2,253 research outputs found
Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling
Gaussian process emulators of computationally expensive computer codes
provide fast statistical approximations to model physical processes. The
training of these surrogates depends on the set of design points chosen to run
the simulator. Due to computational cost, such training set is bound to be
limited and quantifying the resulting uncertainty in the hyper-parameters of
the emulator by uni-modal distributions is likely to induce bias. In order to
quantify this uncertainty, this paper proposes a computationally efficient
sampler based on an extension of Asymptotically Independent Markov Sampling, a
recently developed algorithm for Bayesian inference. Structural uncertainty of
the emulator is obtained as a by-product of the Bayesian treatment of the
hyper-parameters. Additionally, the user can choose to perform stochastic
optimisation to sample from a neighbourhood of the Maximum a Posteriori
estimate, even in the presence of multimodality. Model uncertainty is also
acknowledged through numerical stabilisation measures by including a nugget
term in the formulation of the probability model. The efficiency of the
proposed sampler is illustrated in examples where multi-modal distributions are
encountered. For the purpose of reproducibility, further development, and use
in other applications the code used to generate the examples is freely
available for download at https://github.com/agarbuno/paims_codesComment: Computational Statistics \& Data Analysis, Volume 103, November 201
Transitional annealed adaptive slice sampling for Gaussian process hyper-parameter estimation
Surrogate models have become ubiquitous in science and engineering for their capability of emulating expensive computer codes, necessary to model and investigate complex phenomena. Bayesian emulators based on Gaussian processes adequately quantify the uncertainty that results from the cost of the original simulator, and thus the inability to evaluate it on the whole input space. However, it is common in the literature that only a partial Bayesian analysis is carried out, whereby the underlying hyper-parameters are estimated via gradient-free optimization or genetic algorithms, to name a few methods. On the other hand, maximum a posteriori (MAP) estimation could discard important regions of the hyper-parameter space. In this paper, we carry out a more complete Bayesian inference, that combines Slice Sampling with some recently developed sequential Monte Carlo samplers. The resulting algorithm improves the mixing in the sampling through the delayed-rejection nature of Slice Sampling, the inclusion of an annealing scheme akin to Asymptotically Independent Markov Sampling and parallelization via transitional Markov chain Monte Carlo. Examples related to the estimation of Gaussian process hyper-parameters are presented. For the purpose of reproducibility, further development, and use in other applications, the code to generate the examples in this paper is freely available for download at http://github.com/agarbuno/ta2s2_codes
Joint segmentation of multivariate astronomical time series : bayesian sampling with a hierarchical model
Astronomy and other sciences often face the problem of detecting and characterizing structure in two or more related time series. This paper approaches such problems using Bayesian priors to represent relationships between signals with various degrees of certainty, and not just rigid constraints. The segmentation is conducted by using a hierarchical Bayesian approach to a piecewise constant Poisson rate model. A Gibbs sampling strategy allows joint estimation of the unknown parameters and hyperparameters. Results obtained with synthetic and real photon counting data illustrate the performance of the proposed algorithm
Collaborative sparse regression using spatially correlated supports - Application to hyperspectral unmixing
This paper presents a new Bayesian collaborative sparse regression method for
linear unmixing of hyperspectral images. Our contribution is twofold; first, we
propose a new Bayesian model for structured sparse regression in which the
supports of the sparse abundance vectors are a priori spatially correlated
across pixels (i.e., materials are spatially organised rather than randomly
distributed at a pixel level). This prior information is encoded in the model
through a truncated multivariate Ising Markov random field, which also takes
into consideration the facts that pixels cannot be empty (i.e, there is at
least one material present in each pixel), and that different materials may
exhibit different degrees of spatial regularity. Secondly, we propose an
advanced Markov chain Monte Carlo algorithm to estimate the posterior
probabilities that materials are present or absent in each pixel, and,
conditionally to the maximum marginal a posteriori configuration of the
support, compute the MMSE estimates of the abundance vectors. A remarkable
property of this algorithm is that it self-adjusts the values of the parameters
of the Markov random field, thus relieving practitioners from setting
regularisation parameters by cross-validation. The performance of the proposed
methodology is finally demonstrated through a series of experiments with
synthetic and real data and comparisons with other algorithms from the
literature
A Bayesian Poisson-Gaussian Process Model for Popularity Learning in Edge-Caching Networks
Edge-caching is recognized as an efficient technique for future cellular
networks to improve network capacity and user-perceived quality of experience.
To enhance the performance of caching systems, designing an accurate content
request prediction algorithm plays an important role. In this paper, we develop
a flexible model, a Poisson regressor based on a Gaussian process, for the
content request distribution.
The first important advantage of the proposed model is that it encourages the
already existing or seen contents with similar features to be correlated in the
feature space and therefore it acts as a regularizer for the estimation.
Second, it allows to predict the popularities of newly-added or unseen contents
whose statistical data is not available in advance. In order to learn the model
parameters, which yield the Poisson arrival rates or alternatively the content
\textit{popularities}, we invoke the Bayesian approach which is robust against
over-fitting.
However, the resulting posterior distribution is analytically intractable to
compute. To tackle this, we apply a Markov Chain Monte Carlo (MCMC) method to
approximate this distribution which is also asymptotically exact. Nevertheless,
the MCMC is computationally demanding especially when the number of contents is
large. Thus, we employ the Variational Bayes (VB) method as an alternative low
complexity solution. More specifically, the VB method addresses the
approximation of the posterior distribution through an optimization problem.
Subsequently, we present a fast block-coordinate descent algorithm to solve
this optimization problem. Finally, extensive simulation results both on
synthetic and real-world datasets are provided to show the accuracy of our
prediction algorithm and the cache hit ratio (CHR) gain compared to existing
methods from the literature
- …