1,313 research outputs found
Recombination operators and selection strategies for evolutionary Markov Chain Monte Carlo algorithms
Markov Chain Monte Carlo (MCMC) methods are often used to sample from intractable target distributions. Some MCMC variants aim to improve the performance by running a population of MCMC chains. In this paper, we investigate the use of techniques from Evolutionary Computation (EC) to design population-based MCMC algorithms that exchange useful information between the individual chains. We investigate how one can ensure that the resulting class of algorithms, called Evolutionary MCMC (EMCMC), samples from the target distribution as expected from any MCMC algorithm. We analytically and experimentally show—using examples from discrete search spaces—that the proposed EMCMCs can outperform standard MCMCs by exploiting common partial structures between the more likely individual states. The MCMC chains in the population interact through recombination and selection. We analyze the required properties of recombination operators and acceptance (or selection) rules in EMCMCs. An important issue is how to preserve the detailed balance property which is a sufficient condition for an irreducible and aperiodic EMCMC to converge to a given target distribution. Transferring EC techniques to population-based MCMCs should be done with care. For instance, we prove that EMCMC algorithms with an elitist acceptance rule do not sample the target distribution correctly
A Version of Geiringer-like Theorem for Decision Making in the Environments with Randomness and Incomplete Information
Purpose: In recent years Monte-Carlo sampling methods, such as Monte Carlo
tree search, have achieved tremendous success in model free reinforcement
learning. A combination of the so called upper confidence bounds policy to
preserve the "exploration vs. exploitation" balance to select actions for
sample evaluations together with massive computing power to store and to update
dynamically a rather large pre-evaluated game tree lead to the development of
software that has beaten the top human player in the game of Go on a 9 by 9
board. Much effort in the current research is devoted to widening the range of
applicability of the Monte-Carlo sampling methodology to partially observable
Markov decision processes with non-immediate payoffs. The main challenge
introduced by randomness and incomplete information is to deal with the action
evaluation at the chance nodes due to drastic differences in the possible
payoffs the same action could lead to. The aim of this article is to establish
a version of a theorem that originated from population genetics and has been
later adopted in evolutionary computation theory that will lead to novel
Monte-Carlo sampling algorithms that provably increase the AI potential. Due to
space limitations the actual algorithms themselves will be presented in the
sequel papers, however, the current paper provides a solid mathematical
foundation for the development of such algorithms and explains why they are so
promising.Comment: 53 pages in size. This work has been recently submitted to the IJICC
(International Journal on Intelligent Computing and Cybernetics
06061 Abstracts Collection -- Theory of Evolutionary Algorithms
From 05.02.06 to 10.02.06, the Dagstuhl Seminar 06061 ``Theory of Evolutionary Algorithms\u27\u27 was held in the International Conference and Research Center (IBFI),
Schloss Dagstuhl.
During the seminar, several participants presented their current
research, and ongoing work and open problems were discussed. Abstracts of
the presentations given during the seminar as well as abstracts of
seminar results and ideas are put together in this paper. The first section
describes the seminar topics and goals in general.
Links to extended abstracts or full papers are provided, if available
Exploring the limits of the geometric copolymerization model
The geometric copolymerization model is a recently introduced statistical Markov chain model. Here, we investigate its practicality. First, several approaches to identify the optimal model parameters from observed copolymer fingerprints are evaluated using Monte Carlo simulated data. Directly optimizing the parameters is robust against noise but has impractically long running times. A compromise between robustness and running time is found by exploiting the relationship between monomer concentrations calculated by ordinary differential equations and the geometric model. Second, we investigate the applicability of the model to copolymerizations beyond living polymerization and show that the model is useful for copolymerizations involving termination and depropagation reactions
Biogeography-Based Optimization for Combinatorial Problems and Complex Systems
Biogeography-based optimization (BBO) is a heuristic evolutionary algorithm that has shown good performance on many problems. In this dissertation, three problem1s 1 are researched for BBO: convergence speed and optimal solution convergence of BBO,1 1BBO application to combinatorial problems, and BBO application to complex systems. The first problem is to analyze BBO from two perspectives: how the components of BBO affect its convergence speed and the reason that BBO converges to the optimal solution. For the first perspective, which is convergence speed, we analyze the two essential components of BBO -- population construction and information sharing. For the second perspective, a mathematical BBO model is built to theoretically prove why BBO is capable of reaching the global optimum for any problem. In the second problem addressed by the dissertation, BBO is applied to combinatorial problems. Our research includes the study of migration, local search, population initialization, and greedy methods for combinatorial problems. We conduct a series of simulations based on four benchmarks, the sizes of which vary from small to extra large. The simulation results indicate that when combined with other techniques, the performance of BBO can be significantly improved. Also, a BBO graphical user interface (GUI) is created for combinatorial problems, which is an intuitive way to experiment with BBO algorithms, including hybrid BBO algorithms. The third and final problem addressed in this dissertation is the optimization of complex systems. We invent a new algorithm for complex system optimization based on BBO, which is called BBO/complex. Four real world problems are used to test BBO/Complex and compare with other complex system optimization algorithms, and we obtain encouraging results from BBO/Complex. Then, a Markov model is created for BBO/Complex. Simulation results are provided to confirm the mode
Evolutionary algorithm-based analysis of gravitational microlensing lightcurves
A new algorithm developed to perform autonomous fitting of gravitational
microlensing lightcurves is presented. The new algorithm is conceptually
simple, versatile and robust, and parallelises trivially; it combines features
of extant evolutionary algorithms with some novel ones, and fares well on the
problem of fitting binary-lens microlensing lightcurves, as well as on a number
of other difficult optimisation problems. Success rates in excess of 90% are
achieved when fitting synthetic though noisy binary-lens lightcurves, allowing
no more than 20 minutes per fit on a desktop computer; this success rate is
shown to compare very favourably with that of both a conventional (iterated
simplex) algorithm, and a more state-of-the-art, artificial neural
network-based approach. As such, this work provides proof of concept for the
use of an evolutionary algorithm as the basis for real-time, autonomous
modelling of microlensing events. Further work is required to investigate how
the algorithm will fare when faced with more complex and realistic microlensing
modelling problems; it is, however, argued here that the use of parallel
computing platforms, such as inexpensive graphics processing units, should
allow fitting times to be constrained to under an hour, even when dealing with
complicated microlensing models. In any event, it is hoped that this work might
stimulate some interest in evolutionary algorithms, and that the algorithm
described here might prove useful for solving microlensing and/or more general
model-fitting problems.Comment: 14 pages, 3 figures; accepted for publication in MNRA
Contributions on evolutionary computation for statistical inference
Evolutionary Computation (EC) techniques have been introduced in the 1960s for dealing with complex situations. One possible example is an optimization problems not having an analytical solution or being computationally intractable; in many cases such methods, named Evolutionary Algorithms (EAs), have been successfully implemented. In statistics there are many situations where complex problems arise, in particular concerning optimization. A general example is when the statistician needs to select, inside a prohibitively large discrete set, just one element, which could be a model, a partition, an experiment, or such: this would be the case of model selection, cluster analysis or design of experiment. In other situations there could be an intractable function of data, such as a likelihood, which needs to be maximized, as it happens in model parameter estimation. These kind of problems are naturally well suited for EAs, and in the last 20 years a large number of papers has been concerned with applications of EAs in tackling statistical issues.
The present dissertation is set in this part of literature, as it reports several implementations of EAs in statistics, although being mainly focused on statistical inference problems. Original results are proposed, as well as overviews and surveys on several topics. EAs are employed and analyzed considering various statistical points of view, showing and confirming their efficiency and flexibility.
The first proposal is devoted to parametric estimation problems. When EAs are employed in such analysis a novel form of variability related to their stochastic elements is introduced. We shall analyze both variability due to sampling, associated with selected estimator, and variability due to the EA. This analysis is set in a framework of statistical and computational tradeoff question, crucial in nowadays problems, by introducing cost functions related to both data acquisition and EA iterations. The proposed method will be illustrated by means of model building problem examples.
Subsequent chapter is concerned with EAs employed in Markov Chain Monte Carlo (MCMC) sampling. When sampling from multimodal or highly correlated distribution is concerned, in fact, a possible strategy suggests to run several chains in parallel, in order to improve their mixing. If these chains are allowed to interact with each other then many analogies with EC techniques can be observed, and this has led to research in many fields. The chapter aims at reviewing various methods found in literature which conjugates EC techniques and MCMC sampling, in order to identify specific and common procedures, and unifying them in a framework of EC.
In the last proposal we present a complex time series model and an identification procedure based on Genetic Algorithms (GAs). The model is capable of dealing with seasonality, by Periodic AutoRegressive (PAR) modelling, and structural changes in time, leading to a nonstationary structure. As far as a very large number of parameters and possibilites of change points are concerned, GAs are appropriate for identifying such model. Effectiveness of procedure is shown on both simulated data and real examples, these latter referred to river flow data in hydrology.
The thesis concludes with some final remarks, concerning also future work
Parallel hierarchical sampling:a general-purpose class of multiple-chains MCMC algorithms
This paper introduces the Parallel Hierarchical Sampler (PHS), a class of Markov chain Monte Carlo algorithms using several interacting chains having the same target distribution but different mixing properties. Unlike any single-chain MCMC algorithm, upon reaching stationarity one of the PHS chains, which we call the “mother” chain, attains exact Monte Carlo sampling of the target distribution of interest. We empirically show that this translates in a dramatic improvement in the sampler’s performance with respect to single-chain MCMC algorithms. Convergence of the PHS joint transition kernel is proved and its relationships with single-chain samplers, Parallel Tempering (PT) and variable augmentation algorithms are discussed. We then provide two illustrative examples comparing the accuracy of PHS with
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