Bayesian dynamic modeling and forecasting is developed in the setting of sequential time series analysis for causal inference. Causal evaluation of sequentially observed time series data from control and treated units focuses on the impacts of interventions using synthetic control constructs. Methodological contributions include the development of multivariate dynamic models for time-varying effects across multiple treated units and explicit foci on sequential learning of effects of interventions. Analysis explores the utility of dimension reduction of multiple potential synthetic control variables. These methodological advances are evaluated in a detailed case study in commercial forecasting. This involves in-study evaluation of interventions in a supermarket promotions experiment, with coupled predictive analyses in selected regions of a large-scale commercial system. Generalization of causal predictive inferences from experimental settings to broader populations is a central concern, and one that can be impacted by cross-series dependencies.
Harmonic Balance is one of the most popular methods for computing periodic solutions of nonlinear dynamical systems. In this work, we address two of its major shortcomings: First, we investigate to what extent the computational burden of stability analysis can be reduced by consistent use of Chebyshev polynomials. Second, we address the problem of a rigorous error bound, which, to the authors' knowledge, has been ignored in all engineering applications so far. Here, we rely on Urabe's error bound and, again, use Chebyshev polynomials for the computationally involved operations. We use the error estimate to automatically adjust the harmonic truncation order during numerical continuation, and confront the algorithm with a state-of-the-art adaptive Harmonic Balance implementation. Further, we rigorously prove, for the first time, the existence of some isolated periodic solutions of the forced-damped Duffing oscillator with softening characteristic. We find that the effort for obtaining a rigorous error bound, in its present form, may be too high to be useful for many engineering problems. Based on the results obtained for a sequence of numerical examples, we conclude that Chebyshev-based stability analysis indeed permits a substantial speedup. Like Harmonic Balance itself, however, this method becomes inefficient when an extremely high truncation order is needed as, e.g., in the presence of (sharply regularized) discontinuities.
We consider the problem of state estimation from $m$ linear measurements, where the state $u$ to recover is an element of the manifold $\mathcal{M}$ of solutions of a parameter-dependent equation. The state is estimated using a prior knowledge on $\mathcal{M}$ coming from model order reduction. Variational approaches based on linear approximation of $\mathcal{M}$, such as PBDW, yields a recovery error limited by the Kolmogorov $m$-width of $\mathcal{M}$. To overcome this issue, piecewise-affine approximations of $\mathcal{M}$ have also be considered, that consist in using a library of linear spaces among which one is selected by minimizing some distance to $\mathcal{M}$. In this paper, we propose a state estimation method relying on dictionary-based model reduction, where a space is selected from a library generated by a dictionary of snapshots, using a distance to the manifold. The selection is performed among a set of candidate spaces obtained from the path of a $\ell_1$-regularized least-squares problem. Then, in the framework of parameter-dependent operator equations (or PDEs) with affine parameterizations, we provide an efficient offline-online decomposition based on randomized linear algebra, that ensures efficient and stable computations while preserving theoretical guarantees.
We present algorithms for solving high-frequency acoustic scattering problems in complex domains. The eikonal and transport partial differential equations from the WKB/geometric optic approximation of the Helmholtz equation are solved recursively to generate boundary conditions for a tree of eikonal/transport equation pairs, describing the phase and amplitude of a geometric optic wave propagating in a complicated domain, including reflection and diffraction. Edge diffraction is modeled using the uniform theory of diffraction. For simplicity, we limit our attention to domains with piecewise linear boundaries and a constant speed of sound. The domain is discretized into a conforming tetrahedron mesh. For the eikonal equation, we extend the jet marching method to tetrahedron meshes. Hermite interpolation enables second order accuracy for the eikonal and its gradient and first order accuracy for its Hessian, computed using cell averaging. To march the eikonal on an unstructured mesh, we introduce a new method of rejecting unphysical updates by considering Lagrange multipliers and local visibility. To handle accuracy degradation near caustics, we introduce several fast Lagrangian initialization algorithms. We store the dynamic programming plan uncovered by the marcher in order to propagate auxiliary quantities along characteristics. We introduce an approximate origin function which is computed using the dynamic programming plan, and whose 1/2-level set approximates the geometric optic shadow and reflection boundaries. We also use it to propagate geometric spreading factors and unit tangent vector fields needed to compute the amplitude and evaluate the high-frequency edge diffraction coefficient. We conduct numerical tests on a semi-infinite planar wedge to evaluate the accuracy of our method. We also show an example with a more realistic building model with challenging architectural features.
In this paper we propose an optimal predictor of a random variable that has either an infinite mean or an infinite variance. The method consists of transforming the random variable such that the transformed variable has a finite mean and finite variance. The proposed predictor is a generalized arithmetic mean which is similar to the notion of certainty price in utility theory. Typically, the transformation consists of a parametric family of bijections, in which case the parameter might be chosen to minimize the prediction error in the transformed coordinates. The statistical properties of the estimator of the proposed predictor are studied, and confidence intervals are provided. The performance of the procedure is illustrated using simulated and real data.
Link prediction with knowledge graph embedding (KGE) is a popular method for knowledge graph completion. Furthermore, training KGEs on non-English knowledge graph promote knowledge extraction and knowledge graph reasoning in the context of these languages. However, many challenges in non-English KGEs pose to learning a low-dimensional representation of a knowledge graph's entities and relations. This paper proposes "Farspredict" a Persian knowledge graph based on Farsbase (the most comprehensive knowledge graph in Persian). It also explains how the knowledge graph structure affects link prediction accuracy in KGE. To evaluate Farspredict, we implemented the popular models of KGE on it and compared the results with Freebase. Given the analysis results, some optimizations on the knowledge graph are carried out to improve its functionality in the KGE. As a result, a new Persian knowledge graph is achieved. Implementation results in the KGE models on Farspredict outperforming Freebases in many cases. At last, we discuss what improvements could be effective in enhancing the quality of Farspredict and how much it improves.
Many forecasting applications have a limited distributed target variable, which is zero for most observations and positive for the remaining observations. In the econometrics literature, there is much research about statistical model building for limited distributed target variables. Especially, there are two component model approaches, where one model is build for the probability of the target to be positive and one model for the actual value of the target, given that it is positive. However, the econometric literature focuses on effect estimation and does not provide theory for predictive modeling. Nevertheless, some concepts like the two component model approach and Heckmann's sample selection correction also appear in the predictive modeling literature, without a sound theoretical foundation. In this paper, we theoretically analyze predictive modeling for limited dependent variables and derive best practices. By analyzing various real-world data sets, we also use the derived theoretical results to explain which predictive modeling approach works best on which application.
Modern computational methods, involving highly sophisticated mathematical formulations, enable several tasks like modeling complex physical phenomenon, predicting key properties and design optimization. The higher fidelity in these computer models makes it computationally intensive to query them hundreds of times for optimization and one usually relies on a simplified model albeit at the cost of losing predictive accuracy and precision. Towards this, data-driven surrogate modeling methods have shown a lot of promise in emulating the behavior of the expensive computer models. However, a major bottleneck in such methods is the inability to deal with high input dimensionality and the need for relatively large datasets. With such problems, the input and output quantity of interest are tensors of high dimensionality. Commonly used surrogate modeling methods for such problems, suffer from requirements like high number of computational evaluations that precludes one from performing other numerical tasks like uncertainty quantification and statistical analysis. In this work, we propose an end-to-end approach that maps a high-dimensional image like input to an output of high dimensionality or its key statistics. Our approach uses two main framework that perform three steps: a) reduce the input and output from a high-dimensional space to a reduced or low-dimensional space, b) model the input-output relationship in the low-dimensional space, and c) enable the incorporation of domain-specific physical constraints as masks. In order to accomplish the task of reducing input dimensionality we leverage principal component analysis, that is coupled with two surrogate modeling methods namely: a) Bayesian hybrid modeling, and b) DeepHyper's deep neural networks. We demonstrate the applicability of the approach on a problem of a linear elastic stress field data.
For network administration and maintenance, it is critical to anticipate when networks will receive peak volumes of traffic so that adequate resources can be allocated to service requests made to servers. In the event that sufficient resources are not allocated to servers, they can become prone to failure and security breaches. On the contrary, we would waste a lot of resources if we always allocate the maximum amount of resources. Therefore, anticipating peak volumes in network traffic becomes an important problem. However, popular forecasting models such as Autoregressive Integrated Moving Average (ARIMA) forecast time-series data generally, thus lack in predicting peak volumes in these time-series. More than often, a time-series is a combination of different features, which may include but are not limited to 1) Trend, the general movement of the traffic volume, 2) Seasonality, the patterns repeated over some time periods (e.g. daily and monthly), and 3) Noise, the random changes in the data. Considering that the fluctuation of seasonality can be harmful for trend and peak prediction, we propose to extract seasonalities to facilitate the peak volume predictions in the time domain. The experiments on both synthetic and real network traffic data demonstrate the effectiveness of the proposed method.
A fundamental goal of scientific research is to learn about causal relationships. However, despite its critical role in the life and social sciences, causality has not had the same importance in Natural Language Processing (NLP), which has traditionally placed more emphasis on predictive tasks. This distinction is beginning to fade, with an emerging area of interdisciplinary research at the convergence of causal inference and language processing. Still, research on causality in NLP remains scattered across domains without unified definitions, benchmark datasets and clear articulations of the remaining challenges. In this survey, we consolidate research across academic areas and situate it in the broader NLP landscape. We introduce the statistical challenge of estimating causal effects, encompassing settings where text is used as an outcome, treatment, or as a means to address confounding. In addition, we explore potential uses of causal inference to improve the performance, robustness, fairness, and interpretability of NLP models. We thus provide a unified overview of causal inference for the computational linguistics community.
This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects and hence the estimation error can be magnificent. As such, we propose another approach to construct the estimators such that the error can be greatly reduced. The proposed estimators are shown to be unbiased, consistent, and robust through a combination of theoretical analysis and numerical testing. Moreover, we compare the power of estimating the causal quantities between the classical estimators and the proposed estimators. The comparison is tested across a wide range of models, including linear regression models, tree-based models, and neural network-based models, under different simulated datasets that exhibit different levels of causality, different degrees of nonlinearity, and different distributional properties. Most importantly, we apply our approaches to a large observational dataset provided by a global technology firm that operates in both the e-commerce and the lending business. We find that the relative reduction of estimation error is strikingly substantial if the causal effects are accounted for correctly.