Bayesian subset simulation

We consider the problem of estimating a probability of failure $\alpha$, defined as the volume of the excursion set of a function $f:\mathbb{X} \subseteq \mathbb{R}^{d} \to \mathbb{R}$ above a given threshold, under a given probability measure on $\mathbb{X}$. In this article, we combine the popular subset simulation algorithm (Au and Beck, Probab. Eng. Mech. 2001) and our sequential Bayesian approach for the estimation of a probability of failure (Bect, Ginsbourger, Li, Picheny and Vazquez, Stat. Comput. 2012). This makes it possible to estimate $\alpha$ when the number of evaluations of $f$ is very limited and $\alpha$ is very small. The resulting algorithm is called Bayesian subset simulation (BSS). A key idea, as in the subset simulation algorithm, is to estimate the probabilities of a sequence of excursion sets of $f$ above intermediate thresholds, using a sequential Monte Carlo (SMC) approach. A Gaussian process prior on $f$ is used to define the sequence of densities targeted by the SMC algorithm, and drive the selection of evaluation points of $f$ to estimate the intermediate probabilities. Adaptive procedures are proposed to determine the intermediate thresholds and the number of evaluations to be carried out at each stage of the algorithm. Numerical experiments illustrate that BSS achieves significant savings in the number of function evaluations with respect to other Monte Carlo approaches

Fast Color Quantization Using Weighted Sort-Means Clustering

Color quantization is an important operation with numerous applications in graphics and image processing. Most quantization methods are essentially based on data clustering algorithms. However, despite its popularity as a general purpose clustering algorithm, k-means has not received much respect in the color quantization literature because of its high computational requirements and sensitivity to initialization. In this paper, a fast color quantization method based on k-means is presented. The method involves several modifications to the conventional (batch) k-means algorithm including data reduction, sample weighting, and the use of triangle inequality to speed up the nearest neighbor search. Experiments on a diverse set of images demonstrate that, with the proposed modifications, k-means becomes very competitive with state-of-the-art color quantization methods in terms of both effectiveness and efficiency.Comment: 30 pages, 2 figures, 4 table

Declutter and Resample: Towards parameter free denoising

In many data analysis applications the following scenario is commonplace: we are given a point set that is supposed to sample a hidden ground truth $K$ in a metric space, but it got corrupted with noise so that some of the data points lie far away from $K$ creating outliers also termed as {\em ambient noise}. One of the main goals of denoising algorithms is to eliminate such noise so that the curated data lie within a bounded Hausdorff distance of $K$. Popular denoising approaches such as deconvolution and thresholding often require the user to set several parameters and/or to choose an appropriate noise model while guaranteeing only asymptotic convergence. Our goal is to lighten this burden as much as possible while ensuring theoretical guarantees in all cases. Specifically, first, we propose a simple denoising algorithm that requires only a single parameter but provides a theoretical guarantee on the quality of the output on general input points. We argue that this single parameter cannot be avoided. We next present a simple algorithm that avoids even this parameter by paying for it with a slight strengthening of the sampling condition on the input points which is not unrealistic. We also provide some preliminary empirical evidence that our algorithms are effective in practice