A distributionally robust perspective on uncertainty quantification and chance constrained programming

The objective of uncertainty quantification is to certify that a given physical, engineering or economic system satisfies multiple safety conditions with high probability. A more ambitious goal is to actively influence the system so as to guarantee and maintain its safety, a scenario which can be modeled through a chance constrained program. In this paper we assume that the parameters of the system are governed by an ambiguous distribution that is only known to belong to an ambiguity set characterized through generalized moment bounds and structural properties such as symmetry, unimodality or independence patterns. We delineate the watershed between tractability and intractability in ambiguity-averse uncertainty quantification and chance constrained programming. Using tools from distributionally robust optimization, we derive explicit conic reformulations for tractable problem classes and suggest efficiently computable conservative approximations for intractable ones

Bayesian Inference of Log Determinants

The log-determinant of a kernel matrix appears in a variety of machine learning problems, ranging from determinantal point processes and generalized Markov random fields, through to the training of Gaussian processes. Exact calculation of this term is often intractable when the size of the kernel matrix exceeds a few thousand. In the spirit of probabilistic numerics, we reinterpret the problem of computing the log-determinant as a Bayesian inference problem. In particular, we combine prior knowledge in the form of bounds from matrix theory and evidence derived from stochastic trace estimation to obtain probabilistic estimates for the log-determinant and its associated uncertainty within a given computational budget. Beyond its novelty and theoretic appeal, the performance of our proposal is competitive with state-of-the-art approaches to approximating the log-determinant, while also quantifying the uncertainty due to budget-constrained evidence.Comment: 12 pages, 3 figure

Robust mean absolute deviation problems on networks with linear vertex weights

This article deals with incorporating the mean absolute deviation objective function in several robust single facility location models on networks with dynamic evolution of node weights, which are modeled by means of linear functions of a parameter. Specifically, we have considered two robustness criteria applied to the mean absolute deviation problem: the MinMax criterion, and the MinMax regret criterion. For solving the corresponding optimization problems, exact algorithms have been proposed and their complexities have been also analyzed.Ministerio de Ciencia e Innovación MTM2007-67433-C02-(01,02)Ministerio de Ciencia e Innovación MTM2009-14243Ministerio de Ciencia e Innovación MTM2010-19576-C02-(01,02)Ministerio de Ciencia e Innovación DE2009-0057Junta de Andalucía P09-TEP-5022Junta de Andalucía FQM-584

Targeting Bayes factors with direct-path non-equilibrium thermodynamic integration

Thermodynamic integration (TI) for computing marginal likelihoods is based on an inverse annealing path from the prior to the posterior distribution. In many cases, the resulting estimator suffers from high variability, which particularly stems from the prior regime. When comparing complex models with differences in a comparatively small number of parameters, intrinsic errors from sampling fluctuations may outweigh the differences in the log marginal likelihood estimates. In the present article, we propose a thermodynamic integration scheme that directly targets the log Bayes factor. The method is based on a modified annealing path between the posterior distributions of the two models compared, which systematically avoids the high variance prior regime. We combine this scheme with the concept of non-equilibrium TI to minimise discretisation errors from numerical integration. Results obtained on Bayesian regression models applied to standard benchmark data, and a complex hierarchical model applied to biopathway inference, demonstrate a significant reduction in estimator variance over state-of-the-art TI methods

Rapid Computation of Thermodynamic Properties Over Multidimensional Nonbonded Parameter Spaces using Adaptive Multistate Reweighting

We show how thermodynamic properties of molecular models can be computed over a large, multidimensional parameter space by combining multistate reweighting analysis with a linear basis function approach. This approach reduces the computational cost to estimate thermodynamic properties from molecular simulations for over 130,000 tested parameter combinations from over a thousand CPU years to tens of CPU days. This speed increase is achieved primarily by computing the potential energy as a linear combination of basis functions, computed from either modified simulation code or as the difference of energy between two reference states, which can be done without any simulation code modification. The thermodynamic properties are then estimated with the Multistate Bennett Acceptance Ratio (MBAR) as a function of multiple model parameters without the need to define a priori how the states are connected by a pathway. Instead, we adaptively sample a set of points in parameter space to create mutual configuration space overlap. The existence of regions of poor configuration space overlap are detected by analyzing the eigenvalues of the sampled states' overlap matrix. The configuration space overlap to sampled states is monitored alongside the mean and maximum uncertainty to determine convergence, as neither the uncertainty or the configuration space overlap alone is a sufficient metric of convergence. This adaptive sampling scheme is demonstrated by estimating with high precision the solvation free energies of charged particles of Lennard-Jones plus Coulomb functional form. We also compute entropy, enthalpy, and radial distribution functions of unsampled parameter combinations using only the data from these sampled states and use the free energies estimates to examine the deviation of simulations from the Born approximation to the solvation free energy