检索结果-内蒙古大学图书馆

Multilevel Particle Filters for Partially Observed McKean-Vlasov Stochastic Differential Equations

学校读者我要写书评

暂无评论

arXiv 2024年

作者： Awadelkarim, Elsiddig 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 School of Data Science The Chinese University of Hong Kong Shenzhen China

In this paper we consider the filtering problem associated to partially observed McKean-Vlasov stochastic differential equations (SDEs). The model consists of data that are observed at regular and discrete times and the objective is to compute the conditional expectation of (functionals) of the solutions of the SDE at the current time. This problem, even the ordinary SDE case is challenging and requires numerical approximations. Based upon the ideas in [3, 12] we develop a new particle filter (PF) and multilevel particle filter (MLPF) to approximate the afore-mentioned expectations. We prove under assumptions that, for ϵ > 0, to obtain a mean square error of O(ϵ2) the PF has a cost per-observation time of O(ϵ−5) and the MLPF costs O(ϵ−4) (best case) or O(ϵ−4 log(ϵ)2) (worst case). Our theoretical results are supported by numerical experiments. © 2024, CC BY.

关键词： Mean square error

Bayesian Spectral Graph Denoising with Smoothness Prior

学校读者我要写书评

暂无评论

Bayesian Spectral Graph Denoising with Smoothness Prior

Annual Conference on Information sciences and Systems (CISS)

作者： Sam Leone Xingzhi Sun Michael Perlmutter Smita Krishnaswamy Program for Applied Mathematics Yale University Department of Computer Science Yale University Department of Mathematics Boise State University Department of Genetics Yale School of Medicine Wu Tsai Institute Yale University FAIR Meta AI Computational Biology and Bioinformatics Program Yale University

Here we consider the problem of denoising features associated to complex data, modeled as signals on a graph, via a smoothness prior. This is motivated in part by settings such as single-cell RNA where the data is very high-dimensional, but its structure can be captured via an affinity graph. This allows us to utilize ideas from graph signal processing. In particular, we present algorithms for the cases where the signal is perturbed by Gaussian noise, dropout, and uniformly distributed noise. The signals are assumed to follow a prior distribution defined in the frequency domain which favors signals which are smooth across the edges of the graph. By pairing this prior distribution with our three models of noise generation, we propose Maximum A Posteriori (M.A.P.) estimates of the true signal in the presence of noisy data and provide algorithms for computing the M.A.P. Finally, we demonstrate the algorithms’ ability to effectively restore signals from white noise on image data and from severe dropout in single-cell RNA sequence data.

关键词：

Multilevel Particle Filters for a Class of Partially Observed Piecewise Deterministic Markov Processes

学校读者我要写书评

暂无评论

arXiv 2023年

作者： Jasra, Ajay Kamatani, Kengo Maama, Mohamed 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 Institute of Statistical Mathematics Tokyo190-0014 Japan

In this paper we consider the filtering of a class of partially observed piecewise deterministic Markov processes (PDMPs). In particular, we assume that an ordinary differential equation (ODE) drives the deterministic element and can only be solved numerically via a time discretization. We develop, based upon the approach in [20], a new particle and multilevel particle filter (MLPF) in order to approximate the filter associated to the discretized ODE. We provide a bound on the mean square error associated to the MLPF which provides guidance on setting the simulation parameter of that algorithm and implies that significant computational gains can be obtained versus using a particle filter. Our theoretical claims are confirmed in several numerical examples. Copyright © 2023, The Authors. All rights reserved.

关键词： Ordinary differential equations

Unbiased Parameter Estimation for Bayesian Inverse Problems

学校读者我要写书评

暂无评论

arXiv 2025年

作者： Chada, Neil K. Jasra, Ajay Maama, Mohamed Tempone, Raul Department of Mathematics City University of Hong Kong China School of Data Science The Chinese University of Hong Kong Shenzhen 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

In this paper we consider the estimation of unknown parameters in Bayesian inverse problems. In most cases of practical interest, there are several barriers to performing such estimation, This includes a numerical approximation of a solution of a differential equation and, even if exact solutions are available, an analytical intractability of the marginal likelihood and its associated gradient, which is used for parameter estimation. The focus of this article is to deliver unbiased estimates of the unknown parameters, that is, stochastic estimators that, in expectation, are equal to the maximizer of the marginal likelihood, and possess no numerical approximation error. Based upon the ideas of [4] we develop a new approach for unbiased parameter estimation for Bayesian inverse problems. We prove unbiasedness and establish numerically that the associated estimation procedure is faster than the current state-of-the-art methodology for this problem. We demonstrate the performance of our methodology on a range of problems which include a PDE and ODE. Copyright © 2025, The Authors. All rights reserved.

关键词： Markov processes

Particle swarm optimization with local search for height-map surface reconstruction from point clouds in reverse engineering

学校读者我要写书评

暂无评论

Neural Computing and Applications 2024年 1-20页

作者： Gálvez, Akemi Fister, Iztok Deb, Suash Fister, Iztok Iglesias, Andrés Dept. of Applied Mathematics and Computational Sciences E.T.S.I. Caminos Canales y Puertos University of Cantabria Avda. de los Castros s/n Santander39005 Spain Faculty of Pharmaceutical Sciences Toho University 2-2-1 Miyama Funabashi274-8510 Japan Faculty of Electrical Engineering and Computer Science University of Maribor Koroska cesta 34 Maribor2000 Slovenia IT & Educational Consultant Ranchi India Distinguished Professorial Associate Decision Sciences and Modeling Program Victoria University Melbourne Australia

Surface reconstruction is a classical process in industrial engineering and manufacturing, particularly in reverse engineering, where the goal is to obtain a digital model from a physical object. For that purpose, the real object is typically scanned or digitized and the resulting point cloud is then fitted to mathematical surfaces through numerical optimization. The choice of the approximating functions is crucial for the accuracy of the process. Real-world objects such as manufactured workpieces often require complex nonlinear approximating functions, which are not well suited for standard numerical methods. In a previous paper presented at the ISMSI 2023 conference, we addressed this issue by using manually selected approximation functions via optimization through the cuckoo search algorithm with Lévy flights. Building upon that work, this paper presents an enhanced and extended method for surface reconstruction by using height-map surfaces obtained through a combination of exponential, polynomial and logarithmic functions. A feasible approach for this goal is to consider continuous bivariate distribution functions, which ensures consistent models along with good mathematical properties for the output shapes, such as smoothness and integrability. However, this approach leads to a difficult multivariate, constrained, multimodal continuous nonlinear optimization problem. To tackle this issue, we apply particle swarm optimization, a popular swarm intelligence technique for continuous optimization. The method is hybridized with a local search procedure for further improvement of the solutions and applied to a benchmark of 15 illustrative examples of point clouds fitted to different surface models. The performance of the method is analyzed through several computational experiments. The numerical and graphical results show that the method is able to recover the shape of the point clouds accurately and automatically. Furthermore, our approach outperforms other alternati

关键词： Particle swarm optimization (PSO)

Physics-informed machine learning with smoothed particle hydrodynamics: Hierarchy of reduced Lagrangian models of turbulence

学校读者我要写书评

暂无评论

Physical Review Fluids 2023年第5期8卷 054602-054602页

作者： Michael Woodward Yifeng Tian Criston Hyett Chris Fryer Mikhail Stepanov Daniel Livescu Michael Chertkov Graduate Interdisciplinary Program in Applied Mathematics University of Arizona Tucson Arizona 85721 USA Department of Mathematics University of Arizona Tucson Arizona 85721 USA Computer Computational and Statistical Sciences Division LANL Los Alamos New Mexico 87544 USA

Building efficient, accurate, and generalizable reduced-order models of developed turbulence remains a major challenge. This manuscript approaches this problem by developing a hierarchy of parameterized reduced Lagrangian models for turbulent flows, and it investigates the effects of enforcing physical structure through smoothed particle hydrodynamics (SPH) versus relying on neural networks (NNs) as universal function approximators. Starting from NN parametrizations of a Lagrangian acceleration operator, this hierarchy of models gradually incorporates a weakly compressible and parameterized SPH framework, which enforces physical symmetries, such as Galilean, rotational, and translational invariances. Within this hierarchy, two new parameterized smoothing kernels are developed to increase the flexibility of the learn-able SPH simulators. For each model we experiment with different loss functions which are minimized using gradient based optimization, where efficient computations of gradients are obtained by using automatic differentiation and sensitivity analysis. Each model within the hierarchy is trained on two data sets associated with weakly compressible homogeneous isotropic turbulence: (1) a validation set using weakly compressible SPH; and (2) a high-fidelity set from direct numerical simulations. Numerical evidence shows that encoding more SPH structure improves generalizability to different turbulent Mach numbers and time shifts, and that including the novel parameterized smoothing kernels improves the accuracy of SPH at the resolved scales.

关键词： Sensitivity analysis

Unbiased Approximations for Stationary Distributions of McKean-Vlasov SDEs

学校读者我要写书评

暂无评论

arXiv 2024年

作者： Awadelkarim, Elsiddig 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 Department of Mathematics City University of Hong Kong Hong Kong School of Data Science The Chinese University of Hong Kong Shenzhen Shenzhen China

We consider the development of unbiased estimators, to approximate the stationary distribution of Mckean-Vlasov stochastic differential equations (MVSDEs). These are an important class of processes, which frequently appear in applications such as mathematical finance, biology and opinion dynamics. Typically the stationary distribution is unknown and indeed one cannot simulate such processes exactly. As a result one commonly requires a time-discretization scheme which results in a discretization bias and a bias from not being able to simulate the associated stationary distribution. To overcome this bias, we present a new unbiased estimator taking motivation from the literature on unbiased Monte Carlo. We prove the unbiasedness of our estimator, under assumptions. In order to prove this we require developing ergodicity results of various discrete time processes, through an appropriate discretization scheme, towards the invariant measure. Numerous numerical experiments are provided, on a range of MVSDEs, to demonstrate the effectiveness of our unbiased estimator. Such examples include the Currie-Weiss model, a 3D neuroscience model and a parameter estimation problem. © 2024, CC BY-NC-SA.

关键词： Stochastic systems

Optimizing Insurance Strategies through Disaster Risk Assessment Models: A Case Study of Earthquakes in Japan

学校读者我要写书评

暂无评论

Optimizing Insurance Strategies through Disaster Risk Assess...

Computing Innovation, Intelligence, Technologies and Education (CIITE), International Conference on

作者： Qiyuan Luo Xingnan Zhang Yuanxin Zhang Burra Venkata Durga Kumar Meifeng Liu Program in Computer Science & Technology Xiamen University Malaysia Kuala Lumplur Malaysia Program in Software Engineering Xiamen University Malaysia Kuala Lumplur Malaysia Program in Mathematics and Applied Mathematics Xiamen University Malaysia Kuala Lumplur Malaysia

ISBN: (数字)9798350377286

ISBN: (纸本)9798350377293

With the increasing frequency of extreme weather events and natural disasters, insurance providers around the world are facing enormous challenges. This study addresses insurance claims resulting from these disasters by developing a comprehensive disaster insurance risk assessment model, focusing on Japan, a country prone to frequent earthquakes. The model integrates a Catastrophe Model, the Analytic Hierarchy Process (AHP), and an expert scoring method to optimize the risk assessment and compensation process for historic buildings. The results show that the model has strong predictive power, which provides valuable insights for insurance companies, policymakers, and urban planners in mitigating the impact of disasters and protecting cultural heritage.

关键词： Analytical models Disasters Earthquakes Buildings Insurance Predictive models Risk management Cultural differences Meteorology Context modeling

Parameter Estimation for Partially Observed McKean-Vlasov Diffusions

学校读者我要写书评

暂无评论

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