Stock-flow consistent macroeconomic model with nonuniform distributional constraint

We report on results concerning a partially aggregated Stock Flow Consistent (SFC) macroeconomic model in the stationary state where the sectors of banks and firms are aggregated, the sector of households is dis-aggregated, and the probability density function (pdf) of the wealth of households is exogenous, constrained by econometric data. It is shown that the equality part of the constraint can be reduced to a single constant-sum equation, which relates this problem to the study of continuous mass transport problems, and to the sum of iid random variables. Existing results can thus be applied, and provide marginal probabilities, and the location of the critical point before condensation occurs. Various numerical experiments are performed using Monte Carlo sampling of the hit-and-run type, using wealth and income data for France

A Detailed Investigation into Low-Level Feature Detection in Spectrogram Images

Being the first stage of analysis within an image, low-level feature detection is a crucial step in the image analysis process and, as such, deserves suitable attention. This paper presents a systematic investigation into low-level feature detection in spectrogram images. The result of which is the identification of frequency tracks. Analysis of the literature identifies different strategies for accomplishing low-level feature detection. Nevertheless, the advantages and disadvantages of each are not explicitly investigated. Three model-based detection strategies are outlined, each extracting an increasing amount of information from the spectrogram, and, through ROC analysis, it is shown that at increasing levels of extraction the detection rates increase. Nevertheless, further investigation suggests that model-based detection has a limitation—it is not computationally feasible to fully evaluate the model of even a simple sinusoidal track. Therefore, alternative approaches, such as dimensionality reduction, are investigated to reduce the complex search space. It is shown that, if carefully selected, these techniques can approach the detection rates of model-based strategies that perform the same level of information extraction. The implementations used to derive the results presented within this paper are available online from http://stdetect.googlecode.com

Recent advances in directional statistics

Mainstream statistical methodology is generally applicable to data observed in Euclidean space. There are, however, numerous contexts of considerable scientific interest in which the natural supports for the data under consideration are Riemannian manifolds like the unit circle, torus, sphere and their extensions. Typically, such data can be represented using one or more directions, and directional statistics is the branch of statistics that deals with their analysis. In this paper we provide a review of the many recent developments in the field since the publication of Mardia and Jupp (1999), still the most comprehensive text on directional statistics. Many of those developments have been stimulated by interesting applications in fields as diverse as astronomy, medicine, genetics, neurology, aeronautics, acoustics, image analysis, text mining, environmetrics, and machine learning. We begin by considering developments for the exploratory analysis of directional data before progressing to distributional models, general approaches to inference, hypothesis testing, regression, nonparametric curve estimation, methods for dimension reduction, classification and clustering, and the modelling of time series, spatial and spatio-temporal data. An overview of currently available software for analysing directional data is also provided, and potential future developments discussed.Comment: 61 page

High-performance Parallel Solver for Integral Equations of Electromagnetics Based on Galerkin Method

A new parallel solver for the volumetric integral equations (IE) of electrodynamics is presented. The solver is based on the Galerkin method which ensures the convergent numerical solution. The main features include: (i) the memory usage is 8 times lower, compared to analogous IE based algorithms, without additional restriction on the background media; (ii) accurate and stable method to compute matrix coefficients corresponding to the IE; (iii) high degree of parallelism. The solver's computational efficiency is shown on a problem of magnetotelluric sounding of the high conductivity contrast media. A good agreement with the results obtained with the second order finite element method is demonstrated. Due to effective approach to parallelization and distributed data storage the program exhibits perfect scalability on different hardware platforms.Comment: The main results of this paper were presented at IAMG 2015 conference Frieberg, Germany. 28 pages, 11 figure

A review of dynamic Bayesian network techniques with applications in healthcare risk modelling

Coping with an ageing population is a major concern for healthcare organisations around the world. The average cost of hospital care is higher than social care for older and terminally ill patients. Moreover, the average cost of social care increases with the age of the patient. Therefore, it is important to make efficient and fair capacity planning which also incorporates patient centred outcomes. Predictive models can provide predictions which their accuracy can be understood and quantified. Predictive modelling can help patients and carers to get the appropriate support services, and allow clinical decision-makers to improve care quality and reduce the cost of inappropriate hospital and Accident and Emergency admissions. The aim of this study is to provide a review of modelling techniques and frameworks for predictive risk modelling of patients in hospital, based on routinely collected data such as the Hospital Episode Statistics database. A number of sub-problems can be considered such as Length-of-Stay and End-of-Life predictive modelling. The methodologies in the literature are mainly focused on addressing the problems using regression methods and Markov models, and the majority lack generalisability. In some cases, the robustness, accuracy and re-usability of predictive risk models have been shown to be improved using Machine Learning methods. Dynamic Bayesian Network techniques can represent complex correlations models and include small probabilities into the solution. The main focus of this study is to provide a review of major time-varying Dynamic Bayesian Network techniques with applications in healthcare predictive risk modelling

Multilevel Sparse Grid Methods for Elliptic Partial Differential Equations with Random Coefficients

Stochastic sampling methods are arguably the most direct and least intrusive means of incorporating parametric uncertainty into numerical simulations of partial differential equations with random inputs. However, to achieve an overall error that is within a desired tolerance, a large number of sample simulations may be required (to control the sampling error), each of which may need to be run at high levels of spatial fidelity (to control the spatial error). Multilevel sampling methods aim to achieve the same accuracy as traditional sampling methods, but at a reduced computational cost, through the use of a hierarchy of spatial discretization models. Multilevel algorithms coordinate the number of samples needed at each discretization level by minimizing the computational cost, subject to a given error tolerance. They can be applied to a variety of sampling schemes, exploit nesting when available, can be implemented in parallel and can be used to inform adaptive spatial refinement strategies. We extend the multilevel sampling algorithm to sparse grid stochastic collocation methods, discuss its numerical implementation and demonstrate its efficiency both theoretically and by means of numerical examples

Chaste: an open source C++ library for computational physiology and biology

Chaste - Cancer, Heart And Soft Tissue Environment - is an open source C++ library for the computational simulation of mathematical models developed for physiology and biology. Code development has been driven by two initial applications: cardiac electrophysiology and cancer development. A large number of cardiac electrophysiology studies have been enabled and performed, including high performance computational investigations of defibrillation on realistic human cardiac geometries. New models for the initiation and growth of tumours have been developed. In particular, cell-based simulations have provided novel insight into the role of stem cells in the colorectal crypt. Chaste is constantly evolving and is now being applied to a far wider range of problems. The code provides modules for handling common scientific computing components, such as meshes and solvers for ordinary and partial differential equations (ODEs/PDEs). Re-use of these components avoids the need for researchers to "re-invent the wheel" with each new project, accelerating the rate of progress in new applications. Chaste is developed using industrially-derived techniques, in particular test-driven development, to ensure code quality, re-use and reliability. In this article we provide examples that illustrate the types of problems Chaste can be used to solve, which can be run on a desktop computer. We highlight some scientific studies that have used or are using Chaste, and the insights they have provided. The source code, both for specific releases and the development version, is available to download under an open source Berkeley Software Distribution (BSD) licence at http://www.cs.ox.ac.uk/chaste, together with details of a mailing list and links to documentation and tutorials

Gradient discretization of Hybrid Dimensional Darcy Flows in Fractured Porous Media with discontinuous pressures at the matrix fracture interfaces

We investigate the discretization of Darcy flow through fractured porous media on general meshes. We consider a hybrid dimensional model, invoking a complex network of planar fractures. The model accounts for matrix-fracture interactions and fractures acting either as drains or as barriers, i.e. we have to deal with pressure discontinuities at matrix-fracture interfaces. The numerical analysis is performed in the general framework of gradient discretizations which is extended to the model under consideration. Two families of schemes namely the Vertex Approximate Gradient scheme (VAG) and the Hybrid Finite Volume scheme (HFV) are detailed and shown to satisfy the gradient scheme framework, which yields, in particular, convergence. Numerical tests confirm the theoretical results. Gradient Discretization; Darcy Flow, Discrete Fracture Networks, Finite Volum

A Continuation Multilevel Monte Carlo algorithm

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the required error tolerance is satisfied. CMLMC assumes discretization hierarchies that are defined a priori for each level and are geometrically refined across levels. The actual choice of computational work across levels is based on parametric models for the average cost per sample and the corresponding weak and strong errors. These parameters are calibrated using Bayesian estimation, taking particular notice of the deepest levels of the discretization hierarchy, where only few realizations are available to produce the estimates. The resulting CMLMC estimator exhibits a non-trivial splitting between bias and statistical contributions. We also show the asymptotic normality of the statistical error in the MLMC estimator and justify in this way our error estimate that allows prescribing both required accuracy and confidence in the final result. Numerical results substantiate the above results and illustrate the corresponding computational savings in examples that are described in terms of differential equations either driven by random measures or with random coefficients