Sobol' sensitivity index estimators for stochastic models are functions of nested Monte Carlo estimators, which are estimators built from two nested Monte Carlo loops. The outer loop explores the input space and, for each of the explorations, the inner loop repeats model runs to estimate conditional expectations. Although the optimal allocation between explorations and repetitions of one's computational budget is well-known for nested Monte Carlo estimators, it is less clear how to deal with functions of nested Monte Carlo estimators, especially when those functions have unbounded Hessian matrices, as it is the case for Sobol' index estimators. To address this problem, a regularization method is introduced to bound the mean squared error of functions of nested Monte Carlo estimators. Based on a heuristic, an allocation strategy that seeks to minimize a bias-variance trade-off is proposed. The method is applied to Sobol' index estimators for stochastic models. A practical algorithm that adapts to the level of intrinsic randomness in the models is given and illustrated on numerical experiments.
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We consider the problem of making nonparametric inference in multi-dimensional diffusion models from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of the likelihood and its gradient, and computational methods have thus far largely resorted to expensive simulation-based techniques. In this article, we propose a new computational approach which is motivated by PDE theory and is built around the characterisation of the transition densities as solutions of the associated heat (Fokker-Planck) equation. Employing optimal regularity results from the theory of parabolic PDEs, we prove a novel characterisation for the gradient of the likelihood. Using these developments, for the nonlinear inverse problem of recovering the diffusivity (in divergence form models), we then show that the numerical evaluation of the likelihood and its gradient can be reduced to standard elliptic eigenvalue problems, solvable by powerful finite element methods. This enables the efficient implementation of a large class of statistical algorithms, including (i) preconditioned Crank-Nicolson and Langevin-type methods for posterior sampling, and (ii) gradient-based descent optimisation schemes to compute maximum likelihood and maximum-a-posteriori estimates. We showcase the effectiveness of these methods via extensive simulation studies in a nonparametric Bayesian model with Gaussian process priors. Interestingly, the optimisation schemes provided satisfactory numerical recovery while exhibiting rapid convergence towards stationary points despite the problem nonlinearity; thus our approach may lead to significant computational speed-ups. The reproducible code is available online at //github.com/MattGiord/LF-Diffusion.
We generalize McDiarmid's inequality for functions with bounded differences on a high probability set, using an extension argument. Those functions concentrate around their conditional expectations. We further extend the results to concentration in general metric spaces.
Differential privacy has emerged as an significant cornerstone in the realm of scientific hypothesis testing utilizing confidential data. In reporting scientific discoveries, Bayesian tests are widely adopted since they effectively circumnavigate the key criticisms of P-values, namely, lack of interpretability and inability to quantify evidence in support of the competing hypotheses. We present a novel differentially private Bayesian hypotheses testing framework that arise naturally under a principled data generative mechanism, inherently maintaining the interpretability of the resulting inferences. Furthermore, by focusing on differentially private Bayes factors based on widely used test statistics, we circumvent the need to model the complete data generative mechanism and ensure substantial computational benefits. We also provide a set of sufficient conditions to establish results on Bayes factor consistency under the proposed framework. The utility of the devised technology is showcased via several numerical experiments.
Online communities offer their members various benefits, such as information access, social and emotional support, and entertainment. Despite the important role that founders play in shaping communities, prior research has focused primarily on what drives users to participate and contribute; the motivations and goals of founders remain underexplored. To uncover how and why online communities get started, we present findings from a survey of 951 recent founders of Reddit communities. We find that topical interest is the most common motivation for community creation, followed by motivations to exchange information, connect with others, and self-promote. Founders have heterogeneous goals for their nascent communities, but they tend to privilege community quality and engagement over sheer growth. These differences in founders' early attitudes towards their communities help predict not only the community-building actions that they pursue, but also the ability of their communities to attract visitors, contributors, and subscribers over the first 28 days. We end with a discussion of the implications for researchers, designers, and founders of online communities.
The goal of multi-objective optimisation is to identify a collection of points which describe the best possible trade-offs between the multiple objectives. In order to solve this vector-valued optimisation problem, practitioners often appeal to the use of scalarisation functions in order to transform the multi-objective problem into a collection of single-objective problems. This set of scalarised problems can then be solved using traditional single-objective optimisation techniques. In this work, we formalise this convention into a general mathematical framework. We show how this strategy effectively recasts the original multi-objective optimisation problem into a single-objective optimisation problem defined over sets. An appropriate class of objective functions for this new problem are the R2 utilities, which are utility functions that are defined as a weighted integral over the scalarised optimisation problems. As part of our work, we show that these utilities are monotone and submodular set functions which can be optimised effectively using greedy optimisation algorithms. We then analyse the performance of these greedy algorithms both theoretically and empirically. Our analysis largely focusses on Bayesian optimisation, which is a popular probabilistic framework for black-box optimisation.
Synthetic data are an attractive concept to enable privacy in data sharing. A fundamental question is how similar the privacy-preserving synthetic data are compared to the true data. Using metric privacy, an effective generalization of differential privacy beyond the discrete setting, we raise the problem of characterizing the optimal privacy-accuracy tradeoff by the metric geometry of the underlying space. We provide a partial solution to this problem in terms of the "entropic scale", a quantity that captures the multiscale geometry of a metric space via the behavior of its packing numbers. We illustrate the applicability of our privacy-accuracy tradeoff framework via a diverse set of examples of metric spaces.
The article introduces a method to learn dynamical systems that are governed by Euler--Lagrange equations from data. The method is based on Gaussian process regression and identifies continuous or discrete Lagrangians and is, therefore, structure preserving by design. A rigorous proof of convergence as the distance between observation data points converges to zero is provided. Next to convergence guarantees, the method allows for quantification of model uncertainty, which can provide a basis of adaptive sampling techniques. We provide efficient uncertainty quantification of any observable that is linear in the Lagrangian, including of Hamiltonian functions (energy) and symplectic structures, which is of interest in the context of system identification. The article overcomes major practical and theoretical difficulties related to the ill-posedness of the identification task of (discrete) Lagrangians through a careful design of geometric regularisation strategies and through an exploit of a relation to convex minimisation problems in reproducing kernel Hilbert spaces.
We develop, and implement in a Finite Volume environment, a density-based approach for the Euler equations written in conservative form using density, momentum, and total energy as variables. Under simplifying assumptions, these equations are used to describe non-hydrostatic atmospheric flow. The well-balancing of the approach is ensured by a local hydrostatic reconstruction updated in runtime during the simulation to keep the numerical error under control. To approximate the solution of the Riemann problem, we consider four methods: Roe-Pike, HLLC, AUSM+-up and HLLC-AUSM. We assess our density-based approach and compare the accuracy of these four approximated Riemann solvers using two two classical benchmarks, namely the smooth rising thermal bubble and the density current.
Reachability and other path-based measures on temporal graphs can be used to understand spread of infection, information, and people in modelled systems. Due to delays and errors in reporting, temporal graphs derived from data are unlikely to perfectly reflect reality, especially with respect to the precise times at which edges appear. To reflect this uncertainty, we consider a model in which some number $\zeta$ of edge appearances may have their timestamps perturbed by $\pm\delta$ for some $\delta$. Within this model, we investigate temporal reachability and consider the problem of determining the maximum number of vertices any vertex can reach under these perturbations. We show that this problem is intractable in general but is efficiently solvable when $\zeta$ is sufficiently large. We also give algorithms which solve this problem in several restricted settings. We complement this with some contrasting results concerning the complexity of related temporal eccentricity problems under perturbation.
Recently, order-preserving pattern (OPP) mining has been proposed to discover some patterns, which can be seen as trend changes in time series. Although existing OPP mining algorithms have achieved satisfactory performance, they discover all frequent patterns. However, in some cases, users focus on a particular trend and its associated trends. To efficiently discover trend information related to a specific prefix pattern, this paper addresses the issue of co-occurrence OPP mining (COP) and proposes an algorithm named COP-Miner to discover COPs from historical time series. COP-Miner consists of three parts: extracting keypoints, preparation stage, and iteratively calculating supports and mining frequent COPs. Extracting keypoints is used to obtain local extreme points of patterns and time series. The preparation stage is designed to prepare for the first round of mining, which contains four steps: obtaining the suffix OPP of the keypoint sub-time series, calculating the occurrences of the suffix OPP, verifying the occurrences of the keypoint sub-time series, and calculating the occurrences of all fusion patterns of the keypoint sub-time series. To further improve the efficiency of support calculation, we propose a support calculation method with an ending strategy that uses the occurrences of prefix and suffix patterns to calculate the occurrences of superpatterns. Experimental results indicate that COP-Miner outperforms the other competing algorithms in running time and scalability. Moreover, COPs with keypoint alignment yield better prediction performance.
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