303 research outputs found
copulaedas: An R Package for Estimation of Distribution Algorithms Based on Copulas
The use of copula-based models in EDAs (estimation of distribution
algorithms) is currently an active area of research. In this context, the
copulaedas package for R provides a platform where EDAs based on copulas can be
implemented and studied. The package offers complete implementations of various
EDAs based on copulas and vines, a group of well-known optimization problems,
and utility functions to study the performance of the algorithms. Newly
developed EDAs can be easily integrated into the package by extending an S4
class with generic functions for their main components. This paper presents
copulaedas by providing an overview of EDAs based on copulas, a description of
the implementation of the package, and an illustration of its use through
examples. The examples include running the EDAs defined in the package,
implementing new algorithms, and performing an empirical study to compare the
behavior of different algorithms on benchmark functions and a real-world
problem
Pair-copula constructions of multiple dependence
Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time. We use the pair-copula decomposition of a general multivariate distribution and propose a method to perform inference. The model construction is hierarchical in nature, the various levels corresponding to the incorporation of more variables in the conditioning sets, using pair-copulae as simple building blocs. Pair-copula decomposed models also represent a very flexible way to construct higher-dimensional coplulae. We apply the methodology to a financial data set. Our approach represents the first step towards developing of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically
BOtied: Multi-objective Bayesian optimization with tied multivariate ranks
Many scientific and industrial applications require joint optimization of
multiple, potentially competing objectives. Multi-objective Bayesian
optimization (MOBO) is a sample-efficient framework for identifying
Pareto-optimal solutions. We show a natural connection between non-dominated
solutions and the highest multivariate rank, which coincides with the outermost
level line of the joint cumulative distribution function (CDF). We propose the
CDF indicator, a Pareto-compliant metric for evaluating the quality of
approximate Pareto sets that complements the popular hypervolume indicator. At
the heart of MOBO is the acquisition function, which determines the next
candidate to evaluate by navigating the best compromises among the objectives.
Multi-objective acquisition functions that rely on box decomposition of the
objective space, such as the expected hypervolume improvement (EHVI) and
entropy search, scale poorly to a large number of objectives. We propose an
acquisition function, called BOtied, based on the CDF indicator. BOtied can be
implemented efficiently with copulas, a statistical tool for modeling complex,
high-dimensional distributions. We benchmark BOtied against common acquisition
functions, including EHVI and random scalarization (ParEGO), in a series of
synthetic and real-data experiments. BOtied performs on par with the baselines
across datasets and metrics while being computationally efficient.Comment: 10 pages (+5 appendix), 9 figures. Submitted to NeurIP
Bayesian Model Selection of Regular Vine Copulas
Regular vine copulas are a flexible class of dependence models, but Bayesian methodology for model selection and inference is not yet fully developed. We propose sparsity-inducing but otherwise non-informative priors, and present novel proposals to enable reversible jump Markov chain Monte Carlo posterior simulation for Bayesian model selection and inference. Our method is the first to jointly estimate the posterior distribution of all trees of a regular vine copula. This represents a substantial improvement over existing frequentist and Bayesian strategies, which can only select one tree at a time and are known to induce bias. A simulation study demonstrates the feasibility of our strategy and shows that it combines superior selection and reduced computation time compared to Bayesian tree-by-tree selection. In a real data example, we forecast the daily expected tail loss of a portfolio of nine exchange-traded funds using a fully Bayesian multivariate dynamic model built around Bayesian regular vine copulas to illustrate our model’s viability for financial analysis and risk estimation
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