Stochastic modeling error reduction using Bayesian approach coupled with an adaptive Kriging based model

Purpose - Magnetic material properties of an electromagnetic device (EMD) can be recovered by solving a coupled experimental numerical inverse problem. In order to ensure the highest possible accuracy of the inverse problem solution, all physics of the EMD need to be perfectly modeled using a complex numerical model. However, these fine models demand a high computational time. Alternatively, less accurate coarse models can be used with a demerit of the high expected recovery errors. The purpose of this paper is to present an efficient methodology to reduce the effect of stochastic modeling errors in the inverse problem solution. Design/methodology/approach - The recovery error in the electromagnetic inverse problem solution is reduced using the Bayesian approximation error approach coupled with an adaptive Kriging-based model. The accuracy of the forward model is assessed and adapted a priori using the cross-validation technique. Findings - The adaptive Kriging-based model seems to be an efficient technique for modeling EMDs used in inverse problems. Moreover, using the proposed methodology, the recovery error in the electromagnetic inverse problem solution is largely reduced in a relatively small computational time and memory storage. Originality/value - The proposed methodology is capable of not only improving the accuracy of the inverse problem solution, but also reducing the computational time as well as the memory storage. Furthermore, to the best of the authors knowledge, it is the first time to combine the adaptive Kriging-based model with the Bayesian approximation error approach for the stochastic modeling error reduction

Sequential Design for Ranking Response Surfaces

We propose and analyze sequential design methods for the problem of ranking several response surfaces. Namely, given $L \ge 2$ response surfaces over a continuous input space $\cal X$, the aim is to efficiently find the index of the minimal response across the entire $\cal X$. The response surfaces are not known and have to be noisily sampled one-at-a-time. This setting is motivated by stochastic control applications and requires joint experimental design both in space and response-index dimensions. To generate sequential design heuristics we investigate stepwise uncertainty reduction approaches, as well as sampling based on posterior classification complexity. We also make connections between our continuous-input formulation and the discrete framework of pure regret in multi-armed bandits. To model the response surfaces we utilize kriging surrogates. Several numerical examples using both synthetic data and an epidemics control problem are provided to illustrate our approach and the efficacy of respective adaptive designs.Comment: 26 pages, 7 figures (updated several sections and figures

Composite Gaussian process models for emulating expensive functions

A new type of nonstationary Gaussian process model is developed for approximating computationally expensive functions. The new model is a composite of two Gaussian processes, where the first one captures the smooth global trend and the second one models local details. The new predictor also incorporates a flexible variance model, which makes it more capable of approximating surfaces with varying volatility. Compared to the commonly used stationary Gaussian process model, the new predictor is numerically more stable and can more accurately approximate complex surfaces when the experimental design is sparse. In addition, the new model can also improve the prediction intervals by quantifying the change of local variability associated with the response. Advantages of the new predictor are demonstrated using several examples.Comment: Published in at http://dx.doi.org/10.1214/12-AOAS570 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

A Tutorial on Bayesian Optimization of Expensive Cost Functions, with Application to Active User Modeling and Hierarchical Reinforcement Learning

We present a tutorial on Bayesian optimization, a method of finding the maximum of expensive cost functions. Bayesian optimization employs the Bayesian technique of setting a prior over the objective function and combining it with evidence to get a posterior function. This permits a utility-based selection of the next observation to make on the objective function, which must take into account both exploration (sampling from areas of high uncertainty) and exploitation (sampling areas likely to offer improvement over the current best observation). We also present two detailed extensions of Bayesian optimization, with experiments---active user modelling with preferences, and hierarchical reinforcement learning---and a discussion of the pros and cons of Bayesian optimization based on our experiences

Non-stationary patterns of isolation-by-distance: inferring measures of local genetic differentiation with Bayesian kriging

Patterns of isolation-by-distance arise when population differentiation increases with increasing geographic distances. Patterns of isolation-by-distance are usually caused by local spatial dispersal, which explains why differences of allele frequencies between populations accumulate with distance. However, spatial variations of demographic parameters such as migration rate or population density can generate non-stationary patterns of isolation-by-distance where the rate at which genetic differentiation accumulates varies across space. To characterize non-stationary patterns of isolation-by-distance, we infer local genetic differentiation based on Bayesian kriging. Local genetic differentiation for a sampled population is defined as the average genetic differentiation between the sampled population and fictive neighboring populations. To avoid defining populations in advance, the method can also be applied at the scale of individuals making it relevant for landscape genetics. Inference of local genetic differentiation relies on a matrix of pairwise similarity or dissimilarity between populations or individuals such as matrices of FST between pairs of populations. Simulation studies show that maps of local genetic differentiation can reveal barriers to gene flow but also other patterns such as continuous variations of gene flow across habitat. The potential of the method is illustrated with 2 data sets: genome-wide SNP data for human Swedish populations and AFLP markers for alpine plant species. The software LocalDiff implementing the method is available at http://membres-timc.imag.fr/Michael.Blum/LocalDiff.htmlComment: In press, Evolution 201