28,338 research outputs found
Markov chain simulation with fewer random samples
We propose an accelerated CTMC simulation method that is exact in the sense that it produces all of the transitions involved. We call our method Path Sampling Simulation as it samples from the distribution of trajectories and the distribution of time given some particular trajectory. Sampling from the trajectory space rather than the transition space means that we need to generate fewer random numbers, which is an operation that is typically computationally expensive. Sampling from the time distribution involves approximating the exponential distributions that govern the sojourn times with a geometric distribution. A proper selection for the approximation parameters can ensure that the stochastic process simulated is almost identical to the simulation of the original Markov chain. Our approach does not depend on the properties of the system and it can be used as an alternative to more efficient approaches when those are not applicable. 1
Respondent-Driven Sampling: An Assessment of Current Methodology
Respondent-Driven Sampling (RDS) employs a variant of a link-tracing network
sampling strategy to collect data from hard-to-reach populations. By tracing
the links in the underlying social network, the process exploits the social
structure to expand the sample and reduce its dependence on the initial
(convenience) sample.
The primary goal of RDS is typically to estimate population averages in the
hard-to-reach population. The current estimates make strong assumptions in
order to treat the data as a probability sample. In particular, we evaluate
three critical sensitivities of the estimators: to bias induced by the initial
sample, to uncontrollable features of respondent behavior, and to the
without-replacement structure of sampling.
This paper sounds a cautionary note for the users of RDS. While current RDS
methodology is powerful and clever, the favorable statistical properties
claimed for the current estimates are shown to be heavily dependent on often
unrealistic assumptions.Comment: 35 pages, 29 figures, under revie
Monte Carlo techniques for real-time quantum dynamics
The stochastic-gauge representation is a method of mapping the equation of
motion for the quantum mechanical density operator onto a set of equivalent
stochastic differential equations. One of the stochastic variables is termed
the "weight", and its magnitude is related to the importance of the stochastic
trajectory. We investigate the use of Monte Carlo algorithms to improve the
sampling of the weighted trajectories and thus reduce sampling error in a
simulation of quantum dynamics. The method can be applied to calculations in
real time, as well as imaginary time for which Monte Carlo algorithms are
more-commonly used. The method is applicable when the weight is guaranteed to
be real, and we demonstrate how to ensure this is the case. Examples are given
for the anharmonic oscillator, where large improvements over stochastic
sampling are observed.Comment: 28 pages, submitted to J. Comp. Phy
Joint state-parameter estimation of a nonlinear stochastic energy balance model from sparse noisy data
While nonlinear stochastic partial differential equations arise naturally in
spatiotemporal modeling, inference for such systems often faces two major
challenges: sparse noisy data and ill-posedness of the inverse problem of
parameter estimation. To overcome the challenges, we introduce a strongly
regularized posterior by normalizing the likelihood and by imposing physical
constraints through priors of the parameters and states. We investigate joint
parameter-state estimation by the regularized posterior in a physically
motivated nonlinear stochastic energy balance model (SEBM) for paleoclimate
reconstruction. The high-dimensional posterior is sampled by a particle Gibbs
sampler that combines MCMC with an optimal particle filter exploiting the
structure of the SEBM. In tests using either Gaussian or uniform priors based
on the physical range of parameters, the regularized posteriors overcome the
ill-posedness and lead to samples within physical ranges, quantifying the
uncertainty in estimation. Due to the ill-posedness and the regularization, the
posterior of parameters presents a relatively large uncertainty, and
consequently, the maximum of the posterior, which is the minimizer in a
variational approach, can have a large variation. In contrast, the posterior of
states generally concentrates near the truth, substantially filtering out
observation noise and reducing uncertainty in the unconstrained SEBM
Differential Evolution Markov Chain with snooker updater and fewer chains
Differential Evolution Markov Chain (DE-MC) is an adaptive MCMC algorithm, in which multiple chains are run in parallel. Standard DE-MC requires at least N=2d chains to be run in parallel, where d is the dimensionality of the posterior. This paper extends DE-MC with a snooker updater and shows by simulation and real examples that DE-MC can work for d up to 50–100 with fewer parallel chains (e.g. N=3) by exploiting information from their past by generating jumps from differences of pairs of past states. This approach extends the practical applicability of DE-MC and is shown to be about 5–26 times more efficient than the optimal Normal random walk Metropolis sampler for the 97.5% point of a variable from a 25–50 dimensional Student t 3 distribution. In a nonlinear mixed effects model example the approach outperformed a block-updater geared to the specific features of the mode
How to Couple from the Past Using a Read-Once Source of Randomness
We give a new method for generating perfectly random samples from the
stationary distribution of a Markov chain. The method is related to coupling
from the past (CFTP), but only runs the Markov chain forwards in time, and
never restarts it at previous times in the past. The method is also related to
an idea known as PASTA (Poisson arrivals see time averages) in the operations
research literature. Because the new algorithm can be run using a read-once
stream of randomness, we call it read-once CFTP. The memory and time
requirements of read-once CFTP are on par with the requirements of the usual
form of CFTP, and for a variety of applications the requirements may be
noticeably less. Some perfect sampling algorithms for point processes are based
on an extension of CFTP known as coupling into and from the past; for
completeness, we give a read-once version of coupling into and from the past,
but it remains unpractical. For these point process applications, we give an
alternative coupling method with which read-once CFTP may be efficiently used.Comment: 28 pages, 2 figure
Driving Markov chain Monte Carlo with a dependent random stream
Markov chain Monte Carlo is a widely-used technique for generating a
dependent sequence of samples from complex distributions. Conventionally, these
methods require a source of independent random variates. Most implementations
use pseudo-random numbers instead because generating true independent variates
with a physical system is not straightforward. In this paper we show how to
modify some commonly used Markov chains to use a dependent stream of random
numbers in place of independent uniform variates. The resulting Markov chains
have the correct invariant distribution without requiring detailed knowledge of
the stream's dependencies or even its marginal distribution. As a side-effect,
sometimes far fewer random numbers are required to obtain accurate results.Comment: 16 pages, 4 figure
Coupling Control Variates for Markov Chain Monte Carlo
We show that Markov couplings can be used to improve the accuracy of Markov
chain Monte Carlo calculations in some situations where the steady-state
probability distribution is not explicitly known. The technique generalizes the
notion of control variates from classical Monte Carlo integration. We
illustrate it using two models of nonequilibrium transport
Prediction of survival probabilities with Bayesian Decision Trees
Practitioners use Trauma and Injury Severity Score (TRISS) models for predicting the survival probability of an injured patient. The accuracy of TRISS predictions is acceptable for patients with up to three typical injuries, but unacceptable for patients with a larger number of injuries or with atypical injuries. Based on a regression model, the TRISS methodology does not provide the predictive density required for accurate assessment of risk. Moreover, the regression model is difficult to interpret. We therefore consider Bayesian inference for estimating the predictive distribution of survival. The inference is based on decision tree models which recursively split data along explanatory variables, and so practitioners can understand these models. We propose the Bayesian method for estimating the predictive density and show that it outperforms the TRISS method in terms of both goodness-of-fit and classification accuracy. The developed method has been made available for evaluation purposes as a stand-alone application
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