BacHMMachine: An Interpretable and Scalable Model for Algorithmic Harmonization for Four-part Baroque Chorales

Algorithmic harmonization - the automated harmonization of a musical piece given its melodic line - is a challenging problem that has garnered much interest from both music theorists and computer scientists. One genre of particular interest is the four-part Baroque chorales of J.S. Bach. Methods for algorithmic chorale harmonization typically adopt a black-box, data-driven approach: they do not explicitly integrate principles from music theory but rely on a complex learning model trained with a large amount of chorale data. We propose instead a new harmonization model, called BacHMMachine, which employs a theory-driven framework guided by music composition principles, along with a data-driven model for learning compositional features within this framework. As its name suggests, BacHMMachine uses a novel Hidden Markov Model based on key and chord transitions, providing a probabilistic framework for learning key modulations and chordal progressions from a given melodic line. This allows for the generation of creative, yet musically coherent chorale harmonizations; integrating compositional principles allows for a much simpler model that results in vast decreases in computational burden and greater interpretability compared to state-of-the-art algorithmic harmonization methods, at no penalty to quality of harmonization or musicality. We demonstrate this improvement via comprehensive experiments and Turing tests comparing BacHMMachine to existing methods.

A graphical Gaussian process model for multi-fidelity emulation of expensive computer codes

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.

Gaussian Process Subspace Regression for Model Reduction

Subspace-valued functions arise in a wide range of problems, including parametric reduced order modeling (PROM). In PROM, each parameter point can be associated with a subspace, which is used for Petrov-Galerkin projections of large system matrices. Previous efforts to approximate such functions use interpolations on manifolds, which can be inaccurate and slow. To tackle this, we propose a novel Bayesian nonparametric model for subspace prediction: the Gaussian Process Subspace regression (GPS) model. This method is extrinsic and intrinsic at the same time: with multivariate Gaussian distributions on the Euclidean space, it induces a joint probability model on the Grassmann manifold, the set of fixed-dimensional subspaces. The GPS adopts a simple yet general correlation structure, and a principled approach for model selection. Its predictive distribution admits an analytical form, which allows for efficient subspace prediction over the parameter space. For PROM, the GPS provides a probabilistic prediction at a new parameter point that retains the accuracy of local reduced models, at a computational complexity that does not depend on system dimension, and thus is suitable for online computation. We give four numerical examples to compare our method to subspace interpolation, as well as two methods that interpolate local reduced models. Overall, GPS is the most data efficient, more computationally efficient than subspace interpolation, and gives smooth predictions with uncertainty quantification.

Online High-Dimensional Change-Point Detection using Topological Data Analysis

Topological Data Analysis (TDA) is a rapidly growing field, which studies methods for learning underlying topological structures present in complex data representations. TDA methods have found recent success in extracting useful geometric structures for a wide range of applications, including protein classification, neuroscience, and time-series analysis. However, in many such applications, one is also interested in sequentially detecting changes in this topological structure. We propose a new method called Persistence Diagram based Change-Point (PD-CP), which tackles this problem by integrating the widely-used persistence diagrams in TDA with recent developments in nonparametric change-point detection. The key novelty in PD-CP is that it leverages the distribution of points on persistence diagrams for online detection of topological changes. We demonstrate the effectiveness of PD-CP in an application to solar flare monitoring.

TSEC: a framework for online experimentation under experimental constraints

Thompson sampling is a popular algorithm for solving multi-armed bandit problems, and has been applied in a wide range of applications, from website design to portfolio optimization. In such applications, however, the number of choices (or arms) $N$ can be large, and the data needed to make adaptive decisions require expensive experimentation. One is then faced with the constraint of experimenting on only a small subset of $K ll N$ arms within each time period, which poses a problem for traditional Thompson sampling. We propose a new Thompson Sampling under Experimental Constraints (TSEC) method, which addresses this so-called arm budget constraint. TSEC makes use of a Bayesian interaction model with effect hierarchy priors, to model correlations between rewards on different arms. This fitted model is then integrated within Thompson sampling, to jointly identify a good subset of arms for experimentation and to allocate resources over these arms. We demonstrate the effectiveness of TSEC in two problems with arm budget constraints. The first is a simulated website optimization study, where TSEC shows noticeable improvements over industry benchmarks. The second is a portfolio optimization application on industry-based exchange-traded funds, where TSEC provides more consistent and greater wealth accumulation over standard investment strategies.

Bayesian Uncertainty Quantification for Low-rank Matrix Completion

We consider the problem of uncertainty quantification for an unknown low-rank matrix $mathbf{X}$, given a partial and noisy observation of its entries. This quantification of uncertainty is essential for many real-world problems, including image processing, satellite imaging, and seismology, providing a principled framework for validating scientific conclusions and guiding decision-making. However, existing literature has largely focused on the completion (i.e., point estimation) of the matrix $mathbf{X}$, with little work on investigating its uncertainty. To this end, we propose in this work a new Bayesian modeling framework, called BayeSMG, which parametrizes the unknown $mathbf{X}$ via its underlying row and column subspaces. This Bayesian subspace parametrization allows for efficient posterior inference on matrix subspaces, which represents interpretable phenomena in many applications. This can then be leveraged for improved matrix recovery. We demonstrate the effectiveness of BayeSMG over existing Bayesian matrix recovery methods in numerical experiments and a seismic sensor network application.

Population Quasi-Monte Carlo

Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to generate weighted samples that approximate the target distribution. The generic PMC framework iterates over three steps: samples are simulated from a set of proposals, weights are assigned to such samples to correct for mismatch between the proposal and target distributions, and the proposals are then adapted via resampling from the weighted samples. When the target distribution is expensive to evaluate, the PMC has its computational limitation since the convergence rate is $mathcal{O}(N^{-1/2})$. To address this, we propose in this paper a new Population Quasi-Monte Carlo (PQMC) framework, which integrates Quasi-Monte Carlo ideas within the sampling and adaptation steps of PMC. A key novelty in PQMC is the idea of importance support points resampling, a deterministic method for finding an optimal subsample from the weighted proposal samples. Moreover, within the PQMC framework, we develop an efficient covariance adaptation strategy for multivariate normal proposals. Lastly, a new set of correction weights is introduced for the weighted PMC estimator to improve the efficiency from the standard PMC estimator. We demonstrate the improved empirical convergence of PQMC over PMC in extensive numerical simulations and a friction drilling application.

A hierarchical expected improvement method for Bayesian optimization

The Expected Improvement (EI) method, proposed by Jones et al. (1998), is a widely-used Bayesian optimization method, which makes use of a fitted Gaussian process model for efficient black-box optimization. However, one key drawback of EI is that it is overly greedy in exploiting the fitted Gaussian process model for optimization, which results in suboptimal solutions even with large sample sizes. To address this, we propose a new hierarchical EI (HEI) framework, which makes use of a hierarchical Gaussian process model. HEI preserves a closed-form acquisition function, and corrects the over-greediness of EI by encouraging exploration of the optimization space. We then introduce hyperparameter estimation methods which allow HEI to mimic a fully Bayesian optimization procedure, while avoiding expensive Markov-chain Monte Carlo sampling steps. We prove the global convergence of HEI over a broad function space, and establish near-minimax convergence rates under certain prior specifications. Numerical experiments show the improvement of HEI over existing Bayesian optimization methods, for synthetic functions and a semiconductor manufacturing optimization problem.

An efficient surrogate model for emulation and physics extraction of large eddy simulations

In the quest for advanced propulsion and power-generation systems, high-fidelity simulations are too computationally expensive to survey the desired design space, and a new design methodology is needed that combines engineering physics, computer simulations and statistical modeling. In this paper, we propose a new surrogate model that provides efficient prediction and uncertainty quantification of turbulent flows in swirl injectors with varying geometries, devices commonly used in many engineering applications. The novelty of the proposed method lies in the incorporation of known physical properties of the fluid flow as {simplifying assumptions} for the statistical model. In view of the massive simulation data at hand, which is on the order of hundreds of gigabytes, these assumptions allow for accurate flow predictions in around an hour of computation time. To contrast, existing flow emulators which forgo such simplications may require more computation time for training and prediction than is needed for conducting the simulation itself. Moreover, by accounting for coupling mechanisms between flow variables, the proposed model can jointly reduce prediction uncertainty and extract useful flow physics, which can then be used to guide further investigations.