ترغب بنشر مسار تعليمي؟ اضغط هنا

Importance sampling for partially observed temporal epidemic models

121   0   0.0 ( 0 )
 نشر من قبل Andrew Black
 تاريخ النشر 2018
  مجال البحث علم الأحياء
والبحث باللغة English
 تأليف Andrew J. Black




اسأل ChatGPT حول البحث

We present an importance sampling algorithm that can produce realisations of Markovian epidemic models that exactly match observations, taken to be the number of a single event type over a period of time. The importance sampling can be used to construct an efficient particle filter that targets the states of a system and hence estimate the likelihood to perform Bayesian parameter inference. When used in a particle marginal Metropolis Hastings scheme, the importance sampling provides a large speed-up in terms of the effective sample size per unit of computational time, compared to simple bootstrap sampling. The algorithm is general, with minimal restrictions, and we show how it can be applied to any discrete-state continuous-time Markov chain where we wish to exactly match the number of a single event type over a period of time.



قيم البحث

اقرأ أيضاً

We consider an evolving system for which a sequence of observations is being made, with each observation revealing additional information about current and past states of the system. We suppose each observation is made without error, but does not ful ly determine the state of the system at the time it is made. Our motivating example is drawn from invasive species biology, where it is common to know the precise location of invasive organisms that have been detected by a surveillance program, but at any time during the program there are invaders that have not been detected. We propose a sequential importance sampling strategy to infer the state of the invasion under a Bayesian model of such a system. The strategy involves simulating multiple alternative states consistent with current knowledge of the system, as revealed by the observations. However, a difficult problem that arises is that observations made at a later time are invariably incompatible with previously simulated states. To solve this problem, we propose a two-step iterative process in which states of the system are alternately simulated in accordance with past observations, then corrected in light of new observations. We identify criteria under which such corrections can be made while maintaining appropriate importance weights.
We consider the problem of model choice for stochastic epidemic models given partial observation of a disease outbreak through time. Our main focus is on the use of Bayes factors. Although Bayes factors have appeared in the epidemic modelling literat ure before, they can be hard to compute and little attention has been given to fundamental questions concerning their utility. In this paper we derive analytic expressions for Bayes factors given complete observation through time, which suggest practical guidelines for model choice problems. We extend the power posterior method for computing Bayes factors so as to account for missing data and apply this approach to partially observed epidemics. For comparison, we also explore the use of a deviance information criterion for missing data scenarios. The methods are illustrated via examples involving both simulated and real data.
In model-based reinforcement learning, generative and temporal models of environments can be leveraged to boost agent performance, either by tuning the agents representations during training or via use as part of an explicit planning mechanism. Howev er, their application in practice has been limited to simplistic environments, due to the difficulty of training such models in larger, potentially partially-observed and 3D environments. In this work we introduce a novel action-conditioned generative model of such challenging environments. The model features a non-parametric spatial memory system in which we store learned, disentangled representations of the environment. Low-dimensional spatial updates are computed using a state-space model that makes use of knowledge on the prior dynamics of the moving agent, and high-dimensional visual observations are modelled with a Variational Auto-Encoder. The result is a scalable architecture capable of performing coherent predictions over hundreds of time steps across a range of partially observed 2D and 3D environments.
The COVID-19 pandemic has demonstrated how disruptive emergent disease outbreaks can be and how useful epidemic models are for quantifying risks of local outbreaks. Here we develop an analytical approach to calculate the dynamics and likelihood of ou tbreaks within the canonical Susceptible-Exposed-Infected-Recovered and more general models, including COVID-19 models, with fixed population sizes. We compute the distribution of outbreak sizes including extreme events, and show that each outbreak entails a unique, depletion or boost in the pool of susceptibles and an increase or decrease in the effective recovery rate compared to the mean-field dynamics -- due to finite-size noise. Unlike extreme events occurring in long-lived metastable stochastic systems, the underlying outbreak distribution depends on a full continuum of optimal paths, each connecting two unique non-trivial fixed-points, and thus represents a novel class of extreme dynamics.
196 - Benjamin Virrion 2020
We present a generic path-dependent importance sampling algorithm where the Girsanov induced change of probability on the path space is represented by a sequence of neural networks taking the past of the trajectory as an input. At each learning step, the neural networks parameters are trained so as to reduce the variance of the Monte Carlo estimator induced by this change of measure. This allows for a generic path dependent change of measure which can be used to reduce the variance of any path-dependent financial payoff. We show in our numerical experiments that for payoffs consisting of either a call, an asymmetric combination of calls and puts, a symmetric combination of calls and puts, a multi coupon autocall or a single coupon autocall, we are able to reduce the variance of the Monte Carlo estimators by factors between 2 and 9. The numerical experiments also show that the method is very robust to changes in the parameter values, which means that in practice, the training can be done offline and only updated on a weekly basis.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا