Inference via low-dimensional couplings

We investigate the low-dimensional structure of deterministic transformations between random variables, i.e., transport maps between probability measures. In the context of statistics and machine learning, these transformations can be used to couple a tractable "reference" measure (e.g., a standard Gaussian) with a target measure of interest. Direct simulation from the desired measure can then be achieved by pushing forward reference samples through the map. Yet characterizing such a map---e.g., representing and evaluating it---grows challenging in high dimensions. The central contribution of this paper is to establish a link between the Markov properties of the target measure and the existence of low-dimensional couplings, induced by transport maps that are sparse and/or decomposable. Our analysis not only facilitates the construction of transformations in high-dimensional settings, but also suggests new inference methodologies for continuous non-Gaussian graphical models. For instance, in the context of nonlinear state-space models, we describe new variational algorithms for filtering, smoothing, and sequential parameter inference. These algorithms can be understood as the natural generalization---to the non-Gaussian case---of the square-root Rauch-Tung-Striebel Gaussian smoother.Comment: 78 pages, 25 figure

Exploiting network topology for large-scale inference of nonlinear reaction models

The development of chemical reaction models aids understanding and prediction in areas ranging from biology to electrochemistry and combustion. A systematic approach to building reaction network models uses observational data not only to estimate unknown parameters, but also to learn model structure. Bayesian inference provides a natural approach to this data-driven construction of models. Yet traditional Bayesian model inference methodologies that numerically evaluate the evidence for each model are often infeasible for nonlinear reaction network inference, as the number of plausible models can be combinatorially large. Alternative approaches based on model-space sampling can enable large-scale network inference, but their realization presents many challenges. In this paper, we present new computational methods that make large-scale nonlinear network inference tractable. First, we exploit the topology of networks describing potential interactions among chemical species to design improved "between-model" proposals for reversible-jump Markov chain Monte Carlo. Second, we introduce a sensitivity-based determination of move types which, when combined with network-aware proposals, yields significant additional gains in sampling performance. These algorithms are demonstrated on inference problems drawn from systems biology, with nonlinear differential equation models of species interactions

Fiscal policy and the Ricardian equivalence: Empirical evidence from Morocco

Abstract. This paper empirically investigates the validity of the Ricardian equivalence hypothesis in Morocco, based on recent data (1980-2016) that encompasses interesting episodes of demand-oriented expansionary government policy during the second half of the 2000s, followed by significant restrictive fiscal measures starting from 2012. We use the SVAR methodology, which enables us to make the difference between the dynamics of savings and the budget deficit by separating them into two types of shocks. Our results suggest that the equivalence is verified in the Moroccan macroeconomic framework. The paper concludes that national savings offset up to 76% of fiscal deficit shocks.Keywords. Fiscal deficit, National savings, Ricardian equivalence, SVAR model.JEL. H31, E21, E62

Efficient Localization of Discontinuities in Complex Computational Simulations

Surrogate models for computational simulations are input-output approximations that allow computationally intensive analyses, such as uncertainty propagation and inference, to be performed efficiently. When a simulation output does not depend smoothly on its inputs, the error and convergence rate of many approximation methods deteriorate substantially. This paper details a method for efficiently localizing discontinuities in the input parameter domain, so that the model output can be approximated as a piecewise smooth function. The approach comprises an initialization phase, which uses polynomial annihilation to assign function values to different regions and thus seed an automated labeling procedure, followed by a refinement phase that adaptively updates a kernel support vector machine representation of the separating surface via active learning. The overall approach avoids structured grids and exploits any available simplicity in the geometry of the separating surface, thus reducing the number of model evaluations required to localize the discontinuity. The method is illustrated on examples of up to eleven dimensions, including algebraic models and ODE/PDE systems, and demonstrates improved scaling and efficiency over other discontinuity localization approaches

Spectral tensor-train decomposition

The accurate approximation of high-dimensional functions is an essential task in uncertainty quantification and many other fields. We propose a new function approximation scheme based on a spectral extension of the tensor-train (TT) decomposition. We first define a functional version of the TT decomposition and analyze its properties. We obtain results on the convergence of the decomposition, revealing links between the regularity of the function, the dimension of the input space, and the TT ranks. We also show that the regularity of the target function is preserved by the univariate functions (i.e., the "cores") comprising the functional TT decomposition. This result motivates an approximation scheme employing polynomial approximations of the cores. For functions with appropriate regularity, the resulting \textit{spectral tensor-train decomposition} combines the favorable dimension-scaling of the TT decomposition with the spectral convergence rate of polynomial approximations, yielding efficient and accurate surrogates for high-dimensional functions. To construct these decompositions, we use the sampling algorithm \texttt{TT-DMRG-cross} to obtain the TT decomposition of tensors resulting from suitable discretizations of the target function. We assess the performance of the method on a range of numerical examples: a modifed set of Genz functions with dimension up to $100$, and functions with mixed Fourier modes or with local features. We observe significant improvements in performance over an anisotropic adaptive Smolyak approach. The method is also used to approximate the solution of an elliptic PDE with random input data. The open source software and examples presented in this work are available online.Comment: 33 pages, 19 figure