The Probabilistic Deconvolution of the Distribution of Relaxation Times with Finite Gaussian Processes

Electrochemical impedance spectroscopy (EIS) is a tool widely used to study the properties of electrochemical systems. The distribution of relaxation times (DRT) has emerged as one of the main methods for the analysis of EIS spectra. Gaussian processes can be used to regress EIS data, quantify uncertainty, and deconvolve the DRT, but current implementations do not constrain the DRT to be positive and can only use the imaginary part of EIS spectra. Herein, we overcome both issues by using a finite Gaussian process approximation to develop a new framework called the finite Gaussian process distribution of relaxation times (fGP-DRT). The analysis on artificial EIS data shows that the fGP-DRT method consistently recovers exact DRT from noise-corrupted EIS spectra while accurately regressing experimental data. Furthermore, the fGP-DRT framework is used as a machine learning tool to provide probabilistic estimates of the impedance at unmeasured frequencies. The method is further validated against experimental data from fuel cells and batteries. In short, this work develops a novel probabilistic approach for the analysis of EIS data based on Gaussian process, opening a new stream of research for the deconvolution of DRT.

OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL

We consider an optimal liquidation problem with infinite horizon in the Almgren–Chriss framework, where the unaffected asset price follows a Lévy process. The temporary price impact is described by a general function that satisfies some reasonable conditions. We consider a market agent with constant absolute risk aversion, who wants to maximize the expected utility of the cash received from the sale of the agent’s assets, and show that this problem can be reduced to a deterministic optimization problem that we are able to solve explicitly. In order to compare our results with exponential Lévy models, which provide a very good statistical fit with observed asset price data for short time horizons, we derive the (linear) Lévy process approximation of such models. In particular we derive expressions for the Lévy process approximation of the exponential variance–gamma Lévy process, and study properties of the corresponding optimal liquidation strategy. We then provide a comparison of the liquidation trajectories for reasonable parameters between the Lévy process model and the classical Almgren–Chriss model. In particular, we obtain an explicit expression for the connection between the temporary impact function for the Lévy model and the temporary impact function for the Brownian motion model (the classical Almgren–Chriss model), for which the optimal liquidation trajectories for the two models coincide.

Adaptive Gaussian Process Approximation for Bayesian Inference with Expensive Likelihood Functions

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.

Introgression of a block of genome under infinitesimal selection

Adaptive introgression is common in nature and can be driven by selection acting on multiple, linked genes. We explore the effects of polygenic selection on introgression under the infinitesimal model with linkage. This model assumes that the introgressing block has an effectively infinite number of genes, each with an infinitesimal effect on the trait under selection. The block is assumed to introgress under directional selection within a native population that is genetically homogeneous. We use individual-based simulations and a branching process approximation to compute various statistics of the introgressing block, and explore how these depend on parameters such as the map length and initial trait value associated with the introgressing block, the genetic variability along the block, and the strength of selection. Our results show that the introgression dynamics of a block under infinitesimal selection is qualitatively different from the dynamics of neutral introgression. We also find that in the long run, surviving descendant blocks are likely to have intermediate lengths, and clarify how the length is shaped by the interplay between linkage and infinitesimal selection. Our results suggest that it may be difficult to distinguish introgression of single loci from that of genomic blocks with multiple, tightly linked and weakly selected loci.

A household SIR epidemic model incorporating time of day effects

During the course of a day an individual typically mixes with different groups of individuals. Epidemic models incorporating population structure with individuals being able to infect different groups of individuals have received extensive attention in the literature. However, almost exclusively the models assume that individuals are able to simultaneously infect members of all groups, whereas in reality individuals will typically only be able to infect members of any group they currently reside in. In this paper we develop a model where individuals move between a community and their household during the course of the day, only infecting within their current group. By defining a novel branching process approximation with an explicit expression for the probability generating function of the offspring distribution, we are able to derive the probability of a major epidemic outbreak.