Probabilistic projections of HIV prevalence using Bayesian melding

The Joint United Nations Programme on HIV/AIDS (UNAIDS) has developed the Estimation and Projection Package (EPP) for making national estimates and short-term projections of HIV prevalence based on observed prevalence trends at antenatal clinics. Assessing the uncertainty about its estimates and projections is important for informed policy decision making, and we propose the use of Bayesian melding for this purpose. Prevalence data and other information about the EPP model's input parameters are used to derive a probabilistic HIV prevalence projection, namely a probability distribution over a set of future prevalence trajectories. We relate antenatal clinic prevalence to population prevalence and account for variability between clinics using a random effects model. Predictive intervals for clinic prevalence are derived for checking the model. We discuss predictions given by the EPP model and the results of the Bayesian melding procedure for Uganda, where prevalence peaked at around 28% in 1990; the 95% prediction interval for 2010 ranges from 2% to 7%.Comment: Published at http://dx.doi.org/10.1214/07-AOAS111 in the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Probabilistic Interpretation of Linear Solvers

This manuscript proposes a probabilistic framework for algorithms that iteratively solve unconstrained linear problems $Bx = b$ with positive definite $B$ for $x$. The goal is to replace the point estimates returned by existing methods with a Gaussian posterior belief over the elements of the inverse of $B$, which can be used to estimate errors. Recent probabilistic interpretations of the secant family of quasi-Newton optimization algorithms are extended. Combined with properties of the conjugate gradient algorithm, this leads to uncertainty-calibrated methods with very limited cost overhead over conjugate gradients, a self-contained novel interpretation of the quasi-Newton and conjugate gradient algorithms, and a foundation for new nonlinear optimization methods.Comment: final version, in press at SIAM J Optimizatio

Probabilistic projections of HIV prevalence using Bayesian melding

The Joint United Nations Programme on HIV/AIDS (UNAIDS) has developed the Estimation and Projection Package (EPP) for making national estimates and short-term projections of HIV prevalence based on observed prevalence trends at antenatal clinics. Assessing the uncertainty about its estimates and projections is important for informed policy decision making, and we propose the use of Bayesian melding for this purpose. Prevalence data and other information about the EPP model's input parameters are used to derive a probabilistic HIV prevalence projection, namely a probability distribution over a set of future prevalence trajectories. We relate antenatal clinic prevalence to population prevalence and account for variability between clinics using a random effects model. Predictive intervals for clinic prevalence are derived for checking the model. We discuss predictions given by the EPP model and the results of the Bayesian melding procedure for Uganda, where prevalence peaked at around 28% in 1990; the 95% prediction interval for 2010 ranges from 2% to 7%.Comment: Published at http://dx.doi.org/10.1214/07-AOAS111 in the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Probabilistic Modeling Paradigms for Audio Source Separation

This is the author's final version of the article, first published as E. Vincent, M. G. Jafari, S. A. Abdallah, M. D. Plumbley, M. E. Davies. Probabilistic Modeling Paradigms for Audio Source Separation. In W. Wang (Ed), Machine Audition: Principles, Algorithms and Systems. Chapter 7, pp. 162-185. IGI Global, 2011. ISBN 978-1-61520-919-4. DOI: 10.4018/978-1-61520-919-4.ch007file: VincentJafariAbdallahPD11-probabilistic.pdf:v\VincentJafariAbdallahPD11-probabilistic.pdf:PDF owner: markp timestamp: 2011.02.04file: VincentJafariAbdallahPD11-probabilistic.pdf:v\VincentJafariAbdallahPD11-probabilistic.pdf:PDF owner: markp timestamp: 2011.02.04Most sound scenes result from the superposition of several sources, which can be separately perceived and analyzed by human listeners. Source separation aims to provide machine listeners with similar skills by extracting the sounds of individual sources from a given scene. Existing separation systems operate either by emulating the human auditory system or by inferring the parameters of probabilistic sound models. In this chapter, the authors focus on the latter approach and provide a joint overview of established and recent models, including independent component analysis, local time-frequency models and spectral template-based models. They show that most models are instances of one of the following two general paradigms: linear modeling or variance modeling. They compare the merits of either paradigm and report objective performance figures. They also,conclude by discussing promising combinations of probabilistic priors and inference algorithms that could form the basis of future state-of-the-art systems

A Factor Graph Approach to Automated Design of Bayesian Signal Processing Algorithms

The benefits of automating design cycles for Bayesian inference-based algorithms are becoming increasingly recognized by the machine learning community. As a result, interest in probabilistic programming frameworks has much increased over the past few years. This paper explores a specific probabilistic programming paradigm, namely message passing in Forney-style factor graphs (FFGs), in the context of automated design of efficient Bayesian signal processing algorithms. To this end, we developed "ForneyLab" (https://github.com/biaslab/ForneyLab.jl) as a Julia toolbox for message passing-based inference in FFGs. We show by example how ForneyLab enables automatic derivation of Bayesian signal processing algorithms, including algorithms for parameter estimation and model comparison. Crucially, due to the modular makeup of the FFG framework, both the model specification and inference methods are readily extensible in ForneyLab. In order to test this framework, we compared variational message passing as implemented by ForneyLab with automatic differentiation variational inference (ADVI) and Monte Carlo methods as implemented by state-of-the-art tools "Edward" and "Stan". In terms of performance, extensibility and stability issues, ForneyLab appears to enjoy an edge relative to its competitors for automated inference in state-space models.Comment: Accepted for publication in the International Journal of Approximate Reasonin

Super-resolution Line Spectrum Estimation with Block Priors

We address the problem of super-resolution line spectrum estimation of an undersampled signal with block prior information. The component frequencies of the signal are assumed to take arbitrary continuous values in known frequency blocks. We formulate a general semidefinite program to recover these continuous-valued frequencies using theories of positive trigonometric polynomials. The proposed semidefinite program achieves super-resolution frequency recovery by taking advantage of known structures of frequency blocks. Numerical experiments show great performance enhancements using our method.Comment: 7 pages, double colum

Fast and scalable Gaussian process modeling with applications to astronomical time series

The growing field of large-scale time domain astronomy requires methods for probabilistic data analysis that are computationally tractable, even with large datasets. Gaussian Processes are a popular class of models used for this purpose but, since the computational cost scales, in general, as the cube of the number of data points, their application has been limited to small datasets. In this paper, we present a novel method for Gaussian Process modeling in one-dimension where the computational requirements scale linearly with the size of the dataset. We demonstrate the method by applying it to simulated and real astronomical time series datasets. These demonstrations are examples of probabilistic inference of stellar rotation periods, asteroseismic oscillation spectra, and transiting planet parameters. The method exploits structure in the problem when the covariance function is expressed as a mixture of complex exponentials, without requiring evenly spaced observations or uniform noise. This form of covariance arises naturally when the process is a mixture of stochastically-driven damped harmonic oscillators -- providing a physical motivation for and interpretation of this choice -- but we also demonstrate that it can be a useful effective model in some other cases. We present a mathematical description of the method and compare it to existing scalable Gaussian Process methods. The method is fast and interpretable, with a range of potential applications within astronomical data analysis and beyond. We provide well-tested and documented open-source implementations of this method in C++, Python, and Julia.Comment: Updated in response to referee. Submitted to the AAS Journals. Comments (still) welcome. Code available: https://github.com/dfm/celerit