Alternative proof and interpretations for a recent state-dependent importance sampling scheme

Recently, a state-dependent change of measure for simulating overflows in the two-node tandem queue was proposed by Dupuis et al. (Ann. Appl. Probab. 17(4):1306–1346, 2007), together with a proof of its asymptotic optimality. In the present paper, we present an alternative, shorter and simpler proof. As a side result, we obtain interpretations for several of the quantities involved in the change of measure in terms of likelihood ratios

State-dependent Importance Sampling for a Slow-down Tandem Queue

In this paper we investigate an advanced variant of the classical (Jackson) tandem queue, viz. a two-node system with server slow-down. The slow-down mechanism has the primary objective to protect the downstream queue from frequent overflows, and it does so by reducing the service speed of the upstream queue as soon as the number of jobs in the downstream queue reaches some pre-specified threshold. To assess the efficacy of such a policy, techniques are needed for evaluating overflow metrics of the second queue. We focus on the estimation of the probability of the following rare event: overflow in the downstream queue before exhausting the system, starting from any given state in the state space.\ud Due to the rarity of the event under consideration, naive, direct Monte Carlo simulation is often infeasible. We therefore rely on the application of importance sampling to obtain variance reduction. The principal contribution of this paper is that we construct an importance sampling scheme that is asymptotically efficient. In more detail, the paper addresses the following issues. (i) We rely on powerful heuristics to identify the exponential decay rate of the probability under consideration, and verify this result by applying sample-path large deviations techniques. (2) Immediately from these heuristics, we develop a proposal for a change of measure to be used in importance sampling. (3) We prove that the resulting algorithm is asymptotically efficient, which effectively means that the number of runs required to obtain an estimate with fixed precision grows subexponentially in the buffer size. We stress that our method to prove asymptotic efficiency is substantially shorter and more straightforward than those usually provided in the literature. Also our setting is more general than the situations analyzed so far, as we allow the process to start off at any state of the state space, and in addition we do not impose any conditions on the values of the arrival rate and service rates, as long as the underlying queueing system is stable

State-dependent importance sampling for a Jackson tandem network

This paper considers importance sampling as a tool for rare-event simulation. The focus is on estimating the probability of overflow in the downstream queue of a Jacksonian two-node tandem queue – it is known that in this setting ‘traditional’ state-independent importance-sampling distributions perform poorly. We therefore concentrate on developing a state-dependent change of measure, that we prove to be asymptotically efficient.\ud More specific contributions are the following. (i) We concentrate on the probability of the second queue exceeding a certain predefined threshold before the system empties. Importantly, we identify an asymptotically efficient importance-sampling distribution for any initial state of the system. (ii) The choice of the importance-sampling distribution is backed up by appealing heuristics that are rooted in large-deviations theory. (iii) Our method for proving asymptotic efficiency is substantially more straightforward than some that have been used earlier. The paper is concluded by simulation experiments that show a considerable speed up

Toward a multilevel representation of protein molecules: comparative approaches to the aggregation/folding propensity problem

This paper builds upon the fundamental work of Niwa et al. [34], which provides the unique possibility to analyze the relative aggregation/folding propensity of the elements of the entire Escherichia coli (E. coli) proteome in a cell-free standardized microenvironment. The hardness of the problem comes from the superposition between the driving forces of intra- and inter-molecule interactions and it is mirrored by the evidences of shift from folding to aggregation phenotypes by single-point mutations [10]. Here we apply several state-of-the-art classification methods coming from the field of structural pattern recognition, with the aim to compare different representations of the same proteins gathered from the Niwa et al. data base; such representations include sequences and labeled (contact) graphs enriched with chemico-physical attributes. By this comparison, we are able to identify also some interesting general properties of proteins. Notably, (i) we suggest a threshold around 250 residues discriminating "easily foldable" from "hardly foldable" molecules consistent with other independent experiments, and (ii) we highlight the relevance of contact graph spectra for folding behavior discrimination and characterization of the E. coli solubility data. The soundness of the experimental results presented in this paper is proved by the statistically relevant relationships discovered among the chemico-physical description of proteins and the developed cost matrix of substitution used in the various discrimination systems.Comment: 17 pages, 3 figures, 46 reference

Certification schemes and the governance of land : enforcing standards or enabling scrutiny?

Given the challenges of upholding human rights in countries where land grabbing has been most acute, attention has turned to alternative regulatory mechanisms by which better land governance might be brought about. This essay considers one such approach: certification schemes. These encourage agricultural producers to adopt sustainability standards which are then monitored by third-party auditors. Used by the European Union to help govern its biofuel market, they now also have an important mandatory dimension. However, through a study of Bonsucro and the Roundtable on Sustainable Biofuels, we find both flaws in their standards and shortcomings in their ability to discipline the companies they are financially dependent upon. In sum, we suggest that the real value of these roundtable certification schemes might lie less in their ability to enforce standards than their (partially realised) role in enabling scrutiny, providing new possibilities for corporate accountability in transnational commodity chains

Gibbs flow for approximate transport with applications to Bayesian computation

Let $\pi_{0}$ and $\pi_{1}$ be two distributions on the Borel space $(\mathbb{R}^{d},\mathcal{B}(\mathbb{R}^{d}))$. Any measurable function $T:\mathbb{R}^{d}\rightarrow\mathbb{R}^{d}$ such that $Y=T(X)\sim\pi_{1}$ if $X\sim\pi_{0}$ is called a transport map from $\pi_{0}$ to $\pi_{1}$. For any $\pi_{0}$ and $\pi_{1}$, if one could obtain an analytical expression for a transport map from $\pi_{0}$ to $\pi_{1}$, then this could be straightforwardly applied to sample from any distribution. One would map draws from an easy-to-sample distribution $\pi_{0}$ to the target distribution $\pi_{1}$ using this transport map. Although it is usually impossible to obtain an explicit transport map for complex target distributions, we show here how to build a tractable approximation of a novel transport map. This is achieved by moving samples from $\pi_{0}$ using an ordinary differential equation with a velocity field that depends on the full conditional distributions of the target. Even when this ordinary differential equation is time-discretized and the full conditional distributions are numerically approximated, the resulting distribution of mapped samples can be efficiently evaluated and used as a proposal within sequential Monte Carlo samplers. We demonstrate significant gains over state-of-the-art sequential Monte Carlo samplers at a fixed computational complexity on a variety of applications.Comment: Significantly revised with new methodology and numerical example