73,098 research outputs found
Probabilistic Inference from Arbitrary Uncertainty using Mixtures of Factorized Generalized Gaussians
This paper presents a general and efficient framework for probabilistic
inference and learning from arbitrary uncertain information. It exploits the
calculation properties of finite mixture models, conjugate families and
factorization. Both the joint probability density of the variables and the
likelihood function of the (objective or subjective) observation are
approximated by a special mixture model, in such a way that any desired
conditional distribution can be directly obtained without numerical
integration. We have developed an extended version of the expectation
maximization (EM) algorithm to estimate the parameters of mixture models from
uncertain training examples (indirect observations). As a consequence, any
piece of exact or uncertain information about both input and output values is
consistently handled in the inference and learning stages. This ability,
extremely useful in certain situations, is not found in most alternative
methods. The proposed framework is formally justified from standard
probabilistic principles and illustrative examples are provided in the fields
of nonparametric pattern classification, nonlinear regression and pattern
completion. Finally, experiments on a real application and comparative results
over standard databases provide empirical evidence of the utility of the method
in a wide range of applications
Uncertainty and sensitivity analysis of functional risk curves based on Gaussian processes
A functional risk curve gives the probability of an undesirable event as a
function of the value of a critical parameter of a considered physical system.
In several applicative situations, this curve is built using phenomenological
numerical models which simulate complex physical phenomena. To avoid cpu-time
expensive numerical models, we propose to use Gaussian process regression to
build functional risk curves. An algorithm is given to provide confidence
bounds due to this approximation. Two methods of global sensitivity analysis of
the models' random input parameters on the functional risk curve are also
studied. In particular, the PLI sensitivity indices allow to understand the
effect of misjudgment on the input parameters' probability density functions
Dimension reduction for Gaussian process emulation: an application to the influence of bathymetry on tsunami heights
High accuracy complex computer models, or simulators, require large resources
in time and memory to produce realistic results. Statistical emulators are
computationally cheap approximations of such simulators. They can be built to
replace simulators for various purposes, such as the propagation of
uncertainties from inputs to outputs or the calibration of some internal
parameters against observations. However, when the input space is of high
dimension, the construction of an emulator can become prohibitively expensive.
In this paper, we introduce a joint framework merging emulation with dimension
reduction in order to overcome this hurdle. The gradient-based kernel dimension
reduction technique is chosen due to its ability to drastically decrease
dimensionality with little loss in information. The Gaussian process emulation
technique is combined with this dimension reduction approach. Our proposed
approach provides an answer to the dimension reduction issue in emulation for a
wide range of simulation problems that cannot be tackled using existing
methods. The efficiency and accuracy of the proposed framework is demonstrated
theoretically, and compared with other methods on an elliptic partial
differential equation (PDE) problem. We finally present a realistic application
to tsunami modeling. The uncertainties in the bathymetry (seafloor elevation)
are modeled as high-dimensional realizations of a spatial process using a
geostatistical approach. Our dimension-reduced emulation enables us to compute
the impact of these uncertainties on resulting possible tsunami wave heights
near-shore and on-shore. We observe a significant increase in the spread of
uncertainties in the tsunami heights due to the contribution of the bathymetry
uncertainties. These results highlight the need to include the effect of
uncertainties in the bathymetry in tsunami early warnings and risk assessments.Comment: 26 pages, 8 figures, 2 table
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