Mecanismos de Cooperación Internacional del BANDES

In our next experiment, we compared Matlab implementations of the uniformization- based sampler (which we call ‘uniformization’), its thinning-based generalization (we just call this ‘thinning’) and a particle MCMC sampler. The first two samplers were set up as in the last section, while particle MCMC was run with 20 particles.

All three samplers were applied to a simple 3 state MJP. Two of the states of this system had leaving rates equal to 1, while the leaving rate of the third state was varied from 1 to 20 (call this rate γ). On leaving state i, the probability of transitioning to state j = (i + 1) mod 3 was uniformly drawn between 0 and 1:

pi(j) ∼ U (0, 1) ∀i, with j = (i + 1) mod 3 (7.6)

Thus, the transition probability to (i + 2) mod 3 was just 1 − pi(j).

Following this procedure, we constructed 10 random parameterizations of the MJP for each setting of γ. We then distributed 5 random observation times over the interval [0, 10]; these observations were set to randomly favour one state over the others by a factor of 100. As insubsection 6.6.1, the likelihood functions were raised to an inverse temperature inv, and we considered 3 settings of this parameter: ‘low’ (0.1), ‘mid’ (0.5) and ‘high’ (0.9).

For each inverse temperature setting, and for each setting of γ, we evaluated the per- formance of the three samplers on the 10 random MJPs. Figure 7.5 shows the results for the low, medium and high settings of inv. Each plot shows the number of effective

The effect of an unstable state 122 1 2 5 10 20 0 20 40 60 80 100

Effective samples per second

Uniformization Thinning particle MCMC 1 2 5 10 20 0 20 40 60 80 100

Effective samples per second

Uniformization Thinning particle MCMC 1 2 5 10 20 0 20 40 60 80

Effective samples per second

Uniformization Thinning particle MCMC

Figure 7.5: Comparison of samplers as the leaving rate γ of a state increases. Temperature decreases from top to botton

samples (estimated as inchapter 6) produced per unit time, for increasing values of γ.

Firstly, we see that the two samplers significantly outperform the particle MCMC sampler. The Markov structure of the MJP makes our Poisson samplers very natural and efficient (in particular, they are much simpler than the samplers for the semi-

Discussion 123

Markov process). The dependencies introduced by the shared Poisson processes is also much weaker than with the sMJP. Additionally, running a particle filter with 20 particles took about twice as long as the other two samplers.

Next, we find that while both the uniformization and the thinning samplers perform comparably for low values of γ, the thinning sampler starts to outperform uniformiza- tion for γ’s greater than 2. In fact, for weak observations and large γs, even particle MCMC outperforms uniformization.

7.5

Discussion

In this chapter, we applied our dependent-thinning based sampler to MJPs, showing under what circumstances it offers a more efficient approach to inference than uni- formization. In our experiments, we compared the two samplers on a queuing model as well as an MJP with one very unstable state.

In our experiments we looked at M/M/c/c queuing systems, though it is possible to generalize to other systems. Examples include the M/M/c queue (this has c servers, but unlike the lossy M/M/c/c systems, jobs are buffered in an infinite queue). Now, the state of the system must include the state of the queue. In general, we can look at M/M/c/k systems with c servers, and a queue of size k. Other generalizations include G/G/c/k queues, where the arrival and service times are generalized beyond the memoryless exponential. Similarly, we can generalize the birth-death nature of these processes to allow global state changes (such as catastrophies where the system is reset, or the parameters are modulated by some external factor). We can also look at networks of interacting queues, the Lotka-Volterra model ofchapter 4being an example of such a system.

Chapter 8

Spatial repulsive point processes

8.1

Introduction

In this chapter, we show how ideas from previous chapters can be extended from the real line to more general spaces. We shall restrict outselves to spatial point processes defined on two-dimensional Euclidean spaces, although it should be clear how these ideas generalize to more complex spaces. Spatial point processes find wide use in fields such as ecology (Hill, 1973), geography (Kendall, 1939), epidemiology (Knox,

2004), sociology (Hansford-Miller,1968), astronomy (Peebles,1974) etc. As one might imagine, the simplest and most popular model for such processes is the Poisson process. However, the independence property of the Poisson process is a simplification that is often unsuitable for modelling applications, and one might also wish to capture interactions between nearby events. For example, when a point process is used to model the distribution of trees in a geographical area, competition for light and other resources would suggest an inter-event distance that is more spread out than the Poisson process (Strand, 1972). Other applications where modelling such interactions is important include the distribution of cities (Glass and Tobler, 1971), galaxies (Peebles, 1974), infected agents in epidemiological studies (Jewell et al.,2009) etc.

Inchapter 5, we saw that point processes on the real line could deviate from the Poisson by either being more ‘bursty’ or more ‘refractory’. In higher dimensions, these are called clustered and repulsive point processes respectively. Our focus in this chapter will be the latter, characterized by being more regular (underdispersed) than the Poisson pro- cess. The physical reasons for such repulsion could be competition for finite resources (in the case of cities or trees, for example), interaction between rigid objects (such as cells) or repulsive forces between particles. However, developing a flexible and tractable statistical framework to study such repulsiveness is not straightforward on spaces more complicated than the real line. For the latter, we saw a powerful and convenient frame- work, viz. that of renewal processes. In essence, renewal processes exploit the ordering of the real line to define a Markov process where the time of an event depends only on

Introduction 125

the time since the last event∗. By allowing these waiting times to have distributions other than the exponential, one can define more flexible classes of point processes. Such an approach does not generalize easily to higher dimensions, however. For instance, consider the avoidance function, a(A); this is the probability that no events occur in a set A (Daley and Vere-Jones,2008). For the homogeneous Poisson with intensity λ, letting µ(A) represent the area of this set, we have fromequation (2.2)that this proba- bility decays exponentially with the area of the set (i.e. P (N (A) = 0) = exp(−λµ(A))). As with renewal processes, one might try to generalize this, noting from Daley and Vere-Jones(2008) that a simple† point process is completely specified by its avoidance function evaluated on all measurable sets. However, care needs to be taken to ensure that such a process is well defined, since unlike the renewal process, such a general- ization does not provide us with a direct constructive definition of the point process. Additionally, the specification above does not intuitively describe the nature of, say, pairwise interactions between events. Inference over any parameters of the avoidance function is also not straightforward.

A more direct framework for modelling interactions in point processes is that of Gibbs processes (Daley and Vere-Jones, 2008). Such processes arose from the statistical physics literature to describe systems of interacting particles. A Gibbs process as- signs a potential energy U (S) to any configuration of events S = {s1, · · · , sn}, defined most generally as:

U ({s1, · · · , sn}) = n X i=1 X 1≤j1<···<ji≤n ψi(sj1, · · · , sji) (8.1)

where ψi is an ith order potential term. Usually, interactions are limited to pairwise interactions, so that the energy is given by

U ({s1, · · · , sn}) = n X i=1 ψ1(si) + n X i=1 n X j=i+1 ψ2(si, sj) (8.2)

By choosing the pairwise potentials appropriately, we can flexibly model different kinds of interactions. Usually, the interaction kernels are chosen to be stationary, depending only on the distance r between the two points. Typical choices include

ψ2(r) = − log(1 − e−(r/σ)

2

) (8.3)

ψ2(r) = −(σ/r)n (8.4)

∗

One can easily generalize to more complicated dependencies on the past.

†

Mat´ern repulsive point processes 126

Alternately, we can have ‘hardcore’ processes with interaction potentials defined as

ψ2(r) = (

∞ r ≤ R

0 r > R (8.5)

Recalling the notion of the Janossy density of a point processes (section 2.4), the prob- ability density of any configuration is then proportional to its exponentiated negative energy. Letting θ represent the parameters that characterize the potential energy, we have

p(S|θ) = exp(−U (S; θ))

Z(θ) (8.6)

Here, we see the price we have to pay for the flexibility afforded by this modelling framework. The normalization constant Z(θ) is usually intractable, making even sam- pling from the prior difficult (typically, this requires a coupling from the past approach (Møller and Waagepetersen,2007)). Inference over the parameters usually proceeds by maximum likelihood or pseudolikelihood methods (Møller and Waagepetersen, 2007;

Mateu and Montes,2001).