4,173 research outputs found
Probabilistic Numerics and Uncertainty in Computations
We deliver a call to arms for probabilistic numerical methods: algorithms for
numerical tasks, including linear algebra, integration, optimization and
solving differential equations, that return uncertainties in their
calculations. Such uncertainties, arising from the loss of precision induced by
numerical calculation with limited time or hardware, are important for much
contemporary science and industry. Within applications such as climate science
and astrophysics, the need to make decisions on the basis of computations with
large and complex data has led to a renewed focus on the management of
numerical uncertainty. We describe how several seminal classic numerical
methods can be interpreted naturally as probabilistic inference. We then show
that the probabilistic view suggests new algorithms that can flexibly be
adapted to suit application specifics, while delivering improved empirical
performance. We provide concrete illustrations of the benefits of probabilistic
numeric algorithms on real scientific problems from astrometry and astronomical
imaging, while highlighting open problems with these new algorithms. Finally,
we describe how probabilistic numerical methods provide a coherent framework
for identifying the uncertainty in calculations performed with a combination of
numerical algorithms (e.g. both numerical optimisers and differential equation
solvers), potentially allowing the diagnosis (and control) of error sources in
computations.Comment: Author Generated Postprint. 17 pages, 4 Figures, 1 Tabl
Fingerprint Policy Optimisation for Robust Reinforcement Learning
Policy gradient methods ignore the potential value of adjusting environment
variables: unobservable state features that are randomly determined by the
environment in a physical setting, but are controllable in a simulator. This
can lead to slow learning, or convergence to suboptimal policies, if the
environment variable has a large impact on the transition dynamics. In this
paper, we present fingerprint policy optimisation (FPO), which finds a policy
that is optimal in expectation across the distribution of environment
variables. The central idea is to use Bayesian optimisation (BO) to actively
select the distribution of the environment variable that maximises the
improvement generated by each iteration of the policy gradient method. To make
this BO practical, we contribute two easy-to-compute low-dimensional
fingerprints of the current policy. Our experiments show that FPO can
efficiently learn policies that are robust to significant rare events, which
are unlikely to be observable under random sampling, but are key to learning
good policies.Comment: ICML 201
Unbiased and Consistent Nested Sampling via Sequential Monte Carlo
We introduce a new class of sequential Monte Carlo methods called Nested
Sampling via Sequential Monte Carlo (NS-SMC), which reframes the Nested
Sampling method of Skilling (2006) in terms of sequential Monte Carlo
techniques. This new framework allows convergence results to be obtained in the
setting when Markov chain Monte Carlo (MCMC) is used to produce new samples. An
additional benefit is that marginal likelihood estimates are unbiased. In
contrast to NS, the analysis of NS-SMC does not require the (unrealistic)
assumption that the simulated samples be independent. As the original NS
algorithm is a special case of NS-SMC, this provides insights as to why NS
seems to produce accurate estimates despite a typical violation of its
assumptions. For applications of NS-SMC, we give advice on tuning MCMC kernels
in an automated manner via a preliminary pilot run, and present a new method
for appropriately choosing the number of MCMC repeats at each iteration.
Finally, a numerical study is conducted where the performance of NS-SMC and
temperature-annealed SMC is compared on several challenging and realistic
problems. MATLAB code for our experiments is made available at
https://github.com/LeahPrice/SMC-NS .Comment: 45 pages, some minor typographical errors fixed since last versio
Building Proteins in a Day: Efficient 3D Molecular Reconstruction
Discovering the 3D atomic structure of molecules such as proteins and viruses
is a fundamental research problem in biology and medicine. Electron
Cryomicroscopy (Cryo-EM) is a promising vision-based technique for structure
estimation which attempts to reconstruct 3D structures from 2D images. This
paper addresses the challenging problem of 3D reconstruction from 2D Cryo-EM
images. A new framework for estimation is introduced which relies on modern
stochastic optimization techniques to scale to large datasets. We also
introduce a novel technique which reduces the cost of evaluating the objective
function during optimization by over five orders or magnitude. The net result
is an approach capable of estimating 3D molecular structure from large scale
datasets in about a day on a single workstation.Comment: To be presented at IEEE Conference on Computer Vision and Pattern
Recognition (CVPR) 201
A remarkably simple and accurate method for computing the Bayes Factor from a Markov chain Monte Carlo Simulation of the Posterior Distribution in high dimension
Weinberg (2012) described a constructive algorithm for computing the marginal
likelihood, Z, from a Markov chain simulation of the posterior distribution.
Its key point is: the choice of an integration subdomain that eliminates
subvolumes with poor sampling owing to low tail-values of posterior
probability. Conversely, this same idea may be used to choose the subdomain
that optimizes the accuracy of Z. Here, we explore using the simulated
distribution to define a small region of high posterior probability, followed
by a numerical integration of the sample in the selected region using the
volume tessellation algorithm described in Weinberg (2012). Even more promising
is the resampling of this small region followed by a naive Monte Carlo
integration. The new enhanced algorithm is computationally trivial and leads to
a dramatic improvement in accuracy. For example, this application of the new
algorithm to a four-component mixture with random locations in 16 dimensions
yields accurate evaluation of Z with 5% errors. This enables Bayes-factor model
selection for real-world problems that have been infeasible with previous
methods.Comment: 14 pages, 3 figures, submitted to Bayesian Analysi
- …