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Daniel MacKinlay

Publications and source records attributed to Daniel MacKinlay.

3 recordsLinked to original sources

Bayesian Physics Informed Neural Networks for Data Assimilation and Spatio-Temporal Modelling of Wildfires

We apply the Physics Informed Neural Network (PINN) to the problem of wildfire fire-front modelling. We use the PINN to solve the level-set equation, which is a partial differential equation that models a fire-front through the zero-level-set of a level-set function. The result is a PINN that simulates a fire-front as it propagates through the spatio-temporal domain. We show that popular optimisation cost functions used in the literature can result in PINNs that fail to maintain temporal continuity in modelled fire-fronts when there are extreme changes in exogenous forcing variables such as wind direction. We thus propose novel additions to the optimisation cost function that improves temporal continuity under these extreme changes. Furthermore, we develop an approach to perform data assimilation within the PINN such that the PINN predictions are drawn towards observations of the fire-front. Finally, we incorporate our novel approaches into a Bayesian PINN (B-PINN) to provide uncertainty quantification in the fire-front predictions. This is significant as the standard solver, the level-set method, does not naturally offer the capability for data assimilation and uncertainty quantification. Our results show that, with our novel approaches, the B-PINN can produce accurate predictions with high quality uncertainty quantification on real-world data.

cs.LG

A Universal Splitting Estimator for the Performance Evaluation of Wireless Communications Systems

We propose a unified rare-event estimator for the performance evaluation of wireless communication systems. The estimator is derived from the well-known multilevel splitting algorithm. In its original form, the splitting algorithm cannot be applied to the simulation and estimation of time-independent problems, because splitting requires an underlying continuous-time Markov process whose trajectories can be split. We tackle this problem by embedding the static problem of interest within a continuous-time Markov process, so that the target time-independent distribution becomes the distribution of the Markov process at a given time instant. The main feature of the proposed multilevel splitting algorithm is its large scope of applicability. For illustration, we show how the same algorithm can be applied to the problem of estimating the cumulative distribution function (CDF) of sums of random variables (RVs), the CDF of partial sums of ordered RVs, the CDF of ratios of RVs, and the CDF of weighted sums of Poisson RVs. We investigate the computational efficiency of the proposed estimator via a number of simulation studies and find that it compares favorably with existing estimators.

cs.IT

Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model

We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically unbiased estimators for three distributional quantities of significant interest in finance and risk management: the left tail, or cumulative distribution function, the probability density function, and the right tail, or complementary distribution function of the sum of dependent log-normal factors. In all of these three cases our methodology delivers fast and highly accurate estimators in settings for which existing methodology delivers estimators with large variance that tend to underestimate the true quantity of interest. We provide insight into the computational challenges using theory and numerical experiments, and explain their much wider implications for Monte Carlo statistical estimators of rare-event probabilities. In particular, we find that theoretically strongly-efficient estimators should be used with great caution in practice, because they may yield inaccurate results in the pre-limit. Further, this inaccuracy may not be detectable from the output of the Monte Carlo simulation, because the simulation output may severely underestimate the true variance of the estimator.

stat.CO