Dual-Space Analysis of the Sparse Linear Model

Sparse linear (or generalized linear) models combine a standard likelihood function with a sparse prior on the unknown coefficients. These priors can conveniently be expressed as a maximization over zero-mean Gaussians with different variance hyperparameters. Standard MAP estimation (Type I) involves maximizing over both the hyperparameters and coefficients, while an empirical Bayesian alternative (Type II) first marginalizes the coefficients and then maximizes over the hyperparameters, leading to a tractable posterior approximation. The underlying cost functions can be related via a dual-space framework from Wipf et al. (2011), which allows both the Type I or Type II objectives to be expressed in either coefficient or hyperparmeter space. This perspective is useful because some analyses or extensions are more conducive to development in one space or the other. Herein we consider the estimation of a trade-off parameter balancing sparsity and data fit. As this parameter is effectively a variance, natural estimators exist by assessing the problem in hyperparameter (variance) space, transitioning natural ideas from Type II to solve what is much less intuitive for Type I. In contrast, for analyses of update rules and sparsity properties of local and global solutions, as well as extensions to more general likelihood models, we can leverage coefficient-space techniques developed for Type I and apply them to Type II. For example, this allows us to prove that Type II-inspired techniques can be successful recovering sparse coefficients when unfavorable restricted isometry properties (RIP) lead to failure of popular L1 reconstructions. It also facilitates the analysis of Type II when non-Gaussian likelihood models lead to intractable integrations.Comment: 9 pages, 2 figures, submission to NIPS 201

A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties

We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic factor process. In particular, the market model is incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the value function of our problem can be identified with the unique classical solution of a quasilinear PDE within a class of functions satisfying certain growth conditions. The fact that we obtain classical solutions rather than viscosity solutions is important for the use of numerical algorithms, whose applicability is demonstrated in examples.Optimal investment, model uncertainty, incomplete markets, stochastic volatility, coherent risk measure, convex risk measure, optimal control, convex duality

Estimating Infection Sources in Networks Using Partial Timestamps

We study the problem of identifying infection sources in a network based on the network topology, and a subset of infection timestamps. In the case of a single infection source in a tree network, we derive the maximum likelihood estimator of the source and the unknown diffusion parameters. We then introduce a new heuristic involving an optimization over a parametrized family of Gromov matrices to develop a single source estimation algorithm for general graphs. Compared with the breadth-first search tree heuristic commonly adopted in the literature, simulations demonstrate that our approach achieves better estimation accuracy than several other benchmark algorithms, even though these require more information like the diffusion parameters. We next develop a multiple sources estimation algorithm for general graphs, which first partitions the graph into source candidate clusters, and then applies our single source estimation algorithm to each cluster. We show that if the graph is a tree, then each source candidate cluster contains at least one source. Simulations using synthetic and real networks, and experiments using real-world data suggest that our proposed algorithms are able to estimate the true infection source(s) to within a small number of hops with a small portion of the infection timestamps being observed.Comment: 15 pages, 15 figures, accepted by IEEE Transactions on Information Forensics and Securit

Virtual cardiac monolayers for electrical wave propagation

The complex structure of cardiac tissue is considered to be one of the main determinants of an arrhythmogenic substrate. This study is aimed at developing the first mathematical model to describe the formation of cardiac tissue, using a joint in silico-in vitro approach. First, we performed experiments under various conditions to carefully characterise the morphology of cardiac tissue in a culture of neonatal rat ventricular cells. We considered two cell types, namely, cardiomyocytes and fibroblasts. Next, we proposed a mathematical model, based on the Glazier-Graner-Hogeweg model, which is widely used in tissue growth studies. The resultant tissue morphology was coupled to the detailed electrophysiological Korhonen-Majumder model for neonatal rat ventricular cardiomyocytes, in order to study wave propagation. The simulated waves had the same anisotropy ratio and wavefront complexity as those in the experiment. Thus, we conclude that our approach allows us to reproduce the morphological and physiological properties of cardiac tissue