Bias of Particle Approximations to Optimal Filter Derivative

In many applications, a state-space model depends on a parameter which needs to be inferred from a data set. Quite often, it is necessary to perform the parameter inference online. In the maximum likelihood approach, this can be done using stochastic gradient search and the optimal filter derivative. However, the optimal filter and its derivative are not analytically tractable for a non-linear state-space model and need to be approximated numerically. In [Poyiadjis, Doucet and Singh, Biometrika 2011], a particle approximation to the optimal filter derivative has been proposed, while the corresponding $L_{p}$ error bonds and the central limit theorem have been provided in [Del Moral, Doucet and Singh, SIAM Journal on Control and Optimization 2015]. Here, the bias of this particle approximation is analyzed. We derive (relatively) tight bonds on the bias in terms of the number of particles. Under (strong) mixing conditions, the bounds are uniform in time and inversely proportional to the number of particles. The obtained results apply to a (relatively) broad class of state-space models met in practice

Про фулерени з перших вуст (від редакції)

Brian Doucet uses ten buildings in and around Detroit to tell the story of the rise, decline and prospects of the Motor City

Reweighting for Nonequilibrium Markov Processes Using Sequential Importance Sampling Methods

We present a generic reweighting method for nonequilibrium Markov processes. With nonequilibrium Monte Carlo simulations at a single temperature, one calculates the time evolution of physical quantities at different temperatures, which greatly saves the computational time. Using the dynamical finite-size scaling analysis for the nonequilibrium relaxation, one can study the dynamical properties of phase transitions together with the equilibrium ones. We demonstrate the procedure for the Ising model with the Metropolis algorithm, but the present formalism is general and can be applied to a variety of systems as well as with different Monte Carlo update schemes.Comment: accepted for publication in Phys. Rev. E (Rapid Communications

Recent developments of MCViNE and its applications at SNS

MCViNE is an open source, object-oriented Monte Carlo neutron ray-tracing simulation software package. Its design allows for flexible, hierarchical representations of sophisticated instrument components such as detector systems, and samples with a variety of shapes and scattering kernels. Recently this flexible design has enabled several applications of MCViNE simulations at the Spallation Neutron Source (SNS) at Oak Ridge National Lab, including assisting design of neutron instruments at the second target station and design of novel sample environments, as well as studying effects of instrument resolution and multiple scattering. Here we provide an overview of the recent developments and new features of MCViNE since its initial introduction (Jiao et al 2016 Nucl. Instrum. Methods Phys. Res., Sect. A 810, 86–99), and some example applications

On solving integral equations using Markov chain Monte Carlo methods

In this paper, we propose an original approach to the solution of Fredholm equations of the second kind. We interpret the standard Von Neumann expansion of the solution as an expectation with respect to a probability distribution defined on a union of subspaces of variable dimension. Based on this representation, it is possible to use trans-dimensional Markov chain Monte Carlo (MCMC) methods such as Reversible Jump MCMC to approximate the solution numerically. This can be an attractive alternative to standard Sequential Importance Sampling (SIS) methods routinely used in this context. To motivate our approach, we sketch an application to value function estimation for a Markov decision process. Two computational examples are also provided

Nonequilibrium Reweighting on the Driven Diffusive Lattice Gas

The nonequilibrium reweighting technique, which was recently developed by the present authors, is used for the study of the nonequilibrium steady states. The renewed formulation of the nonequlibrium reweighting enables us to use the very efficient multi-spin coding. We apply the nonequilibrium reweighting to the driven diffusive lattice gas model. Combining with the dynamical finite-size scaling theory, we estimate the critical temperature Tc and the dynamical exponent z. We also argue that this technique has an interesting feature that enables explicit calculation of derivatives of thermodynamic quantities without resorting to numerical differences.Comment: Accepted for publication in J. Phys. A (Lett.

A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models

This paper addresses the problem of Monte Carlo approximation of posterior probability distributions. In particular, we have considered a recently proposed technique known as population Monte Carlo (PMC), which is based on an iterative importance sampling approach. An important drawback of this methodology is the degeneracy of the importance weights when the dimension of either the observations or the variables of interest is high. To alleviate this difficulty, we propose a novel method that performs a nonlinear transformation on the importance weights. This operation reduces the weight variation, hence it avoids their degeneracy and increases the efficiency of the importance sampling scheme, specially when drawing from a proposal functions which are poorly adapted to the true posterior. For the sake of illustration, we have applied the proposed algorithm to the estimation of the parameters of a Gaussian mixture model. This is a very simple problem that enables us to clearly show and discuss the main features of the proposed technique. As a practical application, we have also considered the popular (and challenging) problem of estimating the rate parameters of stochastic kinetic models (SKM). SKMs are highly multivariate systems that model molecular interactions in biological and chemical problems. We introduce a particularization of the proposed algorithm to SKMs and present numerical results.Comment: 35 pages, 8 figure