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 $f$ over functions on $\mathcal{X} \subset \mathbb{R}^{n}$ taking values in $\mathbb{R}$, where the process $\mathcal{L}f$ is still Gaussian when $\mathcal{L}$ is a linear operator. Our goal is to model $f$ under the constraint that realizations of $\mathcal{L}f$ are confined to a convex set of functions. In particular, we require that $a \leq \mathcal{L}f \leq b$, given two functions $a$ and $b$ where $a < b$ 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

Quantifying statistical uncertainty in the attribution of human influence on severe weather

Event attribution in the context of climate change seeks to understand the role of anthropogenic greenhouse gas emissions on extreme weather events, either specific events or classes of events. A common approach to event attribution uses climate model output under factual (real-world) and counterfactual (world that might have been without anthropogenic greenhouse gas emissions) scenarios to estimate the probabilities of the event of interest under the two scenarios. Event attribution is then quantified by the ratio of the two probabilities. While this approach has been applied many times in the last 15 years, the statistical techniques used to estimate the risk ratio based on climate model ensembles have not drawn on the full set of methods available in the statistical literature and have in some cases used and interpreted the bootstrap method in non-standard ways. We present a precise frequentist statistical framework for quantifying the effect of sampling uncertainty on estimation of the risk ratio, propose the use of statistical methods that are new to event attribution, and evaluate a variety of methods using statistical simulations. We conclude that existing statistical methods not yet in use for event attribution have several advantages over the widely-used bootstrap, including better statistical performance in repeated samples and robustness to small estimated probabilities. Software for using the methods is available through the climextRemes package available for R or Python. While we focus on frequentist statistical methods, Bayesian methods are likely to be particularly useful when considering sources of uncertainty beyond sampling uncertainty.Comment: 41 pages, 11 figures, 1 tabl

Mean Estimation from Adaptive One-bit Measurements

We consider the problem of estimating the mean of a normal distribution under the following constraint: the estimator can access only a single bit from each sample from this distribution. We study the squared error risk in this estimation as a function of the number of samples and one-bit measurements $n$. We consider an adaptive estimation setting where the single-bit sent at step $n$ is a function of both the new sample and the previous $n-1$ acquired bits. For this setting, we show that no estimator can attain asymptotic mean squared error smaller than $\pi/(2n)+O(n^{-2})$ times the variance. In other words, one-bit restriction increases the number of samples required for a prescribed accuracy of estimation by a factor of at least $\pi/2$ compared to the unrestricted case. In addition, we provide an explicit estimator that attains this asymptotic error, showing that, rather surprisingly, only $\pi/2$ times more samples are required in order to attain estimation performance equivalent to the unrestricted case

Optimizing Resolution and Uncertainty in Bathymetric Sonar Systems

Bathymetric sonar systems (whether multibeam or phase-differencing sidescan) contain an inherent trade-off between resolution and uncertainty. Systems are traditionally designed with a fixed spatial resolution, and the parameter settings are optimized to minimize the uncertainty in the soundings within that constraint. By fixing the spatial resolution of the system, current generation sonars operate sub-optimally when the SNR is high, producing soundings with lower resolution than is supportable by the data, and inefficiently when the SNR is low, producing high-uncertainty soundings of little value. Here we propose fixing the sounding measurement uncertainty instead, and optimizing the resolution of the system within that uncertainty constraint. Fixing the sounding measurement uncertainty produces a swath with a variable number of bathymetric estimates per ping, in which each estimate’s spatial resolution is optimized by combining measurements only until the desired depth uncertainty is achieved. When the signal to noise ratio is sufficiently high such that the desired depth uncertainty is achieved with individual measurements, bathymetric estimates are produced at the sonar’s full resolution capability. Correspondingly, a sonar’s resolution is no-longer only considered as a property of the sonar (based on, for example, beamwidth and bandwidth,) but now incorporates geometrical aspects of the measurements and environmental factors (e.g., seafloor scattering strength). Examples are shown from both multibeam and phase- differencing sonar systems

Estimating extragalactic Faraday rotation

(abridged) Observations of Faraday rotation for extragalactic sources probe magnetic fields both inside and outside the Milky Way. Building on our earlier estimate of the Galactic contribution, we set out to estimate the extragalactic contributions. We discuss the problems involved; in particular, we point out that taking the difference between the observed values and the Galactic foreground reconstruction is not a good estimate for the extragalactic contributions. We point out a degeneracy between the contributions to the observed values due to extragalactic magnetic fields and observational noise and comment on the dangers of over-interpreting an estimate without taking into account its uncertainty information. To overcome these difficulties, we develop an extended reconstruction algorithm based on the assumption that the observational uncertainties are accurately described for a subset of the data, which can overcome the degeneracy with the extragalactic contributions. We present a probabilistic derivation of the algorithm and demonstrate its performance using a simulation, yielding a high quality reconstruction of the Galactic Faraday rotation foreground, a precise estimate of the typical extragalactic contribution, and a well-defined probabilistic description of the extragalactic contribution for each data point. We then apply this reconstruction technique to a catalog of Faraday rotation observations. We vary our assumptions about the data, showing that the dispersion of extragalactic contributions to observed Faraday depths is most likely lower than 7 rad/m^2, in agreement with earlier results, and that the extragalactic contribution to an individual data point is poorly constrained by the data in most cases.Comment: 20 + 6 pages, 19 figures; minor changes after bug-fix; version accepted for publication by A&A; results are available at http://www.mpa-garching.mpg.de/ift/faraday