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Parameter Estimation for Partially Observed McKean-Vlasov Diffusions

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arXiv 2024年

作者： Jasra, Ajay Maama, Mohamed Tempone, Raul School of Data Science The Chinese University of Hong Kong CN Shenzhen China Applied Mathematics and Computational Science Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955-6900 Saudi Arabia Chair of Mathematics for Uncertainty Quantification RWTH Aachen University Aachen52062 Germany

In this article we consider likelihood-based estimation of static parameters for a class of partially observed McKean-Vlasov (POMV) diffusion process with discrete-time observations over a fixed time interval. In particular, using the framework of [5] we develop a new randomized multilevel Monte Carlo method for estimating the parameters, based upon Markovian stochastic approximation methodology. New Markov chain Monte Carlo algorithms for the POMV model are introduced facilitating the application of [5]. We prove, under assumptions, that the expectation of our estimator is biased, but with expected small and controllable bias. Our approach is implemented on several examples. Copyright © 2024, The Authors. All rights reserved.

关键词： Stochastic systems

Relative magnetic field and slipping effect on Casson dusty fluid of two phase fluctuating flow over inclined parallel plate

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South African Journal of Chemical Engineering 2023年 44卷 135-146页

作者： khan, Dolat Kumam, Poom Kumam, Wiyada Suttiarporn, Panawan Rehman, Ali Fixed Point Research Laboratory Fixed Point Theory and Applications Research Group Center of Excellence in Theoretical and Computational Science (TaCS-CoE) Faculty of Science King Mongkut's University of Technology Thonburi (KMUTT) 126 Pracha Uthit Rd. Bang Mod Bangkok Thung Khru 10140 Thailand Center of Excellence in Theoretical and Computational Science (TaCS-CoE) Faculty of Science King Mongkut's University of Technology Thonburi (KMUTT) 126 Pracha Uthit Rd. Bang Mod Bangkok Thung Khru 10140 Thailand Applied Mathematics for Science and Engineering Research Unit (AMSERU) Program in Applied Statistics Department of Mathematics and Computer Science Faculty of Science and Technology Rajamangala University of Technology Thanyaburi (RMUTT) Pathum Thani 12110 Thailand Faculty of Science Energy and Environment King Mongkut's University of Technology North Bangkok Rayong Campus Rayong 21120 Thailand Special Interest Group for Modelling and Data Analytics Faculty of Ocean Engineering Technology and Informatics Universiti Malaysia Terengganu Terengganu Kuala Nerus 21030 Malaysia

Due to its significant applications in magnetic devices for cell separation, magnetic drugs for cancer tumor treatment, blood flow adjustment during surgery, magnetic endoscopy, and fluid pumping in industrial and engineering processes, magnetohydrodynamics (MHD) has a wide range of applications. Therefore, the aim of this study to investigate the Relative Magnetic Field and slipping effect on Casson dusty fluid of two-phase fluctuating flow over inclined parallel plate. More exactly, the relative magnetic phenomena are fixed relatively to the plate (MFFRP) or fixed relatively to the fluid (MFFRF). The mathematical modeling was established as the set of partial differential equations for dusty Casson fluid. Buckingham's pi theorem is used to find out the dimensionless variables, to make our system dimensionless. The solution in perturb form is to find out by incorporating Poincare–Lighthill perturbation technique (PLPT). To know in-depth different parameters the graphical results for both velocities are plotted with the help of software Mathcad- 15. It is clearly detected that the relative magnetic field performs a vital part in the fluid as well as particle motion. Moreover, the relative magnetic field play a vital role in the decreasing of skin friction of both plates. © 2023

关键词： Brinkman fluid Dust particles Fluctuating vertical plate Inclined relative magnetic field PLPT

Empowering Optimal Control with Machine Learning: A Perspective from Model Predictive Control

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IFAC-PapersOnLine 2022年第30期55卷 121-126页

作者： E Weinan Jiequn Han Jihao Long AI for Science Institute Beijing Center for Machine Learning Research and School of Mathematical Sciences Peking University Beijing China Center for Computational Mathematics Flatiron Institute New York 10010 USA Program of Applied and Computational Mathematics Princeton University Princeton 08544 USA

Solving complex optimal control problems have confronted computational challenges for a long time. Recent advances in machine learning have provided us with new opportunities to address these challenges. This paper takes model predictive control, a popular optimal control method, as the primary example to survey recent progress that leverages machine learning techniques to empower optimal control solvers. We also discuss some of the main challenges encountered when applying machine learning to develop more robust optimal control algorithms.

关键词： Machine Learning Optimal Control Model Predictive Control

Modeling of Measurement Error in Financial Returns Data

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arXiv 2024年

作者： Jasra, Ajay Maama, Mohamed Mijatović, Aleksandar School of Data Science The Chinese University of Hong Kong Shenzhen China Applied Mathematics and Computational Science Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955-6900 Saudi Arabia Department of Statistics University of Warwick United Kingdom

In this paper we consider the modeling of measurement error for fund returns data. In particular, given access to a time-series of discretely observed log-returns and the associated maximum over the observation period, we develop a stochastic model which models the true log-returns and maximum via a Lévy process and the data as a measurement error there-of. The main technical difficulty of trying to infer this model, for instance Bayesian parameter estimation, is that the joint transition density of the return and maximum is seldom known, nor can it be simulated exactly. Based upon the novel stick breaking representation of [12] we provide an approximation of the model. We develop a Markov chain Monte Carlo (MCMC) algorithm to sample from the Bayesian posterior of the approximated posterior and then extend this to a multilevel MCMC method which can reduce the computational cost to approximate posterior expectations, relative to ordinary MCMC. We implement our methodology on several applications including for real data. Copyright © 2024, The Authors. All rights reserved.

关键词： Markov chains

NOMAD: nonlinear manifold decoders for operator learning 22

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NOMAD: nonlinear manifold decoders for operator learning

Proceedings of the 36th International Conference on Neural Information Processing Systems

作者： Jacob H. Seidman Georgios Kissas Paris Perdikaris George J. Pappas Graduate Program in Applied Mathematics and Computational Science University of Pennsylvania Department of Mechanical Engineering and Applied Mechanics University of Pennsylvania Department of Electrical and Systems Engineering University of Pennsylvania

ISBN: (纸本)9781713871088

Supervised learning in function spaces is an emerging area of machine learning research with applications to the prediction of complex physical systems such as fluid flows, solid mechanics, and climate modeling. By directly learning maps (operators) between infinite dimensional function spaces, these models are able to learn discretization invariant representations of target functions. A common approach is to represent such target functions as linear combinations of basis elements learned from data. However, there are simple scenarios where, even though the target functions form a low dimensional submanifold, a very large number of basis elements is needed for an accurate linear representation. Here we present NOMAD, a novel operator learning framework with a nonlinear decoder map capable of learning finite dimensional representations of nonlinear submanifolds in function spaces. We show this method is able to accurately learn low dimensional representations of solution manifolds to partial differential equations while outperforming linear models of larger size. Additionally, we compare to state-of-the-art operator learning methods on a complex fluid dynamics benchmark and achieve competitive performance with a significantly smaller model size and training cost.

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Unbiased Estimation of the Vanilla and Deterministic Ensemble Kalman–Bucy Filters

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arXiv 2022年

作者： Álvarez Ballesteros, Miguel Ángel Chada, Neil K. Jasra, Ajay Applied Mathematics and Computational Science Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955 Saudi Arabia

In this article we consider the development of an unbiased estimator for the ensemble Kalman–Bucy filter (EnKBF). The EnKBF is a continuous-time filtering methodology which can be viewed as a continuous-time analogue of the famous discrete-time ensemble Kalman filter. Our unbiased estimators will be motivated from recent work [Rhee & Glynn 2010, [31]] which introduces randomization as a means to produce unbiased and finite variance estimators. The randomization enters through both the level of discretization, and through the number of samples at each level. Our estimator will be specific to linear and Gaussian settings, where we know that the EnKBF is consistent, in the particle limit N → ∞, with the KBF. We highlight this for two particular variants of the EnKBF, i.e. the deterministic and vanilla variants, and demonstrate this on a linear Ornstein–Uhlenbeck process. We compare this with the EnKBF and the multilevel (MLEnKBF), for experiments with varying dimension size. We also provide a proof of the multilevel deterministic EnKBF, which provides a guideline for some of the unbiased methods. © 2022, CC BY-NC-SA.

关键词： Continuous time systems

Diffusion curvature for estimating local curvature in high dimensional data 22

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Diffusion curvature for estimating local curvature in high d...

Proceedings of the 36th International Conference on Neural Information Processing Systems

作者： Dhananjay Bhaskar Kincaid MacDonald Oluwadamilola Fasina Dawson Thomas Bastian Rieck Ian Adelstein Smita Krishnaswamy Department of Genetics Yale University Department of Mathematics Yale University Applied Mathematics Program Yale University Department of Mathematics Department of Physics Yale University Institute of AI for Health Helmholtz Pioneer Campus Helmholtz Munich Department of Computer Science Department of Genetics Applied Mathematics Program Program for Computational Biology and Bioinformatics Yale University

ISBN: (纸本)9781713871088

We introduce a new intrinsic measure of local curvature on point-cloud data called diffusion curvature. Our measure uses the framework of diffusion maps, including the data diffusion operator, to structure point cloud data and define local curvature based on the laziness of a random walk starting at a point or region of the data. We show that this laziness directly relates to volume comparison results from Riemannian geometry. We then extend this scalar curvature notion to an entire quadratic form using neural network estimations based on the diffusion map of point-cloud data. We show applications of both estimations on toy data, single-cell data and on estimating local Hessian matrices of neural network loss landscapes.

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Unbiased Estimation using Underdamped Langevin Dynamics

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arXiv 2022年

作者： Ruzayqat, Hamza Chada, Neil K. Jasra, Ajay Applied Mathematics and Computational Science Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955-6900 Saudi Arabia

In this work we consider the unbiased estimation of expectations w.r.t. probability measures that have non-negative Lebesgue density, and which are known point-wise up-to a normalizing constant. We focus upon developing an unbiased method via the underdamped Langevin dynamics, which has proven to be popular of late due to applications in statistics and machine learning. Specifically in continuous-time, the dynamics can be constructed so that as the time goes to infinity they admit the probability of interest as a stationary measure. In many cases, time-discretized versions of the underdamped Langevin dynamics are used in practice which are run only with a fixed number of iterations. We develop a novel scheme based upon doubly randomized estimation as in [17, 19], which requires access only to time-discretized versions of the dynamics. The proposed scheme aims to remove the dicretization bias and the bias resulting from running the dynamics for a finite number of iterations. We prove, under standard assumptions, that our estimator is of finite variance and either has finite expected cost, or has finite cost with a high probability. To illustrate our theoretical findings we provide numerical experiments which verify our theory, which include challenging examples from Bayesian statistics and statistical *** Codes 60J22, 65C05, 65C40, 82C31, 62G08, 35Q56 © 2022, CC BY.

关键词： Dynamics

A Neural Network-Based Approach to Normality Testing for Dependent Data

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arXiv 2023年

作者： Kim, Minwoo Genton, Marc G. Huser, Raphaël Castruccio, Stefano Department of Statistics Pusan National University Korea Republic of Statistics program King Abdullah University of Science and Technology Saudi Arabia Department of Applied and Computational Mathematics and Statistics University of Notre Dame United States

There is a wide availability of methods for testing normality under the assumption of independent and identically distributed data. When data are dependent in space and/or time, however, assessing and testing the marginal behavior is considerably more challenging, as the marginal behavior is impacted by the degree of dependence. We propose a new approach to assess normality for dependent data by non-linearly incorporating existing statistics from normality tests as well as sample moments such as skewness and kurtosis through a neural network. We calibrate (deep) neural networks by simulated normal and non-normal data with a wide range of dependence structures and we determine the probability of rejecting the null hypothesis. We compare several approaches for normality tests and demonstrate the superiority of our method in terms of statistical power through an extensive simulation study. A real world application to global temperature data further demonstrates how the degree of spatio-temporal aggregation affects the marginal normality in the data. © 2023, CC BY.

关键词： Higher order statistics