Comment on amt-2021-406

Bayesian model updating provides a rigorous framework to account for uncertainty induced by lack of knowledge about engineering systems in their respective mathematical models through updates of the joint probability density function (PDF), the so-called posterior PDF, of the unknown model parameters. The Markov chain Monte Carlo (MCMC) methods are currently the most popular approaches for generating samples from the posterior PDF. However, these methods often found wanting when sampling from difficult distributions (e.g., high-dimensional PDFs, PDFs with flat manifolds, multimodal PDFs, and very peaked PDFs). This paper introduces a new multi-level sampling approach for Bayesian model updating, called Sequential Gauss-Newton algorithm, which is inspired by the Transitional Markov chain Monte Carlo (TMCMC) algorithm. The Sequential Gauss-Newton algorithm improves two aspects of TMCMC to make an efficient and effective MCMC algorithm for drawing samples from difficult posterior PDFs. First, the statistical efficiency of the algorithm is enhanced by use of the systematic resampling scheme. Second, a new MCMC algorithm, called Gauss-Newton MCMC algorithm, is proposed which is essentially an M-H algorithm with a Gaussian proposal PDF tailored to the posterior PDF using the gradient and Hessian information of the negative log posterior. The effectiveness of the proposed algorithm for solving the Bayesian model updating problem is illustrated using three examples with irregularly shaped posterior PDFs.

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.

What to believe: Bayesian methods for data analysis

Sampling across tree space is one of the major challenges in Bayesian phylogenetic inference using Markov chain Monte Carlo (MCMC) algorithms. Standard MCMC tree moves consider small random perturbations of the topology, and select from candidate trees at random or based on the distance between the old and new topologies. MCMC algorithms using such moves tend to get trapped in tree space, making them slow in finding the globally most probable trees (known as “convergence”) and in estimating the correct proportions of the different types of them (known as “mixing”). Here, we introduce a new class of moves, which propose trees based on their parsimony scores. The proposal distribution derived from the parsimony scores is a quickly computable albeit rough approximation of the conditional posterior distribution over candidate trees. We demonstrate with simulations that parsimony-guided moves correctly sample the uniform distribution of topologies from the prior. We then evaluate their performance against standard moves using six challenging empirical data sets, for which we were able to obtain accurate reference estimates of the posterior using long MCMC runs, a mix of topology proposals, and Metropolis coupling. On these data sets, ranging in size from 357 to 934 taxa and from 1740 to 5681 sites, we find that single chains using parsimony-guided moves usually converge an order of magnitude faster than chains using standard moves. They also exhibit better mixing, that is, they cover the most probable trees more quickly. Our results show that tree moves based on quick and dirty estimates of the posterior probability can significantly outperform standard moves. Future research will have to show to what extent the performance of such moves can be improved further by finding better ways of approximating the posterior probability, taking the trade-off between accuracy and speed into account. [Bayesian phylogenetic inference; MCMC; parsimony; tree proposal.]

One of the most common types of models that helps us to understand neuron behavior is based on the Hodgkin–Huxley ion channel formulation (HH model). A major challenge with inferring parameters in HH models is non-uniqueness: many different sets of ion channel parameter values produce similar outputs for the same input stimulus. Such phenomena result in an objective function that exhibits multiple modes (i.e., multiple local minima). This non-uniqueness of local optimality poses challenges for parameter estimation with many algorithmic optimization techniques. HH models additionally have severe non-linearities resulting in further challenges for inferring parameters in an algorithmic fashion. To address these challenges with a tractable method in high-dimensional parameter spaces, we propose using a particular Markov chain Monte Carlo (MCMC) algorithm, which has the advantage of inferring parameters in a Bayesian framework. The Bayesian approach is designed to be suitable for multimodal solutions to inverse problems. We introduce and demonstrate the method using a three-channel HH model. We then focus on the inference of nine parameters in an eight-channel HH model, which we analyze in detail. We explore how the MCMC algorithm can uncover complex relationships between inferred parameters using five injected current levels. The MCMC method provides as a result a nine-dimensional posterior distribution, which we analyze visually with solution maps or landscapes of the possible parameter sets. The visualized solution maps show new complex structures of the multimodal posteriors, and they allow for selection of locally and globally optimal value sets, and they visually expose parameter sensitivities and regions of higher model robustness. We envision these solution maps as enabling experimentalists to improve the design of future experiments, increase scientific productivity and improve on model structure and ideation when the MCMC algorithm is applied to experimental data.

Recent progress using geometry in the design of efficient Markov chain Monte Carlo (MCMC) algorithms have shown the effectiveness of the Fisher Riemannian structure. Furthermore, the theory of the underlying geometry of spaces of statistical models has made an important breakthrough by extending the classical theory on exponential families to their closures, the so-called extended exponential families. This paper looks at the underlying geometry of the Fisher information, in particular its limiting behaviour near boundaries, which illuminates the excellent behaviour of the corresponding geometric MCMC algorithms. Further, the paper shows how Fisher geodesics in extended exponential families smoothly attach the boundaries of extended exponential families to their relative interior. We conjecture that this behaviour could be exploited for trans-dimensional MCMC algorithms.

An autoregressive moving average (ARMA) is a time series model that is applied in everyday life for pattern recognition and forecasting. The ARMA model contains a noise which is assumed to have a specific distribution. The noise is often considered to have a Gaussian distribution. However in applications, the noise is sometimes found that does not have a Gaussian distribution. The first objective is to develop the ARMA model in which noise has a Laplacian distribution. The second objective is to estimate the parameters of the ARMA model. The ARMA model parameters include ARMA model orders, ARMA model coefficients, and noise variance. The parameter estimation of the ARMA model is carried out in the Bayesian framework. In the Bayesian framework, the ARMA model parameters are treated as a variable that has a prior distribution. The prior distribution for the ARMA model parameters is combined with the likelihood function for the data to get the posterior distribution for the parameter. The posterior distribution for parameters has a complex form so that the Bayes estimator cannot be determined analytically. The reversible jump Markov chain Monte Carlo (MCMC) algorithm was adopted to determine the Bayes estimator. The first result, the ARMA model can be developed by assuming Laplacian distribution noise. The second result, the performance of the algorithm was tested using simulation studies. The simulation shows that the reversible jump MCMC algorithm can estimate the parameters of the ARMA model correctly.

We describe the importance and widespread use of Markov chain Monte Carlo (MCMC) algorithms, with an emphasis on the ways in which theoretical analysis can help with their practical implementation. In particular, we discuss how to achieve rigorous quantitative bounds on convergence to stationarity using the coupling method together with drift and minorisation conditions. We also discuss recent advances in the field of adaptive MCMC, where the computer iteratively selects from among many different MCMC algorithms. Such adaptive MCMC algorithms may fail to converge if implemented naively, but they will converge correctly if certain conditions such as Diminishing Adaptation are satisfied.

In this paper, we derive a Markov chain Monte Carlo (MCMC) algorithm supported by a neural network. In particular, we use the neural network to substitute derivative calculations made during a Metropolis adjusted Langevin algorithm (MALA) step with inexpensive neural network evaluations. Using a complex, high-dimensional blood coagulation model and a set of measurements, we define a likelihood function on which we evaluate the new MCMC algorithm. The blood coagulation model is a dynamic model, where derivative calculations are expensive and hence limit the efficiency of derivative-based MCMC algorithms. The MALA adaptation greatly reduces the time per iteration, while only slightly affecting the sample quality. We also test the new algorithm on a 2-dimensional example with a non-convex shape, a case where the MALA algorithm has a clear advantage over other state of the art MCMC algorithms. To assess the impact of the new algorithm, we compare the results to previously generated results of the MALA and the random walk Metropolis Hastings (RWMH).

There is an increasing use of Markov chain Monte Carlo (MCMC) algorithms for fitting statistical models in psychometrics, especially in situations where the traditional estimation techniques are very difficult to apply. One of the disadvantages of using an MCMC algorithm is that it is not straightforward to determine the convergence of the algorithm. Using the output of an MCMC algorithm that has not converged may lead to incorrect inferences on the problem at hand. The convergence is not one to a point, but that of the distribution of a sequence of generated values to another distribution, and hence is not easy to assess; there is no guaranteed diagnostic tool to determine convergence of an MCMC algorithm in general. This article examines the convergence of MCMC algorithms using a number of convergence diagnostics for two real data examples from psychometrics. Findings from this research have the potential to be useful to researchers using the algorithms. For both the examples, the number of iterations required (suggested by the diagnostics) to be reasonably confident that the MCMC algorithm has converged may be larger than what many practitioners consider to be safe.

Distributed Markov Chain Monte Carlo for Bayesian Hierarchical Models

In this paper, the authors outline the general principles behind an approach to Bayesian system identification and highlight the benefits of adopting a Bayesian framework when attempting to identify models of nonlinear dynamical systems in the presence of uncertainty. It is then described how, through a summary of some key algorithms, many of the potential difficulties associated with a Bayesian approach can be overcome through the use of Markov chain Monte Carlo (MCMC) methods. The paper concludes with a case study, where an MCMC algorithm is used to facilitate the Bayesian system identification of a nonlinear dynamical system from experimentally observed acceleration time histories.

Markov Chain Monte Carlo (MCMC) is widely applied to fit complex, practical models in various disciplines, such as engineering, physics, agriculture, etc. Indeed, when the target density $f$ is not available in closed form, a Markov chain is constructed with stationary density $f$ for forming Monte Carlo estimators of means with respect to $f$. Although a Harris ergodic Markov chain will converge to the target distribution as the Monte Carlo sample size tends to infinity, and the population means can be consistently estimated by the corresponding MCMC estimators, in practice, it is important to estimate the standard errors associated with these Monte Carlo estimates due to the availability of only a finite sample. Therefore, the geometric ergodicity of a Markov Chain is highly desired as it is the most standard method for guaranteeing a central limit theorem (CLT) for MCMC estimators and finding its standard errors. Among the different MCMC algorithms, Metropolis-Hastings (MH) algorithms are predominant. This thesis establishes conditions under which MH algorithms with a position-dependent proposal covariance matrix will or will not have the geometric convergence rate. Indeed, we provide these results for MH algorithms where the normal proposal density has a general mean function $c(x)$ and a covariance matrix $G(x)$ depending on the current position $x$ of the Markov chain. For modern variants of the popular Metropolis adjusted Langevin algorithms (MALA), like the manifold MALA (MMALA) that adapt to the geometry of the target distributions, the proposal covariance matrix changes in every iteration. Thus, we provide conditions for the geometric ergodicity of different variations of the Langevin algorithms, e.g., MMALA, position-dependent MALA (PMALA), and the pre-conditioned MALA (PCMALA). We also provide conditions guaranteeing geometric ergodicity of the pre-conditioned unadjusted Langevin algorithms (PCULA). Generalized linear mixed models (GLMMs), where the response variable is allowed to follow a non-Gaussian distribution, are popular statistical models, although their likelihood functions are not available in closed form. GLMMs can handle the over-dispersion often present in real-world data, and MCMC methods are generally used to fit frequentist and Bayesian GLMMs. Since the likelihood function for GLMMs is not available in closed form, Monte Carlo EM or Monte Carlo maximum likelihood methods are often used for making inferences from GLMMs. Simulation from the conditional (on the data) distribution of the random effects is, in turn, needed for implementing the Monte Carlo EM or Monte Carlo maximum likelihood methods. In this thesis, our general conditions for geometric ergodicity of variants of Langevin algorithms are also verified in the context of conditional simulation from the two most popular GLMMs, namely the binomial GLMM with the logit link and the Poisson GLMM with the log link. These results have important practical implications as users can now confidently fit these models by attaching asymptotically valid standard errors with their Markov chain-based Monte Carlo estimates. Spatial generalized linear mixed models (SGLMMs) are GLMMs where the random effects form a spatial process and are useful for modeling spatially correlated data. We compare the performance of different variants of MALA mentioned above as well as other popular MH algorithms like Random Walk Metropolis in the context of conditional simulation from SGLMMs. Next, we consider MCMC algorithms for full Bayesian analysis of GLMMs. Blocking and reparameterization are techniques used to improve the efficiency and convergence properties of MCMC algorithms. We combine these strategies with pre-conditioning to develop efficient Langevin algorithms for Bayesian GLMMs and SGLMMs. We illustrate our algorithms using extensive real and simulated data analyses.

Parameter estimation and uncertainty analysis for a watershed model

Context.The characterization of the interior of an exoplanet is an inverse problem. The solution requires statistical methods such as Bayesian inference. Current methods employ Markov chain Monte Carlo (MCMC) sampling to infer the posterior probability of the planetary structure parameters for a given exoplanet. These methods are time-consuming because they require the evaluation of a planetary structure model ~105times.Aims.To speed up the inference process when characterizing an exoplanet, we propose to use conditional invertible neural networks to calculate the posterior probability of the planetary structure parameters.Methods.Conditional invertible neural networks (cINNs) are a special type of neural network that excels at solving inverse problems. We constructed a cINN following the framework for easily invertible architectures (FreIA). This neural network was then trained on a database of 5.6 × 106internal structure models to recover the inverse mapping between internal structure parameters and observable features (i.e., planetary mass, planetary radius, and elemental composition of the host star). We also show how observational uncertainties can be accounted for.Results.The cINN method was compared to a commonly used Metropolis-Hastings MCMC. To do this, we repeated the characterization of the exoplanet K2-111 b, using both the MCMC method and the trained cINN. We show that the inferred posterior probability distributions of the internal structure parameters from both methods are very similar; the largest differences are seen in the exoplanet water content. Thus, cINNs are a possible alternative to the standard time-consuming sampling methods. cINNs allow infering the composition of an exoplanet that is orders of magnitude faster than what is possible using an MCMC method. The computation of a large database of internal structures to train the neural network is still required, however. Because this database is only computed once, we found that using an invertible neural network is more efficient than an MCMC when more than ten exoplanets are characterized using the same neural network.