Adaptive System Identification using Markov Chain Monte Carlo

One of the major problems in adaptive filtering is the problem of system identification. It has been studied extensively due to its immense practical importance in a variety of fields. The underlying goal is to identify the impulse response of an unknown system. This is accomplished by placing a known system in parallel and feeding both systems with the same input. Due to initial disparity in their impulse responses, an error is generated between their outputs. This error is set to tune the impulse response of known system in a way that every change in impulse response reduces the magnitude of prospective error. This process is repeated until the error becomes negligible and the responses of both systems match. To specifically minimize the error, numerous adaptive algorithms are available. They are noteworthy either for their low computational complexity or high convergence speed. Recently, a method, known as Markov Chain Monte Carlo (MCMC), has gained much attention due to its remarkably low computational complexity. But despite this colossal advantage, properties of MCMC method have not been investigated for adaptive system identification problem. This article bridges this gap by providing a complete treatment of MCMC method in the aforementioned context

A multi-resolution, non-parametric, Bayesian framework for identification of spatially-varying model parameters

This paper proposes a hierarchical, multi-resolution framework for the identification of model parameters and their spatially variability from noisy measurements of the response or output. Such parameters are frequently encountered in PDE-based models and correspond to quantities such as density or pressure fields, elasto-plastic moduli and internal variables in solid mechanics, conductivity fields in heat diffusion problems, permeability fields in fluid flow through porous media etc. The proposed model has all the advantages of traditional Bayesian formulations such as the ability to produce measures of confidence for the inferences made and providing not only predictive estimates but also quantitative measures of the predictive uncertainty. In contrast to existing approaches it utilizes a parsimonious, non-parametric formulation that favors sparse representations and whose complexity can be determined from the data. The proposed framework in non-intrusive and makes use of a sequence of forward solvers operating at various resolutions. As a result, inexpensive, coarse solvers are used to identify the most salient features of the unknown field(s) which are subsequently enriched by invoking solvers operating at finer resolutions. This leads to significant computational savings particularly in problems involving computationally demanding forward models but also improvements in accuracy. It is based on a novel, adaptive scheme based on Sequential Monte Carlo sampling which is embarrassingly parallelizable and circumvents issues with slow mixing encountered in Markov Chain Monte Carlo schemes

Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model

This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian CVAR models, involving griddy Gibbs, with an automated efficient alternative, based on the Adaptive Metropolis algorithm of Roberts and Rosenthal, (2009). Developing the adaptive MCMC framework for Bayesian CVAR models allows for efficient estimation of posterior parameters in significantly higher dimensional CVAR series than previously possible with existing griddy Gibbs samplers. For a n-dimensional CVAR series, the matrix-variate posterior is in dimension $3n^2 + n$, with significant correlation present between the blocks of matrix random variables. We also treat the rank of the CVAR model as a random variable and perform joint inference on the rank and model parameters. This is achieved with a Bayesian posterior distribution defined over both the rank and the CVAR model parameters, and inference is made via Bayes Factor analysis of rank. Practically the adaptive sampler also aids in the development of automated Bayesian cointegration models for algorithmic trading systems considering instruments made up of several assets, such as currency baskets. Previously the literature on financial applications of CVAR trading models typically only considers pairs trading (n=2) due to the computational cost of the griddy Gibbs. We are able to extend under our adaptive framework to $n >> 2$ and demonstrate an example with n = 10, resulting in a posterior distribution with parameters up to dimension 310. By also considering the rank as a random quantity we can ensure our resulting trading models are able to adjust to potentially time varying market conditions in a coherent statistical framework.Comment: to appear journal Bayesian Analysi

Global parameter identification of stochastic reaction networks from single trajectories

We consider the problem of inferring the unknown parameters of a stochastic biochemical network model from a single measured time-course of the concentration of some of the involved species. Such measurements are available, e.g., from live-cell fluorescence microscopy in image-based systems biology. In addition, fluctuation time-courses from, e.g., fluorescence correlation spectroscopy provide additional information about the system dynamics that can be used to more robustly infer parameters than when considering only mean concentrations. Estimating model parameters from a single experimental trajectory enables single-cell measurements and quantification of cell--cell variability. We propose a novel combination of an adaptive Monte Carlo sampler, called Gaussian Adaptation, and efficient exact stochastic simulation algorithms that allows parameter identification from single stochastic trajectories. We benchmark the proposed method on a linear and a non-linear reaction network at steady state and during transient phases. In addition, we demonstrate that the present method also provides an ellipsoidal volume estimate of the viable part of parameter space and is able to estimate the physical volume of the compartment in which the observed reactions take place.Comment: Article in print as a book chapter in Springer's "Advances in Systems Biology

Improving Simulation Efficiency of MCMC for Inverse Modeling of Hydrologic Systems with a Kalman-Inspired Proposal Distribution

Bayesian analysis is widely used in science and engineering for real-time forecasting, decision making, and to help unravel the processes that explain the observed data. These data are some deterministic and/or stochastic transformations of the underlying parameters. A key task is then to summarize the posterior distribution of these parameters. When models become too difficult to analyze analytically, Monte Carlo methods can be used to approximate the target distribution. Of these, Markov chain Monte Carlo (MCMC) methods are particularly powerful. Such methods generate a random walk through the parameter space and, under strict conditions of reversibility and ergodicity, will successively visit solutions with frequency proportional to the underlying target density. This requires a proposal distribution that generates candidate solutions starting from an arbitrary initial state. The speed of the sampled chains converging to the target distribution deteriorates rapidly, however, with increasing parameter dimensionality. In this paper, we introduce a new proposal distribution that enhances significantly the efficiency of MCMC simulation for highly parameterized models. This proposal distribution exploits the cross-covariance of model parameters, measurements and model outputs, and generates candidate states much alike the analysis step in the Kalman filter. We embed the Kalman-inspired proposal distribution in the DREAM algorithm during burn-in, and present several numerical experiments with complex, high-dimensional or multi-modal target distributions. Results demonstrate that this new proposal distribution can greatly improve simulation efficiency of MCMC. Specifically, we observe a speed-up on the order of 10-30 times for groundwater models with more than one-hundred parameters