Efficient Bayesian analysis of multiple changepoint models with dependence across segments

arXiv.org Machine Learning

We consider Bayesian analysis of a class of multiple changepoint models. While there are a variety of efficient ways to analyse these models if the parameters associated with each segment are independent, there are few general approaches for models where the parameters are dependent. Under the assumption that the dependence is Markov, we propose an efficient online algorithm for sampling from an approximation to the posterior distribution of the number and position of the changepoints. In a simulation study, we show that the approximation introduced is negligible. We illustrate the power of our approach through fitting piecewise polynomial models to data, under a model which allows for either continuity or discontinuity of the underlying curve at each changepoint. This method is competitive with, or out-performs, other methods for inferring curves from noisy data; and uniquely it allows for inference of the locations of discontinuities in the underlying curve.


Computationally Efficient CFD Prediction of Bubbly Flow using Physics-Guided Deep Learning

arXiv.org Machine Learning

To realize efficient computational fluid dynamics (CFD) prediction of two-phase flow, a multi-scale framework was proposed in this paper by applying a physics-guided data-driven approach. Instrumental to this framework, Feature Similarity Measurement (FSM) technique was developed for error estimation in two-phase flow simulation using coarse-mesh CFD, to achieve a comparable accuracy as fine-mesh simulations with fast-running feature. By defining physics-guided parameters and variable gradients as physical features, FSM has the capability to capture the underlying local patterns in the coarse-mesh CFD simulation. Massive low-fidelity data and respective high-fidelity data are used to explore the underlying information relevant to the main simulation errors and the effects of phenomenological scaling. By learning from previous simulation data, a surrogate model using deep feedforward neural network (DFNN) can be developed and trained to estimate the simulation error of coarse-mesh CFD. The research documented supports the feasibility of the physics-guided deep learning methods for coarse mesh CFD simulations which has a potential for the efficient industrial design.


Learning to Explore and Exploit in POMDPs

Neural Information Processing Systems

A fundamental objective in reinforcement learning is the maintenance of a proper balance between exploration and exploitation. This problem becomes more challenging when the agent can only partially observe the states of its environment. In this paper we propose a dual-policy method for jointly learning the agent behavior and the balance between exploration exploitation, in partially observable environments. The method subsumes traditional exploration, in which the agent takes actions to gather information about the environment, and active learning, in which the agent queries an oracle for optimal actions (with an associated cost for employing the oracle). The form of the employed exploration is dictated by the specific problem. Theoretical guarantees are provided concerning the optimality of the balancing of exploration and exploitation. The effectiveness of the method is demonstrated by experimental results on benchmark problems.


Thompson Sampling Based Monte-Carlo Planning in POMDPs

AAAI Conferences

Monte-Carlo tree search (MCTS) has been drawing great interest in recent years for planning under uncertainty. One of the key challenges is the trade-off between exploration and exploitation. To address this, we introduce a novel online planning algorithm for large POMDPs using Thompson sampling based MCTS that balances between cumulative and simple regrets. The proposed algorithm  Dirichlet-Dirichlet-NormalGamma based Partially Observable Monte-Carlo Planning (D 2 NG-POMCP) treats the accumulated reward of performing an action from a belief state in the MCTS search tree as a random variable following an unknown distribution with hidden parameters. Bayesian method is used to model and infer the posterior distribution of these parameters by choosing the conjugate prior in the form of a combination of two Dirichlet and one NormalGamma distributions. Thompson sampling is exploited to guide the action selection in the search tree. Experimental results confirmed that our algorithm outperforms the state-of-the-art approaches on several common benchmark problems.


Randomised Bayesian Least-Squares Policy Iteration

arXiv.org Artificial Intelligence

We introduce Bayesian least-squares policy iteration (BLSPI), an off-policy, model-free, policy iteration algorithm that uses the Bayesian least-squares temporal-difference (BLSTD) learning algorithm to evaluate policies. An online variant of BLSPI has been also proposed, called randomised BLSPI (RBLSPI), that improves its policy based on an incomplete policy evaluation step. In online setting, the exploration-exploitation dilemma should be addressed as we try to discover the optimal policy by using samples collected by ourselves. RBLSPI exploits the advantage of BLSTD to quantify our uncertainty about the value function. Inspired by Thompson sampling, RBLSPI first samples a value function from a posterior distribution over value functions, and then selects actions based on the sampled value function. The effectiveness and the exploration abilities of RBLSPI are demonstrated experimentally in several environments.