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Unbiased Estimation Using a Class of Diffusion Processes

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SSRN

SSRN 2022年

作者： Ruzayqat, Hamza Beskos, Alexandros Crisan, Dan Jasra, Ajay Kantas, Nikolas 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 Statistical Science University College London LondonWC1E 6BT United Kingdom Department of Mathematics Imperial College London LondonSW7 2AZ United Kingdom

We study the problem of unbiased estimation of expectations with respect to (w.r.t.) π a given, general probability measure on (Rd,B(Rd)) that is absolutely continuous with respect to a standard Gaussian measure. We focus on simulation associated to a particular class of diffusion processes, sometimes termed the Schrödinger-Föllmer Sampler, which is a simulation technique that approximates the law of a particular diffusion bridge process {Xt}t∈[0,1] on Rd, d ∈ N0. This latter process is constructed such that, starting at X0 = 0, one has X1 ∼ π. Typically, the drift of the diffusion is intractable and, even if it were not, exact sampling of the associated diffusion is not possible. As a result, [10, 15] consider a stochastic Euler-Maruyama scheme that allows the development of biased estimators for expectations w.r.t. π. We show that for this methodology to achieve a mean square error of O(Ε2), for arbitrary Ε > 0, the associated cost is O(Ε−5). We then introduce an alternative approach that provides unbiased estimates of expectations w.r.t. π, that is, it does not suffer from the time discretization bias or the bias related with the approximation of the drift function. We prove that to achieve a mean square error of O(Ε2), the associated cost is, with high probability, O(Ε−2|log(Ε)|2+δ), for any δ > 0. We implement our method on several examples including Bayesian inverse problems. © 2022, The Authors. All rights reserved.

关键词： Diffusion

Nonequilibrium static diverging length scales on approaching a prototypical model glassy state

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Physical Review E 2012年第2期86卷 021505-021505页

作者： Adam B. Hopkins Frank H. Stillinger Salvatore Torquato Department of Chemistry Princeton University Princeton New Jersey 08544 USA Princeton Institute for the Science and Technology of Materials Princeton University Princeton New Jersey 08544 USA Department of Physics Princeton University Princeton New Jersey 08544 USA Princeton Center for Theoretical Science Princeton University Princeton New Jersey 08544 USA Program in Applied and Computational Mathematics Princeton University Princeton New Jersey 08544 USA

Maximally random jammed states of hard spheres are prototypical glasses. We study the small wavenumber k behavior of the structure factor S(k) of overcompressed million-sphere packings as a function of density up to the jammed state. We find both a precursor to the glassy jammed state evident long before the jamming density is reached and two associated growing length scales, one extracted from the volume integral of the direct correlation function c(r) and the other from the small-k behavior of the structure factor S(k), that can diverge at the “critical” jammed state. We also define a nonequilibrium index X and use it to demonstrate that the packings studied are intrinsically nonequilibrium in nature well before the critical state is reached. The extension of the results reported in the present work to supercooled atomic-liquid models in which the atoms interact with both repulsive and attractive forces is also discussed.

关键词： PROTOTYPES GLASS FACTOR structure DENSITY functionals NONEQUILIBRIUM thermodynamics MATHEMATICAL models CORRELATION (Statistics) CRITICAL point

Improved reconstructions of random media using dilation and erosion processes

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Physical Review E 2011年第5期84卷 056102-056102页

作者： Chase E. Zachary Salvatore Torquato Department of Chemistry Princeton University Princeton New Jersey 08544 USA Department of Physics Princeton University Princeton New Jersey 08544 USA Princeton Center for Theoretical Science Princeton University Princeton New Jersey 08544 USA Program in Applied and Computational Mathematics Princeton University Princeton New Jersey 08544 USA Princeton Institute for the Science and Technology of Materials Princeton University Princeton New Jersey 08544 USA

By using the most sensitive two-point correlation functions introduced to date, we reconstruct the microstructures of two-phase random media with heretofore unattained accuracy. Such media arise in a host of contexts, including porous and composite media, ecological structures, biological media, and astrophysical structures. The aforementioned correlation functions are special cases of the so-called canonical n-point correlation function Hn and generalize the ones that have been recently employed to advance our ability to reconstruct complex microstructures [Y. Jiao, F. H. Stillinger, and S. Torquato, Proc. Natl. Acad. Sci. 106, 17634 (2009)]. The use of these generalized correlation functions is tantamount to dilating or eroding a reference phase of the target medium and incorporating the additional topological information of the modified media, thereby providing more accurate reconstructions of percolating, filamentary, and other topologically complex microstructures. We apply our methods to a multiply connected “donut” medium and a dilute distribution of “cracks” (a set of essentially zero measure), demonstrating improved accuracy in both cases with implications for higher-dimensional and biconnected two-phase systems. The high information content of the generalized two-point correlation functions suggests that it would be profitable to explore their use to characterize the structural and physical properties of not only random media, but also molecular systems, including structural glasses.

关键词： FUNCTIONS (mathematics) MICROSTRUCTURE TOPOLOGY COMPOSITE materials PROBABILITY theory STATISTICS

Phase Diagram and Structural Diversity of the Densest Binary Sphere Packings

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Physical Review Letters 2011年第12期107卷 125501-125501页

作者： Adam B. Hopkins Yang Jiao Frank H. Stillinger Salvatore Torquato Department of Chemistry Princeton University Princeton New Jersey 08544 USA Princeton Institute for the Science and Technology of Materials Princeton University Princeton New Jersey 08544 USA Department of Physics Princeton University Princeton New Jersey 08544 USA Princeton Center for Theoretical Science Princeton University Princeton New Jersey 08544 USA Program in Applied and Computational Mathematics Princeton University Princeton New Jersey 08544 USA

The densest binary sphere packings have historically been very difficult to determine. The only rigorously known packings in the α−x plane of sphere radius ratio α and relative concentration x are at the Kepler limit α=1, where packings are monodisperse. Utilizing an implementation of the Torquato-Jiao sphere-packing algorithm [S. Torquato and Y. Jiao, Phys. Rev. E 82, 061302 (2010)], we present the most comprehensive determination to date of the phase diagram in (α,x) for the densest binary sphere packings. Unexpectedly, we find many distinct new densest packings.

关键词： SPHERE packings PHASE diagrams SOLID geometry KEPLER'S laws CRYSTALLOGRAPHY CELLS

Light Localization in Local Isomorphism Classes of Quasicrystals

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Physical Review Letters 2018年第24期120卷 247401-247401页

作者： Chaney Lin Paul J. Steinhardt Salvatore Torquato Department of Physics Princeton University Princeton New Jersey 08544 USA Princeton Center for Theoretical Science Princeton University Princeton New Jersey 08544 USA Department of Chemistry Princeton University Princeton New Jersey 08544 USA Program of Applied and Computational Mathematics Princeton University Princeton New Jersey 08544 USA Princeton Institute for the Science and Technology of Materials Princeton University Princeton New Jersey 08544 USA

We study a continuum of photonic quasicrystal heterostructures derived from local isomorphism (LI) classes of pentagonal quasicrystal tilings. These tilings are obtained by direct projection from a five-dimensional hypercubic lattice. We demonstrate that, with the sole exception of the Penrose LI class, all other LI classes result in degenerate, effectively localized states, with precisely predictable and tunable properties (frequencies, frequency splittings, and densities). We show that localization and tunability are related to a mathematical property of the pattern known as “restorability,” i.e., whether the tiling can be uniquely specified given only a set of rules that fix all allowed clusters smaller than some bound.

关键词： Photonic crystals Photonics Quasicrystals

Isotope effects in liquid water via deep potential molecular dynamics

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arXiv 2019年

作者： Ko, Hsin-Yu Zhang, Linfeng Santra, Biswajit Wang, Han Weinan, E. DiStasio, Robert A. Cara, Roberto Department of Chemistry Princeton University PrincetonNJ08544 United States Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544 United States Department of Physics Temple University PhiladelphiaPA19122 United States Laboratory of Computational Physics Institute of Applied Physics and Computational Mathematics Huayuan Road 6 Beijing100088 China Department of Mathematics Princeton University PrincetonNJ08544 United States Department of Chemistry and Chemical Biology Cornell University IthacaNY14853 United States Department of Physics Princeton Institute for the Science and Technology of Materials Princeton University PrincetonNJ08544 United States

A comprehensive microscopic understanding of ambient liquid water is a major challenge for ab initio simulations as it simultaneously requires an accurate quantum mechanical description of the underlying potential energy surface (PES) as well as extensive sampling of configuration space. Due to the presence of light atoms (e.g., H or D), nuclear quantum fluctuations lead to observable changes in the structural properties of liquid water (e.g., isotope effects), and therefore provide yet another challenge for ab initio approaches. In this work, we demonstrate that the combination of dispersion-inclusive hybrid density functional theory (DFT), the Feynman discretized path-integral (PI) approach, and machine learning (ML) constitutes a versatile ab initio based framework that enables extensive sampling of both thermal and nuclear quantum fluctuations on a quite accurate underlying PES. In particular, we employ the recently developed deep potential molecular dynamics (DPMD) model - a neural-network representation of the ab initio PES - in conjunction with a PI approach based on the generalized Langevin equation (PIGLET) to investigate how isotope effects influence the structural properties of ambient liquid H2O and D2O. Through a detailed analysis of the interference differential cross sections as well as several radial and angular distribution functions, we demonstrate that this approach can furnish a semi-quantitative prediction of these subtle isotope effects. Copyright © 2019, The Authors. All rights reserved.

关键词： Deep neural networks

Tuning cooperative behavior in games with nonlinear opinion dynamics

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arXiv 2021年

作者： Park, Shinkyu Bizyaeva, Anastasia Kawakatsu, Mari Franci, Alessio Leonard, Naomi Ehrich Computer Electrical and Mathematical Science and Engineering Division Thuwal23955-6900 Saudi Arabia Department of Mechanical and Aerospace Engineering Princeton University PrincetonNJ08544 United States Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544 United States Mathematics Department National Autonomous University of Mexico Mexico City04510 Mexico

We examine the tuning of cooperative behavior in repeated multi-agent games using an analytically tractable, continuous-time, nonlinear model of opinion dynamics. Each modeled agent updates its real-valued opinion about each available strategy in response to payoffs and other agent opinions, as observed over a network. We show how the model provides a principled and systematic means to investigate behavior of agents that select strategies using rationality and reciprocity, key features of human decision-making in social dilemmas. For two-strategy games, we use bifurcation analysis to prove conditions for the bistability of two equilibria and conditions for the first (second) equilibrium to reflect all agents favoring the first (second) strategy. We prove how model parameters, e.g., level of attention to opinions of others (reciprocity), network structure, and payoffs, influence dynamics and, notably, the size of the region of attraction to each stable equilibrium. We provide insights by examining the tuning of the bistability of mutual cooperation and mutual defection and their regions of attraction for the repeated prisoner's dilemma and the repeated multi-agent public goods game. Our results generalize to games with more strategies, heterogeneity, and additional feedback dynamics, such as those designed to elicit cooperation. Copyright © 2021, The Authors. All rights reserved.

关键词： Bifurcation (mathematics)

Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications

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arXiv 2024年

作者： Iguchi, Yuga Jasra, Ajay Maama, Mohamed Beskos, Alexandros Department of Statistical Science University College London LondonWC1E 6BT United Kingdom 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

In this paper we present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-elliptic. In particular, we consider the case where one has to resort to time discretization of the diffusion and numerical simulation of such schemes. Motivated by recent developments, we introduce a new MLMC estimator of expectations, which does not require simulation of intractable Lévy areas but has a weak error of order 2 and achieves the optimal computational complexity. We then show how this approach can be used in the context of the filtering problem associated to partially observed diffusions with discrete time observations. We illustrate with numerical simulations that our new approaches provide efficiency gains for several problems relative to some existing methods. © 2024, CC BY.

关键词： Diffusion

Learning binary latent variable models: A tensor eigenpair approach

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arXiv 2018年

作者： Jaffe, Ariel Weiss, Roi Carmi, Shai Kluger, Yuval Nadler, Boaz Dept. of Computer Science and Applied Mathematics Weizmann Institute of Science Rehovot7610001 Israel Braun School of Public Health and Community Medicine Hebrew University of Jerusalem Jerusalem9112102 Israel Interdepartmental Program in Computational Biology and Bioinformatics Yale University New HavenCT06511 United States Dept. of Pathology Yale Cancer Center Yale University School of Medicine New HavenCT06520 United States Program of Applied Mathematics Yale University New HavenCT06511 United States

Latent variable models with hidden binary units appear in various applications. Learning such models, in particular in the presence of noise, is a challenging computational problem. In this paper we propose a novel spectral approach to this problem, based on the eigenvectors of both the second order moment matrix and third order moment tensor of the observed data. We prove that under mild non-degeneracy conditions, our method consistently estimates the model parameters at the optimal parametric rate. Our tensor-based method generalizes previous orthogonal tensor decomposition approaches, where the hidden units were assumed to be either statistically independent or mutually exclusive. We illustrate the consistency of our method on simulated data and demonstrate its usefulness in learning a common model for population mixtures in genetics. Copyright © 2018, The Authors. All rights reserved.

关键词： Tensors