Using Genetic Operators to Speed up Markov Chain Monte Carlo Integration

2002 ◽  
Vol 8 (1) ◽  
Author(s):  
Tuomas J. Lukka ◽  
Janne V. Kujala
Agriculture ◽  
2020 ◽  
Vol 10 (12) ◽  
pp. 606
Author(s):  
Alaa Jamal ◽  
Raphael Linker

Particle filter has received increasing attention in data assimilation for estimating model states and parameters in cases of non-linear and non-Gaussian dynamic processes. Various modifications of the original particle filter have been suggested in the literature, including integrating particle filter with Markov Chain Monte Carlo (PF-MCMC) and, later, using genetic algorithm evolutionary operators as part of the state updating process. In this work, a modified genetic-based PF-MCMC approach for estimating the states and parameters simultaneously and without assuming Gaussian distribution for priors is presented. The method was tested on two simulation examples on the basis of the crop model AquaCrop-OS. In the first example, the method was compared to a PF-MCMC method in which states and parameters are updated sequentially and genetic operators are used only for state adjustments. The influence of ensemble size, measurement noise, and mutation and crossover parameters were also investigated. Accurate and stable estimations of the model states were obtained in all cases. Parameter estimation was more challenging than state estimation and not all parameters converged to their true value, especially when the parameter value had little influence on the measured variables. Overall, the proposed method showed more accurate and consistent parameter estimation than the PF-MCMC with sequential estimation, which showed highly conservative behavior. The superiority of the proposed method was more pronounced when the ensemble included a large number of particles and the measurement noise was low.


2015 ◽  
Vol 53 ◽  
pp. 113-120 ◽  
Author(s):  
Brandon Franzke ◽  
Bart Kosko

2014 ◽  
Vol 598 ◽  
pp. 224-228
Author(s):  
Zheng Mao Ye ◽  
Habib Mohamadian

Even though actual composition of engine exhaust gases varies across diverse types of engines, such as gasoline, diesel, gas turbine and natural gas engines, engine exhaust temperature is always a major factor with strong impact on emission levels and catalytic converting efficiency. For spark ignition engines, exhaust temperature depends on various engine parameters, such as engine speed, engine load, A/F ratio, intake air temperature, coolant temperature and spark timing, etc. Due to complexity, it is impossible to share a unique analytical model of engine exhaust temperature. Instead, it is mostly modeled as a complicated nonlinear system. The model complexity increases significantly however accuracy cannot be guaranteed. On the other hand, a simple linear model with accurate system identification could serve as a versatile alternative to represent the engine exhaust temperature, while engine parameters are subject to model identification to be adaptable across different types of engines. Combination of linear functions in terms of dominant engine parameters of engine speed and engine load is used for exhaust temperature modeling. To identify optimal parameters, Markov Chain Monte Carlo (MCMC) is applied. The discrete-time Markov chain is introduced where the stationary probability replaces posterior density in Monte Carlo integration for numerical integration. Compared with the high order nonlinear approaches, low computation cost is involved in the simplified model. Good agreement between the model prediction data and testing results is observed. The approach could be easily extended to other types of engines.


Author(s):  
Christopher De Sa ◽  
Kunle Olukotun ◽  
Christopher Ré

Gibbs sampling is a Markov chain Monte Carlo technique commonly used for estimating marginal distributions. To speed up Gibbs sampling, there has recently been interest in parallelizing it by executing asynchronously. While empirical results suggest that many models can be efficiently sampled asynchronously, traditional Markov chain analysis does not apply to the asynchronous case, and thus asynchronous Gibbs sampling is poorly understood. In this paper, we derive a better understanding of the two main challenges of asynchronous Gibbs: bias and mixing time. We show experimentally that our theoretical results match practical outcomes.


1994 ◽  
Author(s):  
Alan E. Gelfand ◽  
Sujit K. Sahu

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