Differential Evolution Markov Chain with snooker updater and fewer chains

Differential Evolution Markov Chain (DE-MC) is an adaptive MCMC algorithm, in which multiple chains are run in parallel. Standard DE-MC requires at least N=2d chains to be run in parallel, where d is the dimensionality of the posterior. This paper extends DE-MC with a snooker updater and shows by simulation and real examples that DE-MC can work for d up to 50–100 with fewer parallel chains (e.g. N=3) by exploiting information from their past by generating jumps from differences of pairs of past states. This approach extends the practical applicability of DE-MC and is shown to be about 5–26 times more efficient than the optimal Normal random walk Metropolis sampler for the 97.5% point of a variable from a 25–50 dimensional Student t 3 distribution. In a nonlinear mixed effects model example the approach outperformed a block-updater geared to the specific features of the mode

Comparison of point forecast accuracy of model averaging methods in hydrologic applications

Multi-model averaging is currently receiving a surge of attention in the atmospheric, hydrologic, and statistical literature to explicitly handle conceptual model uncertainty in the analysis of environmental systems and derive predictive distributions of model output. Such density forecasts are necessary to help analyze which parts of the model are well resolved, and which parts are subject to considerable uncertainty. Yet, accurate point predictors are still desired in many practical applications. In this paper, we compare a suite of different model averaging techniques by their ability to improve forecast accuracy of environmental systems. We compare equal weights averaging (EWA), Bates-Granger model averaging (BGA), averaging using Akaike’s information criterion (AICA), and Bayes’ Information Criterion (BICA), Bayesian model averaging (BMA), Mallows model averaging (MMA), and Granger-Ramanathan averaging (GRA) for two different hydrologic systems involving water flow through a 1950 km2 watershed and 5 m deep vadose zone. Averaging methods with weights restricted to the multi-dimensional simplex (positive weights summing up to one) are shown to have considerably larger forecast errors than approaches with unconstrained weights. Whereas various sophisticated model averaging approaches have recently emerged in the literature, our results convincingly demonstrate the advantages of GRA for hydrologic applications. This method achieves similar performance as MMA and BMA, but is much simpler to implement and use, and computationally much less demanding

Equifinality of formal (DREAM) and informal (GLUE) Bayesian approaches in hydrologic modeling?

In recent years, a strong debate has emerged in the hydrologic literature regarding what constitutes an appropriate framework for uncertainty estimation. Particularly, there is strong disagreement whether an uncertainty framework should have its roots within a proper statistical (Bayesian) context, or whether such a framework should be based on a different philosophy and implement informal measures and weaker inference to summarize parameter and predictive distributions. In this paper, we compare a formal Bayesian approach using Markov Chain Monte Carlo (MCMC) with generalized likelihood uncertainty estimation (GLUE) for assessing uncertainty in conceptual watershed modeling. Our formal Bayesian approach is implemented using the recently developed differential evolution adaptive metropolis (DREAM) MCMC scheme with a likelihood function that explicitly considers model structural, input and parameter uncertainty. Our results demonstrate that DREAM and GLUE can generate very similar estimates of total streamflow uncertainty. This suggests that formal and informal Bayesian approaches have more common ground than the hydrologic literature and ongoing debate might suggest. The main advantage of formal approaches is, however, that they attempt to disentangle the effect of forcing, parameter and model structural error on total predictive uncertainty. This is key to improving hydrologic theory and to better understand and predict the flow of water through catchment

Treatment of input uncertainty in hydrologic modeling: Doing hydrology backward with Markov chain Monte Carlo simulation

There is increasing consensus in the hydrologic literature that an appropriate framework for streamflow forecasting and simulation should include explicit recognition of forcing and parameter and model structural error. This paper presents a novel Markov chain Monte Carlo (MCMC) sampler, entitled differential evolution adaptive Metropolis (DREAM), that is especially designed to efficiently estimate the posterior probability density function of hydrologic model parameters in complex, high-dimensional sampling problems. This MCMC scheme adaptively updates the scale and orientation of the proposal distribution during sampling and maintains detailed balance and ergodicity. It is then demonstrated how DREAM can be used to analyze forcing data error during watershed model calibration using a five-parameter rainfall-runoff model with streamflow data from two different catchments. Explicit treatment of precipitation error during hydrologic model calibration not only results in prediction uncertainty bounds that are more appropriate but also significantly alters the posterior distribution of the watershed model parameters. This has significant implications for regionalization studies. The approach also provides important new ways to estimate areal average watershed precipitation, information that is of utmost importance for testing hydrologic theory, diagnosing structural errors in models, and appropriately benchmarking rainfall measurement devices

Summary statistics from training images as prior information in probabilistic inversion

A strategy is presented to incorporate prior information from conceptual geological models in probabilistic inversion of geophysical data. The conceptual geological models are represented by multiple-point statistics training images (TIs) featuring the expected lithological units and structural patterns. Information from an ensemble of TI realizations is used in two different ways. First, dominant modes are identified by analysis of the frequency content in the realizations, which drastically reduces the model parameter space in the frequency-amplitude domain. Second, the distributions of global, summary metrics (e.g. model roughness) are used to formulate a prior probability density function. The inverse problem is formulated in a Bayesian framework and the posterior pdf is sampled using Markov chain Monte Carlo simulation. The usefulness and applicability of this method is demonstrated on two case studies in which synthetic crosshole ground-penetrating radar traveltime data are inverted to recover 2-D porosity fields. The use of prior information from TIs significantly enhances the reliability of the posterior models by removing inversion artefacts and improving individual parameter estimates. The proposed methodology reduces the ambiguity inherent in the inversion of high-dimensional parameter spaces, accommodates a wide range of summary statistics and geophysical forward problems

Two-dimensional probabilistic inversion of plane-wave electromagnetic data: Methodology, model constraints and joint inversion with electrical resistivity data

Probabilistic inversion methods based on Markov chain Monte Carlo (MCMC) simulation are well suited to quantify parameter and model uncertainty of nonlinear inverse problems. Yet, application of such methods to CPU-intensive forward models can be a daunting task, particularly if the parameter space is high dimensional. Here, we present a 2-D pixel-based MCMC inversion of plane-wave electromagnetic (EM) data. Using synthetic data, we investigate how model parameter uncertainty depends on model structure constraints using different norms of the likelihood function and the model constraints, and study the added benefits of joint inversion of EM and electrical resistivity tomography (ERT) data. Our results demonstrate that model structure constraints are necessary to stabilize the MCMC inversion results of a highly discretized model. These constraints decrease model parameter uncertainty and facilitate model interpretation. A drawback is that these constraints may lead to posterior distributions that do not fully include the true underlying model, because some of its features exhibit a low sensitivity to the EM data, and hence are difficult to resolve. This problem can be partly mitigated if the plane-wave EM data is augmented with ERT observations. The hierarchical Bayesian inverse formulation introduced and used herein is able to successfully recover the probabilistic properties of the measurement data errors and a model regularization weight. Application of the proposed inversion methodology to field data from an aquifer demonstrates that the posterior mean model realization is very similar to that derived from a deterministic inversion with similar model constraints

Evolutionary algorithms and other metaheuristics in water resources: Current status, research challenges and future directions

Copyright © 2014 Elsevier. NOTICE: this is the author’s version of a work that was accepted for publication in Environmental Modelling and Software. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Environmental Modelling and Software Vol. 62 (2014), DOI: 10.1016/j.envsoft.2014.09.013The development and application of evolutionary algorithms (EAs) and other metaheuristics for the optimisation of water resources systems has been an active research field for over two decades. Research to date has emphasized algorithmic improvements and individual applications in specific areas (e.g. model calibration, water distribution systems, groundwater management, river-basin planning and management, etc.). However, there has been limited synthesis between shared problem traits, common EA challenges, and needed advances across major applications. This paper clarifies the current status and future research directions for better solving key water resources problems using EAs. Advances in understanding fitness landscape properties and their effects on algorithm performance are critical. Future EA-based applications to real-world problems require a fundamental shift of focus towards improving problem formulations, understanding general theoretic frameworks for problem decompositions, major advances in EA computational efficiency, and most importantly aiding real decision-making in complex, uncertain application contexts

Evolutionary algorithms and other metaheuristics in water resources: Current status, research challenges and future directions

Abstract not availableH.R. Maier, Z. Kapelan, Kasprzyk, J. Kollat, L.S. Matott, M.C. Cunha, G.C. Dandy, M.S. Gibbs, E. Keedwell, A. Marchi, A. Ostfeld, D. Savic, D.P. Solomatine, J.A. Vrugt, A.C. Zecchin, B.S. Minsker, E.J. Barbour, G. Kuczera, F. Pasha, A. Castelletti, M. Giuliani, P.M. Ree