Gaussian Approximations of Small Noise Diffusions in Kullback-Leibler Divergence

We study Gaussian approximations to the distribution of a diffusion. The approximations are easy to compute: they are defined by two simple ordinary differential equations for the mean and the covariance. Time correlations can also be computed via solution of a linear stochastic differential equation. We show, using the Kullback-Leibler divergence, that the approximations are accurate in the small noise regime. An analogous discrete time setting is also studied. The results provide both theoretical support for the use of Gaussian processes in the approximation of diffusions, and methodological guidance in the construction of Gaussian approximations in applications

Inverse Problems and Data Assimilation

These notes are designed with the aim of providing a clear and concise introduction to the subjects of Inverse Problems and Data Assimilation, and their inter-relations, together with citations to some relevant literature in this area. The first half of the notes is dedicated to studying the Bayesian framework for inverse problems. Techniques such as importance sampling and Markov Chain Monte Carlo (MCMC) methods are introduced; these methods have the desirable property that in the limit of an infinite number of samples they reproduce the full posterior distribution. Since it is often computationally intensive to implement these methods, especially in high dimensional problems, approximate techniques such as approximating the posterior by a Dirac or a Gaussian distribution are discussed. The second half of the notes cover data assimilation. This refers to a particular class of inverse problems in which the unknown parameter is the initial condition of a dynamical system, and in the stochastic dynamics case the subsequent states of the system, and the data comprises partial and noisy observations of that (possibly stochastic) dynamical system. We will also demonstrate that methods developed in data assimilation may be employed to study generic inverse problems, by introducing an artificial time to generate a sequence of probability measures interpolating from the prior to the posterior

Complex dynamics of elementary cellular automata emerging from chaotic rules

We show techniques of analyzing complex dynamics of cellular automata (CA) with chaotic behaviour. CA are well known computational substrates for studying emergent collective behaviour, complexity, randomness and interaction between order and chaotic systems. A number of attempts have been made to classify CA functions on their space-time dynamics and to predict behaviour of any given function. Examples include mechanical computation, \lambda{} and Z-parameters, mean field theory, differential equations and number conserving features. We aim to classify CA based on their behaviour when they act in a historical mode, i.e. as CA with memory. We demonstrate that cell-state transition rules enriched with memory quickly transform a chaotic system converging to a complex global behaviour from almost any initial condition. Thus just in few steps we can select chaotic rules without exhaustive computational experiments or recurring to additional parameters. We provide analysis of well-known chaotic functions in one-dimensional CA, and decompose dynamics of the automata using majority memory exploring glider dynamics and reactions

Importance Sampling: Intrinsic Dimension and Computational Cost

The basic idea of importance sampling is to use independent samples from a proposal measure in order to approximate expectations with respect to a target measure. It is key to understand how many samples are required in order to guarantee accurate approximations. Intuitively, some notion of distance between the target and the proposal should determine the computational cost of the method. A major challenge is to quantify this distance in terms of parameters or statistics that are pertinent for the practitioner. The subject has attracted substantial interest from within a variety of communities. The objective of this paper is to overview and unify the resulting literature by creating an overarching framework. A general theory is presented, with a focus on the use of importance sampling in Bayesian inverse problems and filtering.Comment: Statistical Scienc

Long-time asymptotics of the filtering distribution for partially observed chaotic dynamical systems

The filtering distribution is a time-evolving probability distribution on the state of a dynamical system given noisy observations. We study the large-time asymptotics of this probability distribution for discrete-time, randomly initialized signals that evolve according to a deterministic map Ψ. The observations are assumed to comprise a low-dimensional projection of the signal, given by an operator P, subject to additive noise. We address the question of whether these observations contain sufficient information to accurately reconstruct the signal. In a general framework, we establish conditions on Ψ and P under which the filtering distributions concentrate around the signal in the small-noise, long-time asymptotic regime. Linear systems, the Lorenz ’63 and ’96 models, and the Navier–Stokes equation on a two-dimensional torus are within the scope of the theory. Our main findings come as a by-product of computable bounds, of independent interest, for suboptimal filters based on new variants of the 3DVAR filtering algorith

Comparing the Min–Max–Median/IQR Approach with the Min–Max Approach, Logistic Regression and XGBoost, maximising the Youden index

Although linearly combining multiple variables can provide adequate diagnostic performance, certain algorithms have the limitation of being computationally demanding when the number of variables is sufficiently high. Liu et al. proposed the min–max approach that linearly combines the minimum and maximum values of biomarkers, which is computationally tractable and has been shown to be optimal in certain scenarios. We developed the Min–Max–Median/IQR algorithm under Youden index optimisation which, although more computationally intensive, is still approachable and includes more information. The aim of this work is to compare the performance of these algorithms with well-known Machine Learning algorithms, namely logistic regression and XGBoost, which have proven to be efficient in various fields of applications, particularly in the health sector. This comparison is performed on a wide range of different scenarios of simulated symmetric or asymmetric data, as well as on real clinical diagnosis data sets. The results provide useful information for binary classification problems of better algorithms in terms of performance depending on the scenario

Controlling Unpredictability with Observations in the Partially Observed Lorenz '96 Model

In the context of filtering chaotic dynamical systems it is well-known that partial observations, if sufficiently informative, can be used to control the inherent uncertainty due to chaos. The purpose of this paper is to investigate, both theoretically and numerically, conditions on the observations of chaotic systems under which they can be accurately filtered. In particular, we highlight the advantage of adaptive observation operators over fixed ones. The Lorenz '96 model is used to exemplify our findings. We consider discrete-time and continuous-time observations in our theoretical developments. We prove that, for fixed observation operator, the 3DVAR filter can recover the system state within a neighbourhood determined by the size of the observational noise. It is required that a sufficiently large proportion of the state vector is observed, and an explicit form for such sufficient fixed observation operator is given. Numerical experiments, where the data is incorporated by use of the 3DVAR and extended Kalman filters, suggest that less informative fixed operators than given by our theory can still lead to accurate signal reconstruction. Adaptive observation operators are then studied numerically; we show that, for carefully chosen adaptive observation operators, the proportion of the state vector that needs to be observed is drastically smaller than with a fixed observation operator. Indeed, we show that the number of state coordinates that need to be observed may even be significantly smaller than the total number of positive Lyapunov exponents of the underlying system

Gaussian Approximations of Small Noise Diffusions in Kullback-Leibler Divergence

We study Gaussian approximations to the distribution of a diffusion. The approximations are easy to compute: they are defined by two simple ordinary differential equations for the mean and the covariance. Time correlations can also be computed via solution of a linear stochastic differential equation. We show, using the Kullback–Leibler divergence, that the approximations are accurate in the small noise regime. An analogous discrete time setting is also studied. The results provide both theoretical support for the use of Gaussian processes in the approximation of diffusions, and methodological guidance in the construction of Gaussian approximations in applications

Validación de un nombre en Biscutella (Brassicaceae) del este de la Península Ibérica

The name Biscutella marinae is applied to an endemic plant from co-astal sand-dune ecosystems of northern Alicante. It however was not published accor-ding to the Melbourne Code, and therefore it still remains nomenclaturally invalid. In the present contribution it is validated, and new data are reported that complete the available information on that endemic.El nombre Biscutella marinae se aplica a un endemismo de los ecosistemas de dunas costeras del norte de Alicante. Sin embargo, su publicación ini-cial no se hizo conforme al Codigo de Melbourne, por lo que dicho nombre no es váli-do nomenclaturalmente. Por ello, aquí se valida y se aportan datos que completan la in-formación existente sobre este endemismo.This work was partly supported by the I+D+i research project CGL2011–30140 from MICINN (Mº de Economía y Competitividad, Spanish Government). The Andrew W. Mellon Foundation, New York, supported the type di-gitization for the Global Plant Initiative (GPI)