Fighting the curse of sparsity: probabilistic sensitivity measures from cumulative distribution functions

Quantitative models support investigators in several risk analysis applications. The calculation of sensitivity measures is an integral part of this analysis. However, it becomes a computationally challenging task, especially when the number of model inputs is large and the model output is spread over orders of magnitude. We introduce and test a new method for the estimation of global sensitivity measures. The new method relies on the intuition of exploiting the empirical cumulative distribution function of the simulator output. This choice allows the estimators of global sensitivity measures to be based on numbers between 0 and 1, thus fighting the curse of sparsity. For density-based sensitivity measures, we devise an approach based on moving averages that bypasses kernel-density estimation. We compare the new method to approaches for calculating popular risk analysis global sensitivity measures as well as to approaches for computing dependence measures gathering increasing interest in the machine learning and statistics literature (the Hilbert–Schmidt independence criterion and distance covariance). The comparison involves also the number of operations needed to obtain the estimates, an aspect often neglected in global sensitivity studies. We let the estimators undergo several tests, first with the wing-weight test case, then with a computationally challenging code with up to k = 30, 000 inputs, and finally with the traditional Level E benchmark code

Identification of Technology Shocks in Structural VARs

The usefulness of SVARs for developing empirically plausible models is actually subject to many controversies in quantitative macroeconomics. In this paper, we propose a simple alternative two step SVARs based procedure which consistently identifies and estimates the effect of permanent technology shocks on aggregate variables. Simulation experiments from a standard business cycle model show that our approach outperforms standard SVARs. The two step procedure, when applied to actual data, predicts a significant short-run decrease of hours after a technology improvement followed by a delayed and hump-shaped positive response. Additionally, the rate of inflation and the nominal interest rate displays a significant decrease after a positive technology shock.SVARs, long-run restriction, technology shocks, consumption to output ratio, hours worked

Convergence Analysis of Mixed Timescale Cross-Layer Stochastic Optimization

This paper considers a cross-layer optimization problem driven by multi-timescale stochastic exogenous processes in wireless communication networks. Due to the hierarchical information structure in a wireless network, a mixed timescale stochastic iterative algorithm is proposed to track the time-varying optimal solution of the cross-layer optimization problem, where the variables are partitioned into short-term controls updated in a faster timescale, and long-term controls updated in a slower timescale. We focus on establishing a convergence analysis framework for such multi-timescale algorithms, which is difficult due to the timescale separation of the algorithm and the time-varying nature of the exogenous processes. To cope with this challenge, we model the algorithm dynamics using stochastic differential equations (SDEs) and show that the study of the algorithm convergence is equivalent to the study of the stochastic stability of a virtual stochastic dynamic system (VSDS). Leveraging the techniques of Lyapunov stability, we derive a sufficient condition for the algorithm stability and a tracking error bound in terms of the parameters of the multi-timescale exogenous processes. Based on these results, an adaptive compensation algorithm is proposed to enhance the tracking performance. Finally, we illustrate the framework by an application example in wireless heterogeneous network

Large-Scale Multi-Agent Transport: Theory, Algorithms and Analysis

The problem of transport of multi-agent systems has received much attention in a wide range of engineering and biological contexts, such as spatial coverage optimization, collective migration, estimation and mapping of unknown environments. In particular, the emphasis has been on the search for scalable decentralized algorithms that are applicable to large-scale multi-agent systems.For large multi-agent collectives, it is appropriate to describe the configuration of the collective and its evolution using macroscopic quantities, while actuation rests at the microscopic scale at the level of individual agents. Moreover, the control problem faces a multitude of information constraints imposed by the multi-agent setting, such as limitations in sensing, communication and localization. Viewed in this way, the problem naturally extends across scales and this motivates a search for algorithms that respect information constraints at the microscopic level while guaranteeing performance at the macroscopic level.We address the above concerns in this dissertation on three fronts: theory, algorithms and analysis. We begin with the development of a multiscale theory of gradient descent-based multi-agent transport that bridges the microscopic and macroscopic perspectives and sets out a general framework for the design and analysis of decentralized algorithms for transport. We then consider the problem of optimal transport of multi-agent systems, wherein the objective is the minimization of the net cost of transport under constraints of distributed computation. This is followed by a treatment of multi-agent transport under constraints on sensing and communication, in the absence of location information, where we study the problem of self-organization in swarms of agents. Motivated by the problem of multi-agent navigation and tracking of moving targets, we then present a study of moving-horizon estimation of nonlinear systems viewed as a transport of probability measures. Finally, we investigate the robustness of multi-agent networks to agent failure, via the problem of identifying critical nodes in large-scale networks

Advanced multiparametric optimization and control studies for anaesthesia

Anaesthesia is a reversible pharmacological state of the patient where hypnosis, analgesia and muscle relaxation are guaranteed and maintained throughout the surgery. Analgesics block the sensation of pain; hypnotics produce unconsciousness, while muscle relaxants prevent unwanted movement of muscle tone. Controlling the depth of anaesthesia is a very challenging task, as one has to deal with nonlinearity, inter- and intra-patient variability, multivariable characteristics, variable time delays, dynamics dependent on the hypnotic agent, model analysis variability, agent and stability issues. The modelling and automatic control of anaesthesia is believed to (i) benefit the safety of the patient undergoing surgery as side-effects may be reduced by optimizing the drug infusion rates, and (ii) support anaesthetists during critical situations by automating the drug delivery systems. In this work we have developed several advanced explicit/multi-parametric model predictive (mp-MPC) control strategies for the control of depth of anaesthesia. State estimation techniques are developed and used simultaneously with mp-MPC strategies to estimate the state of each individual patient, in an attempt to overcome the challenges of inter- and intra- patient variability, and deal with possible unmeasurable noisy outputs. Strategies to deal with the nonlinearity have been also developed including local linearization, exact linearization as well as a piece-wise linearization of the Hill curve leading to a hybrid formulation of the patient model and thereby the development of multiparametric hybrid model predictive control methodology. To deal with the inter- and intra- patient variability, as well as the noise on the process output, several robust techniques and a multiparametric moving horizon estimation technique have been design and implemented. All the studies described in the thesis are performed on clinical data for a set of 12 patients who underwent general anaesthesia.Open Acces

Identification of Technology Shocks in Structural VARs

The usefulness of SVARs for developing empirically plausible models is actually subject to many controversies in quantitative macroeconomics. In this paper, we propose a simple alternative two step SVARs based procedure which consistently identifies and estimates the effect of permanent technology shocks on aggregate variables. Simulation experiments from a standard business cycle model show that our approach outperforms standard SVARs. The two step procedure, when applied to actual data, predicts a significant short-run decrease of hours after a technology improvement followed by a delayed and hump-shaped positive response. Additionally, the rate of inflation and the nominal interest rate displays a significant decrease after a positive technology shock