Efficient Inference of Gaussian Process Modulated Renewal Processes with Application to Medical Event Data

The episodic, irregular and asynchronous nature of medical data render them difficult substrates for standard machine learning algorithms. We would like to abstract away this difficulty for the class of time-stamped categorical variables (or events) by modeling them as a renewal process and inferring a probability density over continuous, longitudinal, nonparametric intensity functions modulating that process. Several methods exist for inferring such a density over intensity functions, but either their constraints and assumptions prevent their use with our potentially bursty event streams, or their time complexity renders their use intractable on our long-duration observations of high-resolution events, or both. In this paper we present a new and efficient method for inferring a distribution over intensity functions that uses direct numeric integration and smooth interpolation over Gaussian processes. We demonstrate that our direct method is up to twice as accurate and two orders of magnitude more efficient than the best existing method (thinning). Importantly, the direct method can infer intensity functions over the full range of bursty to memoryless to regular events, which thinning and many other methods cannot. Finally, we apply the method to clinical event data and demonstrate the face-validity of the abstraction, which is now amenable to standard learning algorithms.Comment: 8 pages, 4 figure

A Semi-Markov Modulated Interest Rate Model

In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor and we describe a Monte Carlo al- gorithm to execute simulations. The results are specialized to classical models as those by Vasicek, Hull and White and CIR with a semi-Markov modulation

A Method for the Combination of Stochastic Time Varying Load Effects

The problem of evaluating the probability that a structure becomes unsafe under a combination of loads, over a given time period, is addressed. The loads and load effects are modeled as either pulse (static problem) processes with random occurrence time, intensity and a specified shape or intermittent continuous (dynamic problem) processes which are zero mean Gaussian processes superimposed 'on a pulse process. The load coincidence method is extended to problems with both nonlinear limit states and dynamic responses, including the case of correlated dynamic responses. The technique of linearization of a nonlinear limit state commonly used in a time-invariant problem is investigated for timevarying combination problems, with emphasis on selecting the linearization point. Results are compared with other methods, namely the method based on upcrossing rate, simpler combination rules such as Square Root of Sum of Squares and Turkstra's rule. Correlated effects among dynamic loads are examined to see how results differ from correlated static loads and to demonstrate which types of load dependencies are most important, i.e., affect' the exceedance probabilities the most. Application of the load coincidence method to code development is briefly discussed.National Science Foundation Grants CME 79-18053 and CEE 82-0759