9,177 research outputs found
Bayesian emulation for optimization in multi-step portfolio decisions
We discuss the Bayesian emulation approach to computational solution of
multi-step portfolio studies in financial time series. "Bayesian emulation for
decisions" involves mapping the technical structure of a decision analysis
problem to that of Bayesian inference in a purely synthetic "emulating"
statistical model. This provides access to standard posterior analytic,
simulation and optimization methods that yield indirect solutions of the
decision problem. We develop this in time series portfolio analysis using
classes of economically and psychologically relevant multi-step ahead portfolio
utility functions. Studies with multivariate currency, commodity and stock
index time series illustrate the approach and show some of the practical
utility and benefits of the Bayesian emulation methodology.Comment: 24 pages, 7 figures, 2 table
Emulation of Poincaré return maps with Gaussian Kriging models
In this paper we investigate the use of Gaussian emulators to give an accurate and computationally fast method to approximate return maps, a tool used to study the dynamics of differential equations. One advantage of emulators over other approximation techniques is that they encode deterministic data exactly, so where values of the return map are known these are also outputs of the emulator output, another is that emulators allow us to simultaneously emulate a parameterized family of ODEs giving a tool to assess the behavior of perturbed systems. The methods introduced here are illustrated using two well-known dynamical systems: The Rossler equations, and the Billiard system. We show that the method can be used to look at return maps and discuss the further implications for full computation of differential equation outputs
Dimension reduction for Gaussian process emulation: an application to the influence of bathymetry on tsunami heights
High accuracy complex computer models, or simulators, require large resources
in time and memory to produce realistic results. Statistical emulators are
computationally cheap approximations of such simulators. They can be built to
replace simulators for various purposes, such as the propagation of
uncertainties from inputs to outputs or the calibration of some internal
parameters against observations. However, when the input space is of high
dimension, the construction of an emulator can become prohibitively expensive.
In this paper, we introduce a joint framework merging emulation with dimension
reduction in order to overcome this hurdle. The gradient-based kernel dimension
reduction technique is chosen due to its ability to drastically decrease
dimensionality with little loss in information. The Gaussian process emulation
technique is combined with this dimension reduction approach. Our proposed
approach provides an answer to the dimension reduction issue in emulation for a
wide range of simulation problems that cannot be tackled using existing
methods. The efficiency and accuracy of the proposed framework is demonstrated
theoretically, and compared with other methods on an elliptic partial
differential equation (PDE) problem. We finally present a realistic application
to tsunami modeling. The uncertainties in the bathymetry (seafloor elevation)
are modeled as high-dimensional realizations of a spatial process using a
geostatistical approach. Our dimension-reduced emulation enables us to compute
the impact of these uncertainties on resulting possible tsunami wave heights
near-shore and on-shore. We observe a significant increase in the spread of
uncertainties in the tsunami heights due to the contribution of the bathymetry
uncertainties. These results highlight the need to include the effect of
uncertainties in the bathymetry in tsunami early warnings and risk assessments.Comment: 26 pages, 8 figures, 2 table
A Hierarchical Spatio-Temporal Statistical Model Motivated by Glaciology
In this paper, we extend and analyze a Bayesian hierarchical spatio-temporal
model for physical systems. A novelty is to model the discrepancy between the
output of a computer simulator for a physical process and the actual process
values with a multivariate random walk. For computational efficiency, linear
algebra for bandwidth limited matrices is utilized, and first-order emulator
inference allows for the fast emulation of a numerical partial differential
equation (PDE) solver. A test scenario from a physical system motivated by
glaciology is used to examine the speed and accuracy of the computational
methods used, in addition to the viability of modeling assumptions. We conclude
by discussing how the model and associated methodology can be applied in other
physical contexts besides glaciology.Comment: Revision accepted for publication by the Journal of Agricultural,
Biological, and Environmental Statistic
Gaussian processes with linear operator inequality constraints
This paper presents an approach for constrained Gaussian Process (GP)
regression where we assume that a set of linear transformations of the process
are bounded. It is motivated by machine learning applications for
high-consequence engineering systems, where this kind of information is often
made available from phenomenological knowledge. We consider a GP over
functions on taking values in
, where the process is still Gaussian when
is a linear operator. Our goal is to model under the
constraint that realizations of are confined to a convex set of
functions. In particular, we require that , given
two functions and where pointwise. This formulation provides a
consistent way of encoding multiple linear constraints, such as
shape-constraints based on e.g. boundedness, monotonicity or convexity. We
adopt the approach of using a sufficiently dense set of virtual observation
locations where the constraint is required to hold, and derive the exact
posterior for a conjugate likelihood. The results needed for stable numerical
implementation are derived, together with an efficient sampling scheme for
estimating the posterior process.Comment: Published in JMLR: http://jmlr.org/papers/volume20/19-065/19-065.pd
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