample is equivalent to minimizing the preposterior entropy, the usual Bayesian criterion, thus avoiding the use of conditional distributions. It is shown using this marginal formulation that under normality assumptions every standard model which has a two-point prior distribution on the parameters gives an optimal design supported on a single point. Other results include a new asymptotic formula which applies as the error variance is large and bounds on support size.

In this chapter, we provide a general overview on the Bayesian experimental design of various statistical models in the recent years. The Bayesian optimal designs incorporate the prior information and uncertainties of the models by using various utility functions, which describe various aims of the experiments. Although there are difficulties in obtaining the analytical expression of the expected utilities and their corresponding numerical approximations under Bayesian framework, the development of fast computational algorithms will bring wider applications of Bayesian experimental design to more complicated models.

We consider the problem of A-optimal design of experiment under a Bayesian probabilistic model with both categorical and continuous response variables. The utility function of the local design problem is derived by applying Bayesian experimental design framework. We also develop an efficient optimization algorithm to obtain the local optimal design by combining the particle swarm optimization and the blocked coordinate descent methods. In addition, we discuss two different ways of constructing the global optimal design based on the algorithm for local optimal design. Simulation studies are presented to illustrate the efficiency of our approach.

Optimal experimental design is an important methodology for most efficiently allocating resources in an experiment to best achieve some goal. Bayesian experimental design considers the potential impact that various choices of the controllable variables has on the posterior distribution of the unknowns. Optimal Bayesian design involves optimising an expected utility function, which is an analytically intractable integral over the prior predictive distribution. These integrals are typically estimated via standard Monte Carlo methods. In this paper, we demonstrate that the use of randomised quasi-Monte Carlo can bring significant reductions to the variance of the estimated expected utility. This variance reduction will then lead to a more efficient optimisation algorithm for maximising the expected utility.

Bayesian optimal experimental design (OED) plays an important role in minimizing model uncertainty with limited experimental data in a Bayesian framework. In many applications, rather than minimizing the uncertainty in the inference of model parameters, one seeks to minimize the uncertainty of a model-dependent quantity of interest (QoI). This is known as goal-oriented OED (GOOED). Here, we consider GOOED for linear Bayesian inverse problems governed by large-scale models represented by partial differential equations (PDE) that are computationally expensive to solve. In particular, we consider optimal sensor placement by maximizing an expected information gain (EIG) for the QoI. We develop an efficient method to solve such problems by deriving a new formulation of the goal-oriented EIG. Based on this formulation we propose an offline-online decomposition scheme that achieves significant computational reduction by computing all of the PDE-dependent quantities in an offline stage just once, and optimizing the sensor locations in an online stage without solving any PDEs. Moreover, in the offline stage we need only to compute low-rank approximations of two Hessian-related operators. The computational cost of these low-rank approximations, measured by the number of PDE solves, does not depend on the parameter or data dimensions for a large class of elliptic, parabolic, and sufficiently dissipative hyperbolic inverse problem that exhibit dimension-independent rapid spectra decay. We carry out detailed error analysis for the approximate goal-oriented EIG due to the low-rank approximations of the two operators. Furthermore, in the online stage we extend a swapping greedy method to optimize the sensor locations developed in our recent work that is demonstrated to be more efficient than a standard greedy method. We conduct a numerical experiment for a contaminant transport inverse problem with an infinite-dimensional parameter field to demonstrate the efficiency, accuracy, and both data- and parameter-dimension independence of the proposed algorithm.

The Bayesian optimal experimental design (OED) problem seeks to identify data, sensor configurations, or experiments which can optimally reduce uncertainty. The goal of OED is to find an experiment that maximizes the expected information gain (EIG) about quantities of interest given prior knowledge about expected data. Therefore, within the context of seismic monitoring, we can use Bayesian OED to configure sensor networks by choosing sensor locations, types, and fidelity in order to improve our ability to identify and locate seismic sources. In this work, we develop the framework necessary to use Bayesian OED to optimize the ability to locate seismic events from arrival time data of detected seismic phases. In order to do utilize Bayesian OED we must develop four elements:1. A likelihood function that describes the uncertainty of detection and travel times; 2. A Bayesian solver that takes a prior and likelihood to identify the posterior; 3. An algorithm to compute EIG; and, 4. An optimizer that finds a sensor network which maximizes EIG. Once we have developed this framework, we can explore many relevant questions to monitoring such as: how and what multiphenomenology data can be used to optimally reduce uncertainty, how to trade off sensor fidelity and earth model uncertainty, and how sensor types, number, and locations influence uncertainty

Optimal Bayesian experimental designs for estimation and prediction in linear models are discussed. The designs are optimal for estimating a linear combination of the regression parameters $\\mathbf{c}^T\\theta$ or prediction at a point where the expected response is $\\mathbf{c}^T\\mathbf{\\theta}$ under squared error loss. A distribution on $\\mathbf{c}$ is introduced to represent the interest in particular linear combinations of the parameters. In the usual notation for linear models minimizing the preposterior expected loss leads to minimizing the quantity $\\mathrm{tr}\\psi(R + XX^T)^{-1}$. The matrix $\\psi$ is defined to be $E(\\mathbf{cc}^T)$ and the matrix $R$ is the prior precision matrix of $\\theta$. A geometric interpretation of the optimal designs is given which leads to a parallel of Elfving's theorem for $\\mathbf{c}$-optimality. A bound is given for the minimum number of points at which it is necessary to take observations. Some examples of optimal Bayesian designs are given and optimal designs for prediction in polynomial regression are derived. The optimality of rounding non-integer designs to integer designs is discussed.

Bayesian optimal experimental design for constitutive model calibration

In high-risk, time-pressure domains, the ability to get only salient information is of paramount importance. Missing or superfluous information in these domains can detract from a decision maker’s ability to make correct judgments. Consequently, decision support systems are being developed to facilitate expert decision-making by modifying the information presented to the operator. In this paper we introduce a method for presenting decision makers with the most environment-relevant information for a given decision task. This study explores a statistical method, Bayesian Optimal Experimental Design (OED), as a means of acquiring and restricting information to improve the probability of selecting the correct decision. We use probability gain theory to acquire the most useful piece of information to present to the decision maker, and we extend this to create a probability loss theory that restricts information that does not aid (probabilistically) or aids the least in the decision-making process.

We are honored to be guest editors for this special issue of Applied Stochastic Models in Business and Industry, dedicated to Kathryn Chaloner's life and achievements. Contributions from her colleagues and friends in this volume are devoted to Kathryn's early research interest in Bayesian optimal design. She was a pioneer in this field and had a broad impact on the subsequent literature on experimental design. Kathryn was internationally known for her research in Bayesian Statistics, which included design of experiments, outlier detection, prior elicitation, and clinical trials, and for her advancements in the study of HIV/AIDS. She was an accomplished researcher, teacher, and mentor. She actively encouraged women and under-represented minority students to join the field of biostatistics and provided mentorship, support, and encouragement. The special issue contains seven papers. The first three papers present some of the recent work in Bayesian optimal designs for nonlinear models, binary responses, and experiments with adversarial components. This is followed by two articles on Bayesian designs in clinical trials. The last two articles of the special issue involve engineering design problems. The paper by Giovagnoli considers the binary response models of Chaloner and Larntz (1989, Journal of Statistical Planning and Inference, 21:191–208) and develops an adaptive version of A-optimal Bayesian designs that are revised as additional data become available during the experiment. Adaptive Bayesian compound designs is also discussed as another extension. Konstantinou and Dette develop approximate Bayesian D-optimal designs for nonlinear regression models that involve covariates that cannot be observed directly. Applications to specific nonlinear models including the exponential regression model are considered and characterizations of the D-optimal saturated designs are presented. Optimal sample size selection for experiments is considered by De Santis and Gubbiotti in an adversarial setting where the decision makers have different prior opinions while having common utility functions and data. Using a Bayesian decision approach with a quadratic loss function, the authors present results for the one-parameter exponential family and investigate effect of the priors on the optimal sample size. Müller, Xu, and Thall discuss advantages and limitations of Bayesian decision theoretic approach in design of clinical trials. In doing so, the authors present a specific case study and point out the limitations such as the computational difficulties involved in solving sequential problems as well as selection of utility functions capturing different stakeholder interests. The article by Ventz, Parmigiani, and Trippa also consider limitations of the Bayesian framework in design of clinical trials and propose a strategy to alleviate these. The proposed strategy involves combining Bayesian designs with frequentist metrics such as error rates, confidence intervals, etc. that are commonly used by medical community and regulatory agencies. The authors show that this can be achieved by an inclusion of frequentist constraints into the Bayesian formulation. The constrained decision theoretic framework is illustrated via several applications and computational algorithms are presented for implementing the proposed approach. Nakamura, Seepaul, Kadane, and Reeja-Jayan discuss design of experiments in materials science. The authors consider use of a batch-sequential experiment and a regression model to determine optimal levels of input variables for synthesis of ceramic materials. It is illustrated that the optimal settings produce more reliable results than other experiments. The final article by Polson and Soyer considers Bayesian design of accelerated life tests for reliability assessment. An augmented probability simulation (APS) approach using Lindley's (1976, Annals of Statistics, 4:1–10) conjugate utility functions is proposed to compute optimal designs in an efficient manner. The proposed approach is illustrated using single and multiple point designs. Use of particle based methods for APS is also discussed as an alternative to Markov chain Monte Carlo methods.

Intravenous glucose tolerance test (IVGTT) provocations are informative, but complex and laborious, for studying the glucose-insulin system. The objective of this study was to evaluate, through optimal design methodology, the possibilities of more informative and/or less laborious study design of the insulin modified IVGTT in type 2 diabetic patients. A previously developed model for glucose and insulin regulation was implemented in the optimal design software PopED 2.0. The following aspects of the study design of the insulin modified IVGTT were evaluated; (1) glucose dose, (2) insulin infusion, (3) combination of (1) and (2), (4) sampling times, (5) exclusion of labeled glucose. Constraints were incorporated to avoid prolonged hyper- and/or hypoglycemia and a reduced design was used to decrease run times. Design efficiency was calculated as a measure of the improvement with an optimal design compared to the basic design. The results showed that the design of the insulin modified IVGTT could be substantially improved by the use of an optimized design compared to the standard design and that it was possible to use a reduced number of samples. Optimization of sample times gave the largest improvement followed by insulin dose. The results further showed that it was possible to reduce the total sample time with only a minor loss in efficiency. Simulations confirmed the predictions from PopED. The predicted uncertainty of parameter estimates (CV) was low in all tested cases, despite the reduction in the number of samples/subject. The best design had a predicted average CV of parameter estimates of 19.5%. We conclude that improvement can be made to the design of the insulin modified IVGTT and that the most important design factor was the placement of sample times followed by the use of an optimal insulin dose. This paper illustrates how complex provocation experiments can be improved by sequential modeling and optimal design.

We consider the problem of learning structures and parameters of continuous-time Bayesian networks (CTBNs) from time-course data under minimal experimental resources. In practice, the cost of generating experimental data poses a bottleneck, especially in the natural and social sciences. A popular approach to overcome this is Bayesian optimal experimental design (BOED). However, BOED becomes infeasible in high-dimensional settings, as it involves integration over all possible experimental outcomes. We propose a novel criterion for experimental design based on a variational approximation of the expected information gain. We show that for CTBNs, a semi-analytical expression for this criterion can be calculated for structure and parameter learning. By doing so, we can replace sampling over experimental outcomes by solving the CTBNs master-equation, for which scalable approximations exist. This alleviates the computational burden of integrating over possible experimental outcomes in high-dimensions. We employ this framework in order to recommend interventional sequences. In this context, we extend the CTBN model to conditional CTBNs in order to incorporate interventions. We demonstrate the performance of our criterion on synthetic and real-world data.

Model Predictive Control (MPC) is a solution towards more energy-efficient waste treatment without compromising on treatment quality. A key component is the process model describing how the inputs and outputs correlate. MPC uses this model to predict future outputs over a finite horizon to decide on step changes to make at the input. These step changes are made so that the output reaches and maintains at a user specified set point. For MPC to be effective, the process model needs to accurately describe the process behaviour. This is a difficult challenge in waste treatment processes due to a combination of slow response, process complexity, and large disturbances. This research project investigated two research avenues towards developing better modelling techniques. This would result in more accurate models or achieve a sufficiently accurate model with fewer experiments. The first avenue is Constrained Model Identification (CMI). Model identification is an optimisation problem to estimate the model parameters. In CMI, process knowledge from first principles and operator experience is translated into optimisation constraints to aid data-driven model identification. The second avenue is Sequential Optimal Experiment Design (SOED). This uses the concept of measuring a value representing information content of a dataset. Like MPC, SOED uses the model to make output predictions. The expected output response to a sequence of input steps form a dataset, and SOED is an optimisation problem to maximise the information content of that expected dataset, by changing the input step sequence. Once optimised, this step sequence is applied in the next experiment. The third part of this work focused on farm-fed anaerobic digestion. It is a renewable energy technology fuelled by agricultural waste. They rely on government incentives to be profitable, but these incentives have steadily been decreased. This project investigated methods to help farmers in the day-to day operation of the unit, including biogas production estimation, automated fault identification and partial diagnosis.