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

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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

Deep potentials for materials science

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Materials Futures 2022年第2期1卷 89-115页

作者： Tongqi Wen Linfeng Zhang Han Wang Weinan E David J Srolovitz Department of Mechanical Engineering The University of Hong KongHong KongHong Kong Special Administrative Region of China DP Technology BeijingPeople’s Republic of China AI for Science Institute BeijingPeople’s Republic of China Laboratory of Computational Physics Institute of Applied Physics and Computational MathematicsBeijingPeople’s Republic of China HEDPS CAPTCollege of EngineeringPeking UniversityBeijingPeople’s Republic of China School of Mathematical Sciences Peking UniversityBeijingPeople’s Republic of China Department of Mathematics and Program in Applied and Computational Mathematics Princeton UniversityPrincetonNJUnited States of America International Digital Economy Academy(IDEA) ShenzhenPeople’s Republic of China

To fill the gap between accurate(and expensive)ab initio calculations and efficient atomistic simulations based on empirical interatomic potentials,a new class of descriptions of atomic interactions has emerged and been widely applied;*** learning potentials(MLPs).One recently developed type of MLP is the deep potential(DP)*** this review,we provide an introduction to DP methods in computational materials *** theory underlying the DP method is presented along with a step-by-step introduction to their development and *** also review materials applications of DPs in a wide range of materials *** DP Library provides a platform for the development of DPs and a database of extant *** discuss the accuracy and efficiency of DPs compared with ab initio methods and empirical potentials.

关键词： deep potential atomistic simulation machine learning potential neural network

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

Unbiased Parameter Estimation for Bayesian Inverse Problems

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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

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

Unbiased Approximations for Stationary Distributions of McKean-Vlasov SDEs

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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

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

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

Bayesian Parameter Inference for Partially Observed SDEs driven by Fractional Brownian Motion

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arXiv 2022年

作者： Maama, Mohamed Jasra, Ajay Ombao, Hernando Applied Mathematics and Computational Science Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955 Saudi Arabia Statistics Program Computer Electrical and Mathematical Sciences and Engineering Division King Abdullah University of Science and Technology Thuwal23955 Saudi Arabia

In this paper we consider Bayesian parameter inference for partially observed fractional Brownian motion (fBM) models. The approach we follow is to time-discretize the hidden process and then to design Markov chain Monte Carlo (MCMC) algorithms to sample from the posterior density on the parameters given data. We rely on a novel representation of the time discretization, which seeks to sample from an approximation of the posterior and then corrects via importance sampling;the approximation reduces the time (in terms of total observation time T) by O(T). This method is extended by using a multilevel MCMC method which can reduce the computational cost to achieve a given mean square error (MSE) versus using a single time discretization. Our methods are illustrated on simulated and real data. Copyright © 2022, The Authors. All rights reserved.

关键词： Mean square error