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Jimmy Olsson

Publications and source records attributed to Jimmy Olsson.

At least 37 records · Page 2Linked to original sources

A similarity-based Bayesian mixture-of-experts model

We present a new nonparametric mixture-of-experts model for multivariate regression problems, inspired by the probabilistic k-nearest neighbors algorithm. Using a conditionally specified model, predictions for out-of-sample inputs are based on similarities to each observed data point, yielding predictive distributions represented by Gaussian mixtures. Posterior inference is performed on the parameters of the mixture components as well as the distance metric using a mean-field variational Bayes algorithm accompanied with a stochastic gradient-based optimization procedure. The proposed method is especially advantageous in settings where inputs are of relatively high dimension in comparison to the data size, where input-output relationships are complex, and where predictive distributions may be skewed or multimodal. Computational studies on five datasets, of which two are synthetically generated, illustrate clear advantages of our mixture-of-experts method for high-dimensional inputs, outperforming competitor models both in terms of validation metrics and visual inspection.

stat.ML↗

Adaptive online variance estimation in particle filters: the ALVar estimator

We present a new approach-the ALVar estimator-to estimation of asymptotic variance in sequential Monte Carlo methods, or, particle filters. The method, which adjusts adaptively the lag of the estimator proposed in [Olsson, J. and Douc, R. (2019). Numerically stable online estimation of variance in particle filters. Bernoulli, 25(2), pp. 1504-1535] applies to very general distribution flows and particle filters, including auxiliary particle filters with adaptive resampling. The algorithm operates entirely online, in the sense that it is able to monitor the variance of the particle filter in real time and with, on the average, constant computational complexity and memory requirements per iteration. Crucially, it does not require the calibration of any algorithmic parameter. Estimating the variance only on the basis of the genealogy of the propagated particle cloud, without additional simulations, the routine requires only minor code additions to the underlying particle algorithm. Finally, we prove that the ALVar estimator is consistent for the true asymptotic variance as the number of particles tends to infinity and illustrate numerically its superiority to existing approaches.

stat.CO↗

Probabilistic Pareto plan generation for semiautomated multicriteria radiation therapy treatment planning

Objective: We propose a semiautomatic pipeline for radiation therapy treatment planning, combining ideas from machine learning-automated planning and multicriteria optimization (MCO). Approach: Using knowledge extracted from historically delivered plans, prediction models for spatial dose and dose statistics are trained and furthermore systematically modified to simulate changes in tradeoff priorities, creating a set of differently biased predictions. Based on the predictions, an MCO problem is subsequently constructed using previously developed dose mimicking functions, designed in such a way that its Pareto surface spans the range of clinically acceptable yet realistically achievable plans as exactly as possible. The result is an algorithm outputting a set of Pareto optimal plans, either fluence-based or machine parameter-based, which the user can navigate between in real time to make adjustments before a final deliverable plan is created. Main results: Numerical experiments performed on a dataset of prostate cancer patients show that one may often navigate to a better plan than one produced by a single-plan-output algorithm. Significance: We demonstrate the potential of merging MCO and a data-driven workflow to automate labor-intensive parts of the treatment planning process while maintaining a certain extent of manual control for the user.

physics.med-ph↗

Direct optimization of dose-volume histogram metrics in radiation therapy treatment planning

We present a method of directly optimizing on deviations in clinical goal values in radiation therapy treatment planning. Using a new mathematical framework in which metrics derived from the dose-volume histogram are regarded as functionals of an auxiliary random variable, we are able to obtain volume-at-dose and dose-at-volume as infinitely differentiable functions of the dose distribution with easily evaluable function values and gradients. Motivated by the connection to risk measures in finance, which is formalized in this framework, we also derive closed-form formulas for mean-tail-dose and demonstrate its capability of reducing extreme dose values in tail distributions. Numerical experiments performed on a prostate and a head-and-neck patient case show that the direct optimization of dose-volume histogram metrics produced marginally better results than or outperformed conventional planning objectives in terms of clinical goal fulfilment, control of low- and high-dose tails of target distributions and general plan quality defined by a pre-specified evaluation measure. The proposed framework eliminates the disconnect between optimization functions and evaluation metrics and may thus reduce the need for repetitive user interaction associated with conventional treatment planning. The method also has the potential of enhancing plan optimization in other settings such as multicriteria optimization and automated treatment planning.

physics.med-ph↗

Probabilistic feature extraction, dose statistic prediction and dose mimicking for automated radiation therapy treatment planning

Purpose: We propose a general framework for quantifying predictive uncertainties of dose-related quantities and leveraging this information in a dose mimicking problem in the context of automated radiation therapy treatment planning. Methods: A three-step pipeline, comprising feature extraction, dose statistic prediction and dose mimicking, is employed. In particular, the features are produced by a convolutional variational autoencoder and used as inputs in a previously developed nonparametric Bayesian statistical method, estimating the multivariate predictive distribution of a collection of predefined dose statistics. Specially developed objective functions are then used to construct a probabilistic dose mimicking problem based on the produced distributions, creating deliverable treatment plans. Results: The numerical experiments are performed using a dataset of 94 retrospective treatment plans of prostate cancer patients. We show that the features extracted by the variational autoencoder capture geometric information of substantial relevance to the dose statistic prediction problem and are related to dose statistics in a more regularized fashion than hand-crafted features. The estimated predictive distributions are reasonable and outperforms a non-input-dependent benchmark method, and the deliverable plans produced by the probabilistic dose mimicking agree better with their clinical counterparts than for a non-probabilistic formulation. Conclusions: We demonstrate that prediction of dose-related quantities may be extended to include uncertainty estimation and that such probabilistic information may be leveraged in a dose mimicking problem. The treatment plans produced by the proposed pipeline resemble their original counterparts well, illustrating the merits of a holistic approach to automated planning based on probabilistic modeling.

physics.med-ph↗

Backward importance sampling for online estimation of state space models

This paper proposes a new Sequential Monte Carlo algorithm to perform online estimation in the context of state space models when either the transition density of the latent state or the conditional likelihood of an observation given a state is intractable. In this setting, obtaining low variance estimators of expectations under the posterior distributions of the unobserved states given the observations is a challenging task. Following recent theoretical results for pseudo-marginal sequential Monte Carlo smoothers, a pseudo-marginal backward importance sampling step is introduced to estimate such expectations. This new step allows to reduce very significantly the computational time of the existing numerical solutions based on an acceptance-rejection procedure for similar performance, and to broaden the class of eligible models for such methods. For instance, in the context of multivariate stochastic differential equations, the proposed algorithm makes use of unbiased estimates of the unknown transition densities under much weaker assumptions than standard alternatives. The performance of this estimator is assessed for high-dimensional discrete-time latent data models, for recursive maximum likelihood estimation in the context of partially observed diffusion process, and in the case of a bidimensional partially observed stochastic Lotka-Volterra model.

stat.AP↗

A pseudo-marginal sequential Monte Carlo online smoothing algorithm

We consider online computation of expectations of additive state functionals under general path probability measures proportional to products of unnormalised transition densities. These transition densities are assumed to be intractable but possible to estimate, with or without bias. Using pseudo-marginalisation techniques we are able to extend the particle-based, rapid incremental smoother (PaRIS) algorithm proposed in [J.Olsson and J.Westerborn. Efficient particle-based online smoothing in general hidden Markov models: The PaRIS algorithm. Bernoulli, 23(3):1951--1996, 2017] to this setting. The resulting algorithm, which has a linear complexity in the number of particles and constant memory requirements, applies to a wide range of challenging path-space Monte Carlo problems, including smoothing in partially observed diffusion processes and models with intractable likelihood. The algorithm is furnished with several theoretical results, including a central limit theorem, establishing its convergence and numerical stability. Moreover, under strong mixing assumptions we establish a novel $O(n \varepsilon)$ bound on the asymptotic bias of the algorithm, where $n$ is the path length and $\varepsilon$ controls the bias of the density estimators.

stat.CO↗

Sequential sampling of junction trees for decomposable graphs

The junction-tree representation provides an attractive structural property for organizing a decomposable graph. In this study, we present two novel stochastic algorithms, which we call the junction-tree expander and junction-tree collapser for sequential sampling of junction trees for decomposable graphs. We show that recursive application of the junction-tree expander, expanding incrementally the underlying graph with one vertex at a time, has full support on the space of junction trees with any given number of underlying vertices. On the other hand, the junction-tree collapser provides a complementary operation for removing vertices in the underlying decomposable graph of a junction tree, while maintaining the junction tree property. A direct application of our suggested algorithms is demonstrated in a sequential-Monte-Carlo setting designed for sampling from distributions on spaces of decomposable graphs. Numerical studies illustrate the utility of the proposed algorithms for combinatorial computations on decomposable graphs and junction trees. All the methods proposed in the paper are implemented in the Python library trilearn.

math.ST↗

Resampling Algorithms for High Energy Physics Simulations

We demonstrate that the method of interleaved resampling in the context of parton showers can tremendously improve the statistical convergence of weighted parton shower evolution algorithms. We illustrate this by several examples showing significant statistical improvement.

hep-ph↗

Bayesian learning of weakly structural Markov graph laws using sequential Monte Carlo methods

We present a sequential sampling methodology for weakly structural Markov laws, arising naturally in a Bayesian structure learning context for decomposable graphical models. As a key component of our suggested approach, we show that the problem of graph estimation, which in general lacks natural sequential interpretation, can be recast into a sequential setting by proposing a recursive Feynman-Kac model that generates a flow of junction tree distributions over a space of increasing dimensions. We focus on particle McMC methods to provide samples on this space, in particular on particle Gibbs (PG), as it allows for generating McMC chains with global moves on an underlying space of decomposable graphs. To further improve the PG mixing properties, we incorporate a systematic refreshment step implemented through direct sampling from a backward kernel. The theoretical properties of the algorithm are investigated, showing that the proposed refreshment step improves the performance in terms of asymptotic variance of the estimated distribution. The suggested sampling methodology is illustrated through a collection of numerical examples demonstrating high accuracy in Bayesian graph structure learning in both discrete and continuous graphical models.

math.ST↗

Particle-based adaptive-lag online marginal smoothing in general state-space models

We present a novel algorithm, an adaptive-lag smoother, approximating efficiently, in an online fashion, sequences of expectations under the marginal smoothing distributions in general state-space models. The algorithm evolves recursively a bank of estimators, one for each marginal, in resemblance with the so-called particle-based, rapid incremental smoother (PaRIS). Each estimator is propagated until a stopping criterion, measuring the fluctuations of the estimates, is met. The presented algorithm is furnished with theoretical results describing its asymptotic limit and memory usage.

stat.CO↗

Particle-based, online estimation of tangent filters with application to parameter estimation in nonlinear state-space models

This paper presents a novel algorithm for efficient online estimation of the filter derivatives in general hidden Markov models. The algorithm, which has a linear computational complexity and very limited memory requirements, is furnished with a number of convergence results, including a central limit theorem with an asymptotic variance that can be shown to be uniformly bounded in time. Using the proposed filter derivative estimator we design a recursive maximum likelihood algorithm updating the parameters according the gradient of the one-step predictor log-likelihood. The efficiency of this online parameter estimation scheme is illustrated in a simulation study.

stat.CO↗

Convergence properties of weighted particle islands with application to the double bootstrap algorithm

Particle island models (Vergé et al., 2013) provide a means of parallelization of sequential Monte Carlo methods, and in this paper we present novel convergence results for algorithms of this sort. In particular we establish a central limit theorem - as the number of islands and the common size of the islands tend jointly to infinity - of the double bootstrap algorithm with possibly adaptive selection on the island level. For this purpose we introduce a notion of archipelagos of weighted islands and find conditions under which a set of convergence properties are preserved by different operations on such archipelagos. This theory allows arbitrary compositions of these operations to be straightforwardly analyzed, providing a very flexible framework covering the double bootstrap algorithm as a special case. Finally, we establish the long-term numerical stability of the double bootstrap algorithm by bounding its asymptotic variance under weak and easily checked assumptions satisfied for a wide range of models with possibly non-compact state space.

stat.CO↗

Numerically stable online estimation of variance in particle filters

This paper discusses variance estimation in sequential Monte Carlo methods, alternatively termed particle filters. The variance estimator that we propose is a natural modification of that suggested by H. P. Chan and T. L. Lai [A general theory of particle filters in hidden Markov models and some applications. Ann. Statist., 41(6):2877-2904, 2013], which allows the variance to be estimated in a single run of the particle filter by tracing the genealogical history of the particles. However, due particle lineage degeneracy, the estimator of the mentioned work becomes numerically unstable as the number of sequential particle updates increases. Thus, by tracing only a part of the particles' genealogy rather than the full one, our estimator gains long-term numerical stability at the cost of a bias. The scope of the genealogical tracing is regulated by a lag, and under mild, easily checked model assumptions, we prove that the bias tends to zero geometrically fast as the lag increases. As confirmed by our numerical results, this allows the bias to be tightly controlled also for moderate particle sample sizes.

stat.ME↗

Posterior consistency for partially observed Markov models

In this work we establish the posterior consistency for a parametrized family of partially observed, fully dominated Markov models. As a main assumption, we suppose that the prior distribution assigns positive probability to all neighborhoods of the true parameter, for a distance induced by the expected Kullback-Leibler divergence between the family members' Markov transition densities. This assumption is easily checked in general. In addition, under some additional, mild assumptions we show that the posterior consistency is implied by the consistency of the maximum likelihood estimator. The latter has recently been established also for models with non-compact state space. The result is then extended to possibly non-compact parameter spaces and non-stationary observations. Finally, we check our assumptions on examples including the partially observed Gaussian linear model with correlated noise and a widely used stochastic volatility model.

math.ST↗

An efficient particle-based online EM algorithm for general state-space models

Estimating the parameters of general state-space models is a topic of importance for many scientific and engineering disciplines. In this paper we present an online parameter estimation algorithm obtained by casting our recently proposed particle-based, rapid incremental smoother (PaRIS) into the framework of online expectation-maximization (EM) for state-space models proposed by Cappé (2011). Previous such particle-based implementations of online EM suffer typically from either the well-known degeneracy of the genealogical particle paths or a quadratic complexity in the number of particles. However, by using the computationally efficient and numerically stable PaRIS algorithm for estimating smoothed expectations of time-averaged sufficient statistics of the model we obtain a fast algorithm with very limited memory requirements and a computational complexity that grows only linearly with the number of particles. The efficiency of the algorithm is illustrated in a simulation study.

stat.CO↗

Efficient parameter inference in general hidden Markov models using the filter derivatives

Estimating online the parameters of general state-space hidden Markov models is a topic of importance in many scientific and engineering disciplines. In this paper we present an online parameter estimation algorithm obtained by casting our recently proposed particle-based, rapid incremental smoother (PaRIS) into the framework of recursive maximum likelihood estimation for general hidden Markov models. Previous such particle implementations suffer from either quadratic complexity in the number of particles or from the well-known degeneracy of the genealogical particle paths. By using the computational efficient and numerically stable PaRIS algorithm for estimating the needed prediction filter derivatives we obtain a fast algorithm with a computational complexity that grows only linearly with the number of particles. The efficiency and stability of the proposed algorithm are illustrated in a simulation study.

stat.CO↗

Efficient particle-based online smoothing in general hidden Markov models: the PaRIS algorithm

This paper presents a novel algorithm, the particle-based, rapid incremental smoother (PaRIS), for efficient online approximation of smoothed expectations of additive state functionals in general hidden Markov models. The algorithm, which has a linear computational complexity under weak assumptions and very limited memory requirements, is furnished with a number of convergence results, including a central limit theorem. An interesting feature of PaRIS, which samples on-the-fly from the retrospective dynamics induced by the particle filter, is that it requires two or more backward draws per particle in order to cope with degeneracy of the sampled trajectories and to stay numerically stable in the long run with an asymptotic variance that grows only linearly with time.

stat.CO↗