Generalized Bayes approach to inverse problems with model misspecification

We propose a general framework for obtaining probabilistic solutions to PDE-based inverse problems. Bayesian methods are attractive for uncertainty quantification but assume knowledge of the likelihood model or data generation process. This assumption is difficult to justify in many inverse problems, where the specification of the data generation process is not obvious. We adopt a Gibbs posterior framework that directly posits a regularized variational problem on the space of probability distributions of the parameter. We propose a novel model comparison framework that evaluates the optimality of a given loss based on its "predictive performance". We provide cross-validation procedures to calibrate the regularization parameter of the variational objective and compare multiple loss functions. Some novel theoretical properties of Gibbs posteriors are also presented. We illustrate the utility of our framework via a simulated example, motivated by dispersion-based wave models used to characterize arterial vessels in ultrasound vibrometry.

Direct Transmittance Estimation in Heterogeneous Participating Media Using Approximated Taylor Expansions

Evaluating the transmittance between two points along a ray is a key component in solving the light transport through heterogeneous participating media and entails computing an intractable exponential of the integrated medium's extinction coefficient. While algorithms for estimating this transmittance exist, there is a lack of theoretical knowledge about their behaviour, which also prevent new theoretically sound algorithms from being developed. For this purpose, we introduce a new class of unbiased transmittance estimators based on random sampling or truncation of a Taylor expansion of the exponential function. In contrast to classical tracking algorithms, these estimators are non-analogous to the physical light transport process and directly sample the underlying extinction function without performing incremental advancement. We present several versions of the new class of estimators, based on either importance sampling or Russian roulette to provide finite unbiased estimators of the infinite Taylor series expansion. We also show that the well known ratio tracking algorithm can be seen as a special case of the new class of estimators. Lastly, we conduct performance evaluations on both the central processing unit (CPU) and the graphics processing unit (GPU), and the results demonstrate that the new algorithms outperform traditional algorithms for heterogeneous mediums.

A numerically stable algorithm for integrating Bayesian models using Markov melding

When statistical analyses consider multiple data sources, Markov melding provides a method for combining the source-specific Bayesian models. Markov melding joins together submodels that have a common quantity. One challenge is that the prior for this quantity can be implicit, and its prior density must be estimated. We show that error in this density estimate makes the two-stage Markov chain Monte Carlo sampler employed by Markov melding unstable and unreliable. We propose a robust two-stage algorithm that estimates the required prior marginal self-density ratios using weighted samples, dramatically improving accuracy in the tails of the distribution. The stabilised version of the algorithm is pragmatic and provides reliable inference. We demonstrate our approach using an evidence synthesis for inferring HIV prevalence, and an evidence synthesis of A/H1N1 influenza.

Estimating reciprocal partition functions to enable design space sampling

Reaction rates are a complicated function of molecular interactions, which can be selected from vast chemical design spaces. Seeking the design that optimizes a rate is a particularly challenging problem since the rate calculation for any one design is itself a difficult computation. Toward this end, we demonstrate a strategy based on transition path sampling to generate an ensemble of designs and reactive trajectories with a preference for fast reaction rates. Each step of the Monte Carlo procedure requires a measure of how a design constrains molecular configurations, expressed via the reciprocal of the partition function for the design. Although the reciprocal of the partition function would be prohibitively expensive to compute, we apply Booth's method for generating unbiased estimates of a reciprocal of an integral to sample designs without bias. A generalization with multiple trajectories introduces a stronger preference for fast rates, pushing the sampled designs closer to the optimal design. We illustrate the methodology on two toy models of increasing complexity: escape of a single particle from a Lennard-Jones potential well of tunable depth and escape from a metastable tetrahedral cluster with tunable pair potentials.

Approximate Bayesian Inference

This is the Editorial article summarizing the scope of the Special Issue: Approximate Bayesian Inference.

Stochastic modelling of urban structure

The building of mathematical and computer models of cities has a long history. The core elements are models of flows (spatial interaction) and the dynamics of structural evolution. In this article, we develop a stochastic model of urban structure to formally account for uncertainty arising from less predictable events. Standard practice has been to calibrate the spatial interaction models independently and to explore the dynamics through simulation. We present two significant results that will be transformative for both elements. First, we represent the structural variables through a single potential function and develop stochastic differential equations to model the evolution. Second, we show that the parameters of the spatial interaction model can be estimated from the structure alone, independently of flow data, using the Bayesian inferential framework. The posterior distribution is doubly intractable and poses significant computational challenges that we overcome using Markov chain Monte Carlo methods. We demonstrate our methodology with a case study on the London, UK, retail system.

Monte Carlo profile confidence intervals for dynamic systems

Monte Carlo methods to evaluate and maximize the likelihood function enable the construction of confidence intervals and hypothesis tests, facilitating scientific investigation using models for which the likelihood function is intractable. When Monte Carlo error can be made small, by sufficiently exhaustive computation, then the standard theory and practice of likelihood-based inference applies. As datasets become larger, and models more complex, situations arise where no reasonable amount of computation can render Monte Carlo error negligible. We develop profile likelihood methodology to provide frequentist inferences that take into account Monte Carlo uncertainty. We investigate the role of this methodology in facilitating inference for computationally challenging dynamic latent variable models. We present examples arising in the study of infectious disease transmission, demonstrating our methodology for inference on nonlinear dynamic models using genetic sequence data and panel time-series data. We also discuss applicability to nonlinear time-series and spatio-temporal data.

Unbiased Bayesian inference for population Markov jump processes via random truncations

We consider continuous time Markovian processes where populations of individual agents interact stochastically according to kinetic rules. Despite the increasing prominence of such models in fields ranging from biology to smart cities, Bayesian inference for such systems remains challenging, as these are continuous time, discrete state systems with potentially infinite state-space. Here we propose a novel efficient algorithm for joint state/parameter posterior sampling in population Markov Jump processes. We introduce a class of pseudo-marginal sampling algorithms based on a random truncation method which enables a principled treatment of infinite state spaces. Extensive evaluation on a number of benchmark models shows that this approach achieves considerable savings compared to state of the art methods, retaining accuracy and fast convergence. We also present results on a synthetic biology data set showing the potential for practical usefulness of our work.