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Register a new userA graphical Gaussian process model for multi-fidelity emulation of expensive computer codes
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Added by
Yi Ji
Publication date
2021
fields
Mathematical Statistics
and research's language is
English
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We present a novel Graphical Multi-fidelity Gaussian Process (GMGP) model that uses a directed acyclic graph to model dependencies between multi-fidelity simulation codes. The proposed model is an extension of the Kennedy-OHagan model for problems where different codes cannot be ranked in a sequence from lowest to highest fidelity.
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Many scientific phenomena are studied using computer experiments consisting of multiple runs of a computer model while varying the input settings. Gaussian processes (GPs) are a popular tool for the analysis of computer experiments, enabling interpolation between input settings, but direct GP inference is computationally infeasible for large datasets. We adapt and extend a powerful class of GP methods from spatial statistics to enable the scalable analysis and emulation of large computer experiments. Specifically, we apply Vecchias ordered conditional approximation in a transformed input space, with each input scaled according to how strongly it relates to the computer-model response. The scaling is learned from the data, by estimating parameters in the GP covariance function using Fisher scoring. Our methods are highly scalable, enabling estimation, joint prediction and simulation in near-linear time in the number of model runs. In several numerical examples, our approach substantially outperformed existing methods.
Causal inference of treatment effects is a challenging undertaking in it of itself; inference for sequential treatments leads to even more hurdles. In precision medicine, one additional ambitious goal may be to infer about effects of dynamic treatment regimes (DTRs) and to identify optimal DTRs. Conventional methods for inferring about DTRs involve powerful semi-parametric estimators. However, these are not without their strong assumptions. Dynamic Marginal Structural Models (MSMs) are one semi-parametric approach used to infer about optimal DTRs in a family of regimes. To achieve this, investigators are forced to model the expected outcome under adherence to a DTR in the family; relatively straightforward models may lead to bias in the optimum. One way to obviate this difficulty is to perform a grid search for the optimal DTR. Unfortunately, this approach becomes prohibitive as the complexity of regimes considered increases. In recently developed Bayesian methods for dynamic MSMs, computational challenges may be compounded by the fact that at each grid point, a posterior mean must be calculated. We propose a manner by which to alleviate modelling difficulties for DTRs by using Gaussian process optimization. More precisely, we show how to pair this optimization approach with robust estimators for the causal effect of adherence to a DTR to identify optimal DTRs. We examine how to find the optimum in complex, multi-modal settings which are not generally addressed in the DTR literature. We further evaluate the sensitivity of the approach to a variety of modeling assumptions in the Gaussian process.
Many fields of science and engineering rely on running simulations with complex and computationally expensive models to understand the involved processes in the system of interest. Nevertheless, the high cost involved hamper reliable and exhaustive simulations. Very often such codes incorporate heuristics that ironically make them less tractable and transparent. This paper introduces an active learning methodology for adaptively constructing surrogate models, i.e. emulators, of such costly computer codes in a multi-output setting. The proposed technique is sequential and adaptive, and is based on the optimization of a suitable acquisition function. It aims to achieve accurate approximations, model tractability, as well as compact and expressive simulated datasets. In order to achieve this, the proposed Active Multi-Output Gaussian Process Emulator (AMOGAPE) combines the predictive capacity of Gaussian Processes (GPs) with the design of an acquisition function that favors sampling in low density and fluctuating regions of the approximation functions. Comparing different acquisition functions, we illustrate the promising performance of the method for the construction of emulators with toy examples, as well as for a widely used remote sensing transfer code.
The noninvasive procedures for neural connectivity are under questioning. Theoretical models sustain that the electromagnetic field registered at external sensors is elicited by currents at neural space. Nevertheless, what we observe at the sensor space is a superposition of projected fields, from the whole gray-matter. This is the reason for a major pitfall of noninvasive Electrophysiology methods: distorted reconstruction of neural activity and its connectivity or leakage. It has been proven that current methods produce incorrect connectomes. Somewhat related to the incorrect connectivity modelling, they disregard either Systems Theory and Bayesian Information Theory. We introduce a new formalism that attains for it, Hidden Gaussian Graphical State-Model (HIGGS). A neural Gaussian Graphical Model (GGM) hidden by the observation equation of Magneto-encephalographic (MEEG) signals. HIGGS is equivalent to a frequency domain Linear State Space Model (LSSM) but with sparse connectivity prior. The mathematical contribution here is the theory for high-dimensional and frequency-domain HIGGS solvers. We demonstrate that HIGGS can attenuate the leakage effect in the most critical case: the distortion EEG signal due to head volume conduction heterogeneities. Its application in EEG is illustrated with retrieved connectivity patterns from human Steady State Visual Evoked Potentials (SSVEP). We provide for the first time confirmatory evidence for noninvasive procedures of neural connectivity: concurrent EEG and Electrocorticography (ECoG) recordings on monkey. Open source packages are freely available online, to reproduce the results presented in this paper and to analyze external MEEG databases.
This paper presents a Gaussian process (GP) model for estimating piecewise continuous regression functions. In scientific and engineering applications of regression analysis, the underlying regression functions are piecewise continuous in that data follow different continuous regression models for different regions of the data with possible discontinuities between the regions. However, many conventional GP regression approaches are not designed for piecewise regression analysis. We propose a new GP modeling approach for estimating an unknown piecewise continuous regression function. The new GP model seeks for a local GP estimate of an unknown regression function at each test location, using local data neighboring to the test location. To accommodate the possibilities of the local data from different regions, the local data is partitioned into two sides by a local linear boundary, and only the local data belonging to the same side as the test location is used for the regression estimate. This local split works very well when the input regions are bounded by smooth boundaries, so the local linear approximation of the smooth boundaries works well. We estimate the local linear boundary jointly with the other hyperparameters of the GP model, using the maximum likelihood approach. Its computation time is as low as the local GPs time. The superior numerical performance of the proposed approach over the conventional GP modeling approaches is shown using various simulated piecewise regression functions.
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