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Register a new userReversible Markov chain estimation using convex-concave programming
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Added by
Benjamin Trendelkamp-Schroer
Publication date
2016
fields
Physics
and research's language is
English
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We present a convex-concave reformulation of the reversible Markov chain estimation problem and outline an efficient numerical scheme for the solution of the resulting problem based on a primal-dual interior point method for monotone variational inequalities. Extensions to situations in which information about the stationary vector is available can also be solved via the convex- concave reformulation. The method can be generalized and applied to the discrete transition matrix reweighting analysis method to perform inference from independent chains with specified couplings between the stationary probabilities. The proposed approach offers a significant speed-up compared to a fixed-point iteration for a number of relevant applications.
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In this paper we introduce disciplined convex-concave programming (DCCP), which combines the ideas of disciplined convex programming (DCP) with convex-concave programming (CCP). Convex-concave programming is an organized heuristic for solving nonconvex problems that involve objective and constraint functions that are a sum of a convex and a concave term. DCP is a structured way to define convex optimization problems, based on a family of basic convex and concave functions and a few rules for combining them. Problems expressed using DCP can be automatically converted to standard form and solved by a generic solver; widely used implementations include YALMIP, CVX, CVXPY, and Convex.jl. In this paper we propose a framework that combines the two ideas, and includes two improvements over previously published work on convex-concave programming, specifically the handling of domains of the functions, and the issue of nondifferentiability on the boundary of the domains. We describe a Python implementation called DCCP, which extends CVXPY, and give examples.
In this work, we study discrete-time Markov decision processes (MDPs) under constraints with Borel state and action spaces and where all the performance functions have the same form of the expected total reward (ETR) criterion over the infinite time horizon. One of our objective is to propose a convex programming formulation for this type of MDPs. It will be shown that the values of the constrained control problem and the associated convex program coincide and that if there exists an optimal solution to the convex program then there exists a stationary randomized policy which is optimal for the MDP. It will be also shown that in the framework of constrained control problems, the supremum of the expected total rewards over the set of randomized policies is equal to the supremum of the expected total rewards over the set of stationary randomized policies. We consider standard hypotheses such as the so-called continuity-compactness conditions and a Slater-type condition. Our assumptions are quite weak to deal with cases that have not yet been addressed in the literature. An example is presented to illustrate our results with respect to those of the literature.
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Using the latest numerical simulations of rotating stellar core collapse, we present a Bayesian framework to extract the physical information encoded in noisy gravitational wave signals. We fit Bayesian principal component regression models with known and unknown signal arrival times to reconstruct gravitational wave signals, and subsequently fit known astrophysical parameters on the posterior means of the principal component coefficients using a linear model. We predict the ratio of rotational kinetic energy to gravitational energy of the inner core at bounce by sampling from the posterior predictive distribution, and find that these predictions are generally very close to the true parameter values, with $90%$ credible intervals $sim 0.04$ and $sim 0.06$ wide for the known and unknown arrival time models respectively. Two supervised machine learning methods are implemented to classify precollapse differential rotation, and we find that these methods discriminate rapidly rotating progenitors particularly well. We also introduce a constrained optimization approach to model selection to find an optimal number of principal components in the signal reconstruction step. Using this approach, we select 14 principal components as the most parsimonious model.
In Statistics, log-concave density estimation is a central problem within the field of nonparametric inference under shape constraints. Despite great progress in recent years on the statistical theory of the canonical estimator, namely the log-concave maximum likelihood estimator, adoption of this method has been hampered by the complexities of the non-smooth convex optimization problem that underpins its computation. We provide enhanced understanding of the structural properties of this optimization problem, which motivates the proposal of new algorithms, based on both randomized and Nesterov smoothing, combined with an appropriate integral discretization of increasing accuracy. We prove that these methods enjoy, both with high probability and in expectation, a convergence rate of order $1/T$ up to logarithmic factors on the objective function scale, where $T$ denotes the number of iterations. The benefits of our new computational framework are demonstrated on both synthetic and real data, and our implementation is available in a github repository texttt{LogConcComp} (Log-Concave Computation).
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