Delayed Sampling and Automatic Rao-Blackwellization of Probabilistic Programs

We introduce a dynamic mechanism for the solution of analytically-tractable substructure in probabilistic programs, using conjugate priors and affine transformations to reduce variance in Monte Carlo estimators. For inference with Sequential Monte Carlo, this automatically yields improvements such as locally-optimal proposals and Rao-Blackwellization. The mechanism maintains a directed graph alongside the running program that evolves dynamically as operations are triggered upon it. Nodes of the graph represent random variables, edges the analytically-tractable relationships between them. Random variables remain in the graph for as long as possible, to be sampled only when they are used by the program in a way that cannot be resolved analytically. In the meantime, they are conditioned on as many observations as possible. We demonstrate the mechanism with a few pedagogical examples, as well as a linear-nonlinear state-space model with simulated data, and an epidemiological model with real data of a dengue outbreak in Micronesia. In all cases one or more variables are automatically marginalized out to significantly reduce variance in estimates of the marginal likelihood, in the final case facilitating a random-weight or pseudo-marginal-type importance sampler for parameter estimation. We have implemented the approach in Anglican and a new probabilistic programming language called Birch.Comment: 13 pages, 4 figure

A program for the Bayesian Neural Network in the ROOT framework

We present a Bayesian Neural Network algorithm implemented in the TMVA package, within the ROOT framework. Comparing to the conventional utilization of Neural Network as discriminator, this new implementation has more advantages as a non-parametric regression tool, particularly for fitting probabilities. It provides functionalities including cost function selection, complexity control and uncertainty estimation. An example of such application in High Energy Physics is shown. The algorithm is available with ROOT release later than 5.29.Comment: 12 pages, 6 figure

Sequential Gaussian Processes for Online Learning of Nonstationary Functions

Many machine learning problems can be framed in the context of estimating functions, and often these are time-dependent functions that are estimated in real-time as observations arrive. Gaussian processes (GPs) are an attractive choice for modeling real-valued nonlinear functions due to their flexibility and uncertainty quantification. However, the typical GP regression model suffers from several drawbacks: i) Conventional GP inference scales $O(N^{3})$ with respect to the number of observations; ii) updating a GP model sequentially is not trivial; and iii) covariance kernels often enforce stationarity constraints on the function, while GPs with non-stationary covariance kernels are often intractable to use in practice. To overcome these issues, we propose an online sequential Monte Carlo algorithm to fit mixtures of GPs that capture non-stationary behavior while allowing for fast, distributed inference. By formulating hyperparameter optimization as a multi-armed bandit problem, we accelerate mixing for real time inference. Our approach empirically improves performance over state-of-the-art methods for online GP estimation in the context of prediction for simulated non-stationary data and hospital time series data

Surrogate model for an aligned-spin effective one body waveform model of binary neutron star inspirals using Gaussian process regression

Fast and accurate waveform models are necessary for measuring the properties of inspiraling binary neutron star systems such as GW170817. We present a frequency-domain surrogate version of the aligned-spin binary neutron star waveform model using the effective one body formalism known as SEOBNRv4T. This model includes the quadrupolar and octopolar adiabatic and dynamical tides. The version presented here is improved by the inclusion of the spin-induced quadrupole moment effect, and completed by a prescription for tapering the end of the waveform to qualitatively reproduce numerical relativity simulations. The resulting model has 14 intrinsic parameters. We reduce its dimensionality by using universal relations that approximate all matter effects in terms of the leading quadrupolar tidal parameters. The implementation of the time-domain model can take up to an hour to evaluate using a starting frequency of 20Hz, and this is too slow for many parameter estimation codes that require $O(10^7)$ sequential waveform evaluations. We therefore construct a fast and faithful frequency-domain surrogate of this model using Gaussian process regression. The resulting surrogate has a maximum mismatch of $4.5\times 10^{-4}$ for the Advanced LIGO detector, and requires 0.13s to evaluate for a waveform with a starting frequency of 20Hz. Finally, we perform an end-to-end test of the surrogate with a set of parameter estimation runs, and find that the surrogate accurately recovers the parameters of injected waveforms.Comment: 19 pages, 10 figures, submitted to PR

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified framework. Furthermore, we propose an alternative class of model identification constraints which is more suited to statistical inference in filtering and parameter estimation settings based on maximization of the marginalized likelihood or in Bayesian inference. We then develop a novel class of Bayesian state-space models which incorporate apriori beliefs about the mortality model characteristics as well as for more flexible and appropriate assumptions relating to heteroscedasticity that present in observed mortality data. We show that multiple period and cohort effect can be cast under a state-space structure. To study long term mortality dynamics, we introduce stochastic volatility to the period effect. The estimation of the resulting stochastic volatility model of mortality is performed using a recent class of Monte Carlo procedure specifically designed for state and parameter estimation in Bayesian state-space models, known as the class of particle Markov chain Monte Carlo methods. We illustrate the framework we have developed using Danish male mortality data, and show that incorporating heteroscedasticity and stochastic volatility markedly improves model fit despite an increase of model complexity. Forecasting properties of the enhanced models are examined with long term and short term calibration periods on the reconstruction of life tables.Comment: 46 page