Ensemble Transport Adaptive Importance Sampling

Markov chain Monte Carlo methods are a powerful and commonly used family of numerical methods for sampling from complex probability distributions. As applications of these methods increase in size and complexity, the need for efficient methods increases. In this paper, we present a particle ensemble algorithm. At each iteration, an importance sampling proposal distribution is formed using an ensemble of particles. A stratified sample is taken from this distribution and weighted under the posterior, a state-of-the-art ensemble transport resampling method is then used to create an evenly weighted sample ready for the next iteration. We demonstrate that this ensemble transport adaptive importance sampling (ETAIS) method outperforms MCMC methods with equivalent proposal distributions for low dimensional problems, and in fact shows better than linear improvements in convergence rates with respect to the number of ensemble members. We also introduce a new resampling strategy, multinomial transformation (MT), which while not as accurate as the ensemble transport resampler, is substantially less costly for large ensemble sizes, and can then be used in conjunction with ETAIS for complex problems. We also focus on how algorithmic parameters regarding the mixture proposal can be quickly tuned to optimise performance. In particular, we demonstrate this methodology's superior sampling for multimodal problems, such as those arising from inference for mixture models, and for problems with expensive likelihoods requiring the solution of a differential equation, for which speed-ups of orders of magnitude are demonstrated. Likelihood evaluations of the ensemble could be computed in a distributed manner, suggesting that this methodology is a good candidate for parallel Bayesian computations

Singular solutions, momentum maps and computational anatomy

This paper describes the variational formulation of template matching problems of computational anatomy (CA); introduces the EPDiff evolution equation in the context of an analogy between CA and fluid dynamics; discusses the singular solutions for the EPDiff equation and explains why these singular solutions exist (singular momentum map). Then it draws the consequences of EPDiff for outline matching problem in CA and gives numerical examples

Computational modes and grid imprinting on five quasi-uniform spherical C-grids

Currently, most operational forecasting models use latitude-longitude grids, whose convergence of meridians towards the poles limits parallel scaling. Quasi-uniform grids might avoid this limitation. Thuburn et al, JCP, 2009 and Ringler et al, JCP, 2010 have developed a method for arbitrarily-structured, orthogonal C-grids (TRiSK), which has many of the desirable properties of the C-grid on latitude-longitude grids but which works on a variety of quasi-uniform grids. Here, five quasi-uniform, orthogonal grids of the sphere are investigated using TRiSK to solve the shallow-water equations. We demonstrate some of the advantages and disadvantages of the hexagonal and triangular icosahedra, a Voronoi-ised cubed sphere, a Voronoi-ised skipped latitude-longitude grid and a grid of kites in comparison to a full latitude-longitude grid. We will show that the hexagonal-icosahedron gives the most accurate results (for least computational cost). All of the grids suffer from spurious computational modes; this is especially true of the kite grid, despite it having exactly twice as many velocity degrees of freedom as height degrees of freedom. However, the computational modes are easiest to control on the hexagonal icosahedron since they consist of vorticity oscillations on the dual grid which can be controlled using a diffusive advection scheme for potential vorticity