Searcharxiv⌕ Search

arXiv subjects

Fred J. Hickernell

Publications and source records attributed to Fred J. Hickernell.

At least 19 recordsLinked to original sources

Fast multitask Gaussian processes, with application to surrogate modeling of the quark-gluon plasma

Gaussian processes (GPs) are broadly used for the surrogate modeling of computer experiments with reliable uncertainty quantification. Our motivating application comes from the study of the quark-gluon plasma (QGP), an extreme state of nuclear matter that filled the universe shortly after the Big Bang. To reliably infer properties of the QGP, multiple surrogate models need to be constructed for related particle collision simulation systems (i.e., multiple "tasks"). While there is a body of literature on multitask GPs (MTGPs), such models can be computationally expensive with large datasets: they require $\mathcal{O}(N^3)$ work and $\mathcal{O}(N^2)$ storage for model training, where $N$ is the total number of samples over all tasks. To address this, we propose a new fast MTGP approach, which pairs structured low-discrepancy design points, such as Sobol' points, with special kernel forms for efficient and exact model fitting. This pairing of a kernel and potentially different design points of different sizes across tasks provides a structured Gram matrix, e.g., a circulant block matrix, which we exploit via a novel algorithm for efficient Gram matrix inversion and determinant computation. Our algorithm reduces training costs to $\mathcal{O}(N \log N)$ work and $\mathcal{O}(N)$ storage in the case of equal sample sizes for each tasks. In the worst case of severely unbalanced sample sizes across tasks, our algorithm may require up to $\mathcal{O}(N^2)$ work and storage, with continuous interpolation between these best and worst cases depending on the balance of sample sizes across tasks. An open-source Python implementation is made available in the FastGPs package (https://alegresor.github.io/fastgps/). We demonstrate the effectiveness of our fast MTGP approach on a range of simulation experiments and on our motivating QGP application.

stat.CO↗

Empirical Bernstein and betting confidence intervals for randomized quasi-Monte Carlo

Randomized quasi-Monte Carlo (RQMC) methods estimate the mean of a random variable by sampling an integrand at $n$ equidistributed points. For scrambled digital nets, the resulting variance is typically $\tilde O(n^{-θ})$ where $θ\in[1,3]$ depends on the smoothness of the integrand and $\tilde O$ neglects logarithmic factors. While RQMC can be far more accurate than plain Monte Carlo (MC) it remains difficult to get confidence intervals on RQMC estimates. We investigate some empirical Bernstein confidence intervals (EBCI) and hedged betting confidence intervals (HBCI), both from Waudby-Smith and Ramdas (2024), when the random variable of interest is subject to known bounds. When there are $N$ integrand evaluations partitioned into $R$ independent replicates of $n=N/R$ RQMC points, and the RQMC variance is $Θ(n^{-θ})$, then an oracle minimizing the width of a Bennett confidence interval would choose $n =Θ(N^{1/(θ+1)})$. The resulting intervals have a width that is $Θ(N^{-θ/(θ+1)})$. Our empirical investigations had optimal values of $n$ grow slowly with $N$, HBCI intervals that were usually narrower than the EBCI ones, and optimal values of $n$ for HBCI that were equal to or smaller than the ones for the oracle.

math.NA↗

Fast Bayesian Multilevel Quasi-Monte Carlo

Existing multilevel quasi-Monte Carlo (MLQMC) methods often rely on multiple independent randomizations of a low-discrepancy (LD) sequence to estimate statistical errors on each level. While this approach is standard, it can be less efficient than simply increasing the number of points from a single LD sequence. However, a single LD sequence does not permit statistical error estimates in the current framework. We propose to recast the MLQMC problem in a Bayesian cubature framework, which uses a single LD sequence and quantifies numerical error through the posterior variance of a Gaussian process (GP) model. When paired with certain LD sequences, GP regression and hyperparameter optimization can be carried out at only $\mathcal{O}(n \log n)$ cost, where $n$ is the number of samples. Building on the adaptive sample allocation used in traditional MLQMC, where the number of samples is doubled on the level with the greatest expected benefit, we introduce a new Bayesian utility function that balances the computational cost of doubling against the anticipated reduction in posterior uncertainty. We also propose a new digitally-shift-invariant (DSI) kernel of adaptive smoothness, which combines multiple higher-order DSI kernels through a weighted sum of smoothness parameters, for use with fast digital net GPs. A series of numerical experiments illustrate the performance of our fast Bayesian MLQMC method and error estimates for both single-level problems and multilevel problems with a fixed number of levels. The Bayesian error estimates obtained using digital nets are found to be reliable, although, in some cases, mildly conservative.

stat.CO↗

Quasi-Monte Carlo Methods: What, Why, and How?

Many questions in quantitative finance, uncertainty quantification, and other disciplines are answered by computing the population mean, $μ:= \mathbb{E}(Y)$, where instances of $Y:=f(\boldsymbol{X})$ may be generated by numerical simulation and $\boldsymbol{X}$ has a simple probability distribution. The population mean can be approximated by the sample mean, $\hatμ_n := n^{-1} \sum_{i=0}^{n-1} f(\boldsymbol{x}_i)$ for a well chosen sequence of nodes, $\{\boldsymbol{x}_0, \boldsymbol{x}_1, \ldots\}$ and a sufficiently large sample size, $n$. Computing $μ$ is equivalent to computing a $d$-dimensional integral, $\int f(\boldsymbol{x}) \varrho(\boldsymbol{x}) \, \mathrm{d} \boldsymbol{x}$, where $\varrho$ is the probability density for $\boldsymbol{X}$. Quasi-Monte Carlo methods replace independent and identically distributed sequences of random vector nodes, $\{\boldsymbol{x}_i \}_{i = 0}^{\infty}$, by low discrepancy sequences. This accelerates the convergence of $\hatμ_n$ to $μ$ as $n \to \infty$. This tutorial describes low discrepancy sequences and their quality measures. We demonstrate the performance gains possible with quasi-Monte Carlo methods. Moreover, we describe how to formulate problems to realize the greatest performance gains using quasi-Monte Carlo. We also briefly describe the use of quasi-Monte Carlo methods for problems beyond computing the mean, $μ$.

math.NA↗

A unified treatment of tractability for approximation problems defined on Hilbert spaces

A large literature specifies conditions under which the information complexity for a sequence of numerical problems defined for dimensions $1, 2, \ldots$ grows at a moderate rate, i.e., the sequence of problems is tractable. Here, we focus on the situation where the space of available information consists of all linear functionals and the problems are defined as linear operator mappings between Hilbert spaces. We unify the proofs of known tractability results and generalize a number of existing results. These generalizations are expressed as five theorems that provide equivalent conditions for (strong) tractability in terms of sums of functions of the singular values of the solution operators.

math.NA↗

Challenges in Developing Great Quasi-Monte Carlo Software

Quasi-Monte Carlo (QMC) methods have developed over several decades. With the explosion in computational science, there is a need for great software that implements QMC algorithms. We summarize the QMC software that has been developed to date, propose some criteria for developing great QMC software, and suggest some steps toward achieving great software. We illustrate these criteria and steps with the Quasi-Monte Carlo Python library (QMCPy), an open-source community software framework, extensible by design with common programming interfaces to an increasing number of existing or emerging QMC libraries developed by the greater community of QMC researchers.

math.NA↗

Computationally Efficient and Error Aware Surrogate Construction for Numerical Solutions of Subsurface Flow Through Porous Media

Limiting the injection rate to restrict the pressure below a threshold at a critical location can be an important goal of simulations that model the subsurface pressure between injection and extraction wells. The pressure is approximated by the solution of Darcy's partial differential equation (PDE) for a given permeability field. The subsurface permeability is modeled as a random field since it is known only up to statistical properties. This induces uncertainty in the computed pressure. Solving the PDE for an ensemble of random permeability simulations enables estimating a probability distribution for the pressure at the critical location. These simulations are computationally expensive, and practitioners often need rapid online guidance for real-time pressure management. An ensemble of numerical PDE solutions is used to construct a Gaussian process regression model that can quickly predict the pressure at the critical location as a function of the extraction rate and permeability realization. Our first novel contribution is to identify a sampling methodology for the random environment and matching kernel technology for which fitting the Gaussian process regression model scales as O(n log n) instead of the typical O(n^3) rate in the number of samples n used to fit the surrogate. The surrogate model allows almost instantaneous predictions for the pressure at the critical location as a function of the extraction rate and permeability realization. Our second contribution is a novel algorithm to calibrate the uncertainty in the surrogate model to the discrepancy between the true pressure solution of Darcy's equation and the numerical solution. Although our method is derived for building a surrogate for the solution of Darcy's equation with a random permeability field, the framework broadly applies to solutions of other PDE with random coefficients.

stat.CO↗

Quasi-Monte Carlo Software

Practitioners wishing to experience the efficiency gains from using low discrepancy sequences need correct, robust, well-written software. This article, based on our MCQMC 2020 tutorial, describes some of the better quasi-Monte Carlo (QMC) software available. We highlight the key software components required by QMC to approximate multivariate integrals or expectations of functions of vector random variables. We have combined these components in QMCPy, a Python open-source library, which we hope will draw the support of the QMC community. Here we introduce QMCPy.

cs.MS↗

Is a Transformed Low Discrepancy Design Also Low Discrepancy?

Experimental designs intended to match arbitrary target distributions are typically constructed via a variable transformation of a uniform experimental design. The inverse distribution function is one such transformation. The discrepancy is a measure of how well the empirical distribution of any design matches its target distribution. This chapter addresses the question of whether a variable transformation of a low discrepancy uniform design yields a low discrepancy design for the desired target distribution. The answer depends on the two kernel functions used to define the respective discrepancies. If these kernels satisfy certain conditions, then the answer is yes. However, these conditions may be undesirable for practical reasons. In such a case, the transformation of a low discrepancy uniform design may yield a design with a large discrepancy. We illustrate how this may occur. We also suggest some remedies. One remedy is to ensure that the original uniform design has optimal one-dimensional projection, but this remedy works best if the design is dense, or in other words, the ratio of sample size divided by the dimension of the random variable is relatively large. Another remedy is to use the transformed design as the input to a coordinate-exchange algorithm that optimizes the desired discrepancy, and this works for both dense or sparse designs. The effectiveness of these two remedies is illustrated via simulation.

stat.CO↗

Fast Automatic Bayesian Cubature Using Lattice Sampling

Automatic cubatures approximate multidimensional integrals to user-specified error tolerances. For high dimensional problems, it makes sense to fix the sampling density but determine the sample size, $n$, automatically. Bayesian cubature postulates that the integrand is an instance of a stochastic process. Here we assume a Gaussian process parameterized by a constant mean and a covariance function defined by a scale parameter times a parameterized function specifying how the integrand values at two different points in the domain are related. These parameters are estimated from integrand values or are given non-informative priors. The sample size, $n$, is chosen to make the half-width of the credible interval for the Bayesian posterior mean no greater than the error tolerance. The process just outlined typically requires vector-matrix operations with a computational cost of $O(n^3)$. Our innovation is to pair low discrepancy nodes with matching kernels that lower the computational cost to $O(n \log n)$. This approach is demonstrated using rank-1 lattice sequences and shift-invariant kernels. Our algorithm is implemented in the Guaranteed Automatic Integration Library (GAIL).

math.NA↗

Adaptive Approximation for Multivariate Linear Problems with Inputs Lying in a Cone

We study adaptive approximation algorithms for general multivariate linear problems where the sets of input functions are non-convex cones. While it is known that adaptive algorithms perform essentially no better than non-adaptive algorithms for convex input sets, the situation may be different for non-convex sets. A typical example considered here is function approximation based on series expansions. Given an error tolerance, we use series coefficients of the input to construct an approximate solution such that the error does not exceed this tolerance. We study the situation where we can bound the norm of the input based on a pilot sample, and the situation where we keep track of the decay rate of the series coefficients of the input. Moreover, we consider situations where it makes sense to infer coordinate and smoothness importance. Besides performing an error analysis, we also study the information cost of our algorithms and the computational complexity of our problems, and we identify conditions under which we can avoid a curse of dimensionality.

math.NA↗

Exponential tractability of linear tensor product problems

In this article we consider the approximation of compact linear operators defined over tensor product Hilbert spaces. Necessary and sufficient conditions on the singular values of the problem under which we can or cannot achieve different notions of exponential tractability are given in a paper by Papageorgiou, Petras, and Wozniakowski. In this paper, we use the new equivalency conditions shown in a recent paper by the second and third authors of this paper to obtain these results in an alternative way. As opposed to the algebraic setting, quasi-polynomial tractability is not possible for non-trivial cases in the exponential setting.

math.NA↗

An Adaptive Algorithm Employing Continuous Linear Functionals

Automatic algorithms attempt to provide approximate solutions that differ from exact solutions by no more than a user-specified error tolerance. This paper describes an automatic, adaptive algorithm for approximating the solution to a general linear problem on Hilbert spaces. The algorithm employs continuous linear functionals of the input function, specifically Fourier coefficients. We assume that the Fourier coefficients of the solution decay sufficiently fast, but do not require the decay rate to be known a priori. We also assume that the Fourier coefficients decay steadily, although not necessarily monotonically. Under these assumptions, our adaptive algorithm is shown to produce an approximate solution satisfying the desired error tolerance, without prior knowledge of the norm of the function to be approximated. Moreover, the computational cost of our algorithm is shown to be essentially no worse than that of the optimal algorithm. We provide a numerical experiment to illustrate our algorithm.

math.NA↗

The Trio Identity for Quasi-Monte Carlo Error

Monte Carlo methods approximate integrals by sample averages of integrand values. The error of Monte Carlo methods may be expressed as a trio identity: the product of the variation of the integrand, the discrepancy of the sampling measure, and the confounding. The trio identity has different versions, depending on whether the integrand is deterministic or Bayesian and whether the sampling measure is deterministic or random. Although the variation and the discrepancy are common in the literature, the confounding is relatively unknown and under-appreciated. Theory and examples are used to show how the cubature error may be reduced by employing the low discrepancy sampling that defines quasi-Monte Carlo methods. The error may also be reduced by rewriting the integral in terms of a different integrand. Finally, the confounding explains why the cubature error might decay at a rate different from that of the discrepancy.

math.NA↗

Adaptive Quasi-Monte Carlo Methods for Cubature

High dimensional integrals can be approximated well by quasi-Monte Carlo methods. However, determining the number of function values needed to obtain the desired accuracy is difficult without some upper bound on an appropriate semi-norm of the integrand. This challenge has motivated our recent development of theoretically justified, adaptive cubatures based on digital sequences and lattice nodeset sequences. Our adaptive cubatures are based on error bounds that depend on the discrete Fourier transforms of the integrands. These cubatures are guaranteed for integrands belonging to cones of functions whose true Fourier coefficients decay steadily, a notion that is made mathematically precise. Here we describe these new cubature rules and extend them in two directions. First, we generalize the error criterion to allow both absolute and relative error tolerances. We also demonstrate how to estimate a function of several integrals to a given tolerance. This situation arises in the computation of Sobol' indices. Second, we describe how to use control variates in adaptive quasi-Monte cubature while appropriately estimating the control variate coefficient.

math.NA↗

Local Adaption for Approximation and Minimization of Univariate Functions

Most commonly used \emph{adaptive} algorithms for univariate real-valued function approximation and global minimization lack theoretical guarantees. Our new locally adaptive algorithms are guaranteed to provide answers that satisfy a user-specified absolute error tolerance for a cone, $\mathcal{C}$, of non-spiky input functions in the Sobolev space $W^{2,\infty}[a,b]$. Our algorithms automatically determine where to sample the function---sampling more densely where the second derivative is larger. The computational cost of our algorithm for approximating a univariate function $f$ on a bounded interval with $L^{\infty}$-error no greater than $\varepsilon$ is $\mathcal{O}\Bigl(\sqrt{{\left\|f"\right\|}_{\frac12}/\varepsilon}\Bigr)$ as $\varepsilon \to 0$. This is the same order as that of the best function approximation algorithm for functions in $\mathcal{C}$. The computational cost of our global minimization algorithm is of the same order and the cost can be substantially less if $f$ significantly exceeds its minimum over much of the domain. Our Guaranteed Automatic Integration Library (GAIL) contains these new algorithms. We provide numerical experiments to illustrate their superior performance.

math.NA↗

Reliable Adaptive Cubature Using Digital Sequences

Quasi-Monte Carlo cubature methods often sample the integrand using Sobol' (or other digital) sequences to obtain higher accuracy than IID sampling. An important question is how to conservatively estimate the error of a digital sequence cubature so that the sampling can be terminated when the desired tolerance is reached. We propose an error bound based on the discrete Walsh coefficients of the integrand and use this error bound to construct an adaptive digital sequence cubature algorithm. The error bound and the corresponding algorithm are guaranteed to work for integrands whose true Walsh coefficients satisfy certain cone conditions. Intuitively, these cone conditions imply that the ordered Walsh coefficients do not dip down for a long stretch and then jump back up. An upper bound on the cost of our new algorithm is given in terms of the \emph{unknown} decay rate of the Walsh coefficients.

math.NA↗