scholarly journals Adaptive Gaussian Process Approximation for Bayesian Inference with Expensive Likelihood Functions

2018 ◽  
Vol 30 (11) ◽  
pp. 3072-3094 ◽  
Author(s):  
Hongqiao Wang ◽  
Jinglai Li
Keyword(s):  
Bayesian Inference ◽  
Gaussian Process ◽  
Adaptive Algorithm ◽  
Posterior Density ◽  
Unknown Parameters ◽  
Likelihood Functions ◽  
Inference Problems ◽  
Active Learning Method ◽  
Computationally Intensive ◽  
Process Approximation

We consider Bayesian inference problems with computationally intensive likelihood functions. We propose a Gaussian process (GP)–based method to approximate the joint distribution of the unknown parameters and the data, built on recent work (Kandasamy, Schneider, & Póczos, 2015 ). In particular, we write the joint density approximately as a product of an approximate posterior density and an exponentiated GP surrogate. We then provide an adaptive algorithm to construct such an approximation, where an active learning method is used to choose the design points. With numerical examples, we illustrate that the proposed method has competitive performance against existing approaches for Bayesian computation.

scholarly journals Sensitivity-informed Bayesian Inference for Home PLC Network Models with Unknown Parameters

Energies ◽  
2021 ◽  
Vol 14 (9) ◽  
pp. 2402
Author(s):  
David S. Ching ◽  
Cosmin Safta ◽  
Thomas A. Reichardt
Keyword(s):  
Bayesian Inference ◽  
Transfer Function ◽  
Network Topology ◽  
Random Search ◽  
Network Models ◽  
Training Data ◽  
Unknown Parameters ◽  
Network Parameter ◽  
Dimensional Parameter ◽  
Discrete Random Variables

Bayesian inference is used to calibrate a bottom-up home PLC network model with unknown loads and wires at frequencies up to 30 MHz. A network topology with over 50 parameters is calibrated using global sensitivity analysis and transitional Markov Chain Monte Carlo (TMCMC). The sensitivity-informed Bayesian inference computes Sobol indices for each network parameter and applies TMCMC to calibrate the most sensitive parameters for a given network topology. A greedy random search with TMCMC is used to refine the discrete random variables of the network. This results in a model that can accurately compute the transfer function despite noisy training data and a high dimensional parameter space. The model is able to infer some parameters of the network used to produce the training data, and accurately computes the transfer function under extrapolative scenarios.

scholarly journals Computation of posterior distribution in Bayesian analysis – application in an intermittently used reliability system

2002 ◽  
Vol 21 (3) ◽  
pp. 78-82
Author(s):  
V. S.S. Yadavalli ◽  
P. J. Mostert ◽  
A. Bekker ◽  
M. Botha
Keyword(s):  
Posterior Distribution ◽  
Jeffreys Prior ◽  
Posterior Density ◽  
Unknown Parameters ◽  
Stationary Rate ◽  
Analysis Application ◽  
Definition Of ◽  
Hpd Intervals ◽  
Highest Posterior Density ◽  
Bayes Procedure

Bayesian estimation is presented for the stationary rate of disappointments, D∞, for two models (with different specifications) of intermittently used systems. The random variables in the system are considered to be independently exponentially distributed. Jeffreys’ prior is assumed for the unknown parameters in the system. Inference about D∞ is being restrained in both models by the complex and non-linear definition of D∞. Monte Carlo simulation is used to derive the posterior distribution of D∞ and subsequently the highest posterior density (HPD) intervals. A numerical example where Bayes estimates and the HPD intervals are determined illustrates these results. This illustration is extended to determine the frequentistical properties of this Bayes procedure, by calculating covering proportions for each of these HPD intervals, assuming fixed values for the parameters.

scholarly journals Impact of Damping Models in Damage Identification

2019 ◽  
Vol 2019 ◽  
pp. 1-12
Author(s):  
Michael Souza ◽  
Daniel Castello ◽  
Ney Roitman ◽  
Thiago Ritto
Keyword(s):  
Computational Models ◽  
Damage Identification ◽  
Model Parameters ◽  
Posterior Density ◽  
Unknown Parameters ◽  
Key Issues ◽  
Delayed Rejection ◽  
Lumped Masses ◽  
Aluminum Beam ◽  
The Impact

Several damage identification approaches are based on computational models, and their diagnostics depend on the set of modelling hypotheses adopted when building the model itself. Among these hypotheses, the choice of appropriate damping models seems to be one of the key issues. The goal of this paper is to analyze the impact of a set of damping models on the damage identification diagnostics. The damage identification is built on a Bayesian framework, and the measured data are the modal data associated with the first modes of the structure. The exploration of the posterior density of unknown model parameters is performed by means of the Markov chain Monte Carlo method (MCMC) with Delayed Rejection Adaptive Metropolis (DRAM) algorithm. The analyses are based on experimental dynamic response obtained from an aluminum beam instrumented with a set of accelerometers. The presence of damage/anomaly within the system is physically simulated by placing lumped masses over the beam, considering three different masses and two different placing positions. For the set of cases analyzed, it is shown that the proposed approach was able to identify both the position and magnitude of the lumped masses and that the damping models may not provide an increase of knowledge of some unknown parameters when damping rates are lower than 1%.

scholarly journals The estimation of the uncertainty associated with rating curves of the river Ivinhema in the state of Paraná/Brazil

2018 ◽  
Vol 40 ◽  
pp. 06029
Author(s):  
Luiz Henrique Maldonado ◽  
Daniel Firmo Kazay ◽  
Elio Emanuel Romero Lopez
Keyword(s):  
Bayesian Inference ◽  
Likelihood Function ◽  
The State ◽  
Likelihood Estimator ◽  
Likelihood Functions ◽  
Important Impact ◽  
Rating Curves

The estimation of the uncertainty associated with stage-discharge relations is a challenge to the hydrologists. Bayesian inference with likelihood estimator is a promissory approach. The choice of the likelihood function has an important impact on the capability of the model to represent the residues. This paper aims evaluate two likelihood functions with DREAM algorithm to estimate specific non-unique stage-discharge rating curves: normal likelihood function and Laplace likelihood function. The result of BaRatin is also discussed. The MCMC of the DREAM and the BaRatin algorithm have been compared and its results seem consistent for the studied case. The Laplace likelihood function presented as good results as normal likelihood function for the residues. Other gauging stations should be evaluated to attend more general conclusions.

scholarly journals Bayesian3 Active Learning for the Gaussian Process Emulator Using Information Theory

Entropy ◽  
2020 ◽  
Vol 22 (8) ◽  
pp. 890
Author(s):  
Sergey Oladyshkin ◽  
Farid Mohammadi ◽  
Ilja Kroeker ◽  
Wolfgang Nowak
Keyword(s):  
Bayesian Inference ◽  
Active Learning ◽  
Gaussian Process ◽  
Relative Entropy ◽  
Bayesian Model ◽  
Information Gain ◽  
Measurement Data ◽  
Superior Performance ◽  
Evidence Based ◽  
Model Evidence

Gaussian process emulators (GPE) are a machine learning approach that replicates computational demanding models using training runs of that model. Constructing such a surrogate is very challenging and, in the context of Bayesian inference, the training runs should be well invested. The current paper offers a fully Bayesian view on GPEs for Bayesian inference accompanied by Bayesian active learning (BAL). We introduce three BAL strategies that adaptively identify training sets for the GPE using information-theoretic arguments. The first strategy relies on Bayesian model evidence that indicates the GPE’s quality of matching the measurement data, the second strategy is based on relative entropy that indicates the relative information gain for the GPE, and the third is founded on information entropy that indicates the missing information in the GPE. We illustrate the performance of our three strategies using analytical- and carbon-dioxide benchmarks. The paper shows evidence of convergence against a reference solution and demonstrates quantification of post-calibration uncertainty by comparing the introduced three strategies. We conclude that Bayesian model evidence-based and relative entropy-based strategies outperform the entropy-based strategy because the latter can be misleading during the BAL. The relative entropy-based strategy demonstrates superior performance to the Bayesian model evidence-based strategy.

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