5,515 research outputs found
Nonuniform Markov models
A statistical language model assigns probability to strings of arbitrary
length. Unfortunately, it is not possible to gather reliable statistics on
strings of arbitrary length from a finite corpus. Therefore, a statistical
language model must decide that each symbol in a string depends on at most a
small, finite number of other symbols in the string. In this report we propose
a new way to model conditional independence in Markov models. The central
feature of our nonuniform Markov model is that it makes predictions of varying
lengths using contexts of varying lengths. Experiments on the Wall Street
Journal reveal that the nonuniform model performs slightly better than the
classic interpolated Markov model. This result is somewhat remarkable because
both models contain identical numbers of parameters whose values are estimated
in a similar manner. The only difference between the two models is how they
combine the statistics of longer and shorter strings.
Keywords: nonuniform Markov model, interpolated Markov model, conditional
independence, statistical language model, discrete time series.Comment: 17 page
The impact of agent density on scalability in collective systems : noise-induced versus majority-based bistability
In this paper, we show that non-uniform distributions in swarms of agents have an impact on the scalability of collective decision-making. In particular, we highlight the relevance of noise-induced bistability in very sparse swarm systems and the failure of these systems to scale. Our work is based on three decision models. In the first model, each agent can change its decision after being recruited by a nearby agent. The second model captures the dynamics of dense swarms controlled by the majority rule (i.e., agents switch their opinion to comply with that of the majority of their neighbors). The third model combines the first two, with the aim of studying the role of non-uniform swarm density in the performance of collective decision-making. Based on the three models, we formulate a set of requirements for convergence and scalability in collective decision-making
Adaptive Gibbs samplers and related MCMC methods
We consider various versions of adaptive Gibbs and Metropolis-within-Gibbs
samplers, which update their selection probabilities (and perhaps also their
proposal distributions) on the fly during a run by learning as they go in an
attempt to optimize the algorithm. We present a cautionary example of how even
a simple-seeming adaptive Gibbs sampler may fail to converge. We then present
various positive results guaranteeing convergence of adaptive Gibbs samplers
under certain conditions.Comment: Published in at http://dx.doi.org/10.1214/11-AAP806 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org). arXiv admin note:
substantial text overlap with arXiv:1001.279
A framework for the construction of generative models for mesoscale structure in multilayer networks
Multilayer networks allow one to represent diverse and coupled connectivity patternsâsuch as time-dependence, multiple subsystems, or bothâthat arise in many applications and which are difficult or awkward to incorporate into standard network representations. In the study of multilayer networks, it is important to investigate mesoscale (i.e., intermediate-scale) structures, such as dense sets of nodes known as communities, to discover network features that are not apparent at the microscale or the macroscale. The ill-defined nature of mesoscale structure and its ubiquity in empirical networks make it crucial to develop generative models that can produce the features that one encounters in empirical networks. Key purposes of such models include generating synthetic networks with empirical properties of interest, benchmarking mesoscale-detection methods and algorithms, and inferring structure in empirical multilayer networks. In this paper, we introduce a framework for the construction of generative models for mesoscale structures in multilayer networks. Our framework provides a standardized set of generative models, together with an associated set of principles from which they are derived, for studies of mesoscale structures in multilayer networks. It unifies and generalizes many existing models for mesoscale structures in fully ordered (e.g., temporal) and unordered (e.g., multiplex) multilayer networks. One can also use it to construct generative models for mesoscale structures in partially ordered multilayer networks (e.g., networks that are both temporal and multiplex). Our framework has the ability to produce many features of empirical multilayer networks, and it explicitly incorporates a user-specified dependency structure between layers. We discuss the parameters and properties of our framework, and we illustrate examples of its use with benchmark models for community-detection methods and algorithms in multilayer networks
USLV: Unspanned Stochastic Local Volatility Model
We propose a new framework for modeling stochastic local volatility, with
potential applications to modeling derivatives on interest rates, commodities,
credit, equity, FX etc., as well as hybrid derivatives. Our model extends the
linearity-generating unspanned volatility term structure model by Carr et al.
(2011) by adding a local volatility layer to it. We outline efficient numerical
schemes for pricing derivatives in this framework for a particular four-factor
specification (two "curve" factors plus two "volatility" factors). We show that
the dynamics of such a system can be approximated by a Markov chain on a
two-dimensional space (Z_t,Y_t), where coordinates Z_t and Y_t are given by
direct (Kroneker) products of values of pairs of curve and volatility factors,
respectively. The resulting Markov chain dynamics on such partly "folded" state
space enables fast pricing by the standard backward induction. Using a
nonparametric specification of the Markov chain generator, one can accurately
match arbitrary sets of vanilla option quotes with different strikes and
maturities. Furthermore, we consider an alternative formulation of the model in
terms of an implied time change process. The latter is specified
nonparametrically, again enabling accurate calibration to arbitrary sets of
vanilla option quotes.Comment: Sections 3.2 and 3.3 are re-written, 3 figures adde
- âŠ