Related papers: Sequential Bayesian experimental design for estima…
In this work, we develop a multi-fidelity Bayesian experimental design framework to efficiently quantify the extreme-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations. The…
We develop a method for the evaluation of extreme event statistics associated with nonlinear dynamical systems, using a small number of samples. From an initial dataset of design points, we formulate a sequential strategy that provides the…
We study system design problems stated as parameterized stochastic programs with a chance-constraint set. We adopt a Bayesian approach that requires the computation of a posterior predictive integral which is usually intractable. In…
Structural reliability analysis is concerned with estimation of the probability of a critical event taking place, described by $P(g(\textbf{X}) \leq 0)$ for some $n$-dimensional random variable $\textbf{X}$ and some real-valued function…
Dynamical system state estimation and parameter calibration problems are ubiquitous across science and engineering. Bayesian approaches to the problem are the gold standard as they allow for the quantification of uncertainties and enable…
The design of multiple experiments is commonly undertaken via suboptimal strategies, such as batch (open-loop) design that omits feedback or greedy (myopic) design that does not account for future effects. This paper introduces new…
Bayesian optimal experimental design (BOED) provides a powerful, decision-theoretic framework for selecting experiments so as to maximise the expected utility of the data to be collected. In practice, however, its applicability can be…
Bayesian optimal experimental design has immense potential to inform the collection of data so as to subsequently enhance our understanding of a variety of processes. However, a major impediment is the difficulty in evaluating optimal…
Epidemics are inherently stochastic, and stochastic models provide an appropriate way to describe and analyse such phenomena. Given temporal incidence data consisting of, for example, the number of new infections or removals in a given time…
Group sequential designs drive innovation in clinical, industrial, and corporate settings. Early stopping for failure in sequential designs conserves experimental resources, whereas early stopping for success accelerates access to improved…
We present a fully Bayesian sequential strategy for predicting the mean response surface of heteroscedastic stochastic simulation functions. Leveraging dual Gaussian processes as the surrogate model and a criterion based on empirical…
This paper presents a novel variational inference framework for deriving a family of Bayesian sparse Gaussian process regression (SGPR) models whose approximations are variationally optimal with respect to the full-rank GPR model enriched…
Item Response Theory (IRT) is a ubiquitous model for understanding human behaviors and attitudes based on their responses to questions. Large modern datasets offer opportunities to capture more nuances in human behavior, potentially…
We describe a measurement device principle based on discrete iterations of Bayesian updating of system state probability distributions. Although purely classical by nature, these measurements are accompanied with a progressive collapse of…
In this paper, we develop a new sequential regression modeling approach for data streams. Data streams are commonly found around us, e.g in a retail enterprise sales data is continuously collected every day. A demand forecasting model is an…
Likelihood-based inference in stochastic non-linear dynamical systems, such as those found in chemical reaction networks and biological clock systems, is inherently complex and has largely been limited to small and unrealistically simple…
We explore efficient estimation of statistical quantities, particularly rare event probabilities, for stochastic reaction networks. Consequently, we propose an importance sampling (IS) approach to improve the Monte Carlo (MC) estimator…
Identifying dynamical system (DS) is a vital task in science and engineering. Traditional methods require numerous calls to the DS solver, rendering likelihood-based or least-squares inference frameworks impractical. For efficient parameter…
Sequential algorithms are popular for experimental design, enabling emulation, optimisation and inference to be efficiently performed. For most of these applications bespoke software has been developed, but the approach is general and many…
This paper presents a new stochastic finite element method for computing structural stochastic responses. The method provides a new expansion of stochastic response and decouples the stochastic response into a combination of a series of…