Assessing Reliability Using Developmental and Operational Test Data
|
|
- Arleen Bruce
- 5 years ago
- Views:
Transcription
1 Assessing Reliability Using Developmental and Operational Test Data Martin Wayne, PhD, U.S. AMSAA Mohammad Modarres, PhD, University of Maryland, College Park Presented at the RAMS-04 Symposium Colorado Springs, Colorado Tuesday, January 8, 04, :5 AM
2 Agenda Background Overarching Model Framework Reliability growth in Developmental Testing (DT) Combing DT and Operational Testing (OT) Results Performance Comparisons Conclusions and Future Work
3 Background New military product development generally contains developmental reliability growth testing as design matures to final state Developmental testing environment may not completely represent operational usage environment Operators are different Loads and stresses may be different Reliability currently assessed in single operational test Final mature configuration Generally short and expensive tests 3
4 Problems with Current Operational Assessment Probability of Acceptance Failures T = 400 M = true but unknown reliability of the system and c = maximum number of allowable failures T = total demonstra<on test length True MTBF Short test lengths can lead to flat Operating Characteristic (OC) curves. This often results in test plans in which no failures or a single failure are allowable. Resource constraints and technology maturity may make demonstration infeasible 4
5 Proposed Alternative Assessment Utilize data available from developmental testing within Bayesian framework Account for reliability growth during development Account for differences in test environment/conduct Benefits include: Narrower probability intervals Reduced testing requirements, lower costs, etc. Can use additional data sources in reliability assessment 5
6 Overarching Framework Developmental Test (DT) Data Prior Distribution (Empirical Bayes) Failure Mode Posterior Result System Level Posterior DT Distribution Updated Prior Distribution Operational Test (OT) Data Posterior Distribution Results from DT form prior distribution for OT System Level Posterior OT Result 6
7 Likelihood for DT Reliability Growth Accounts for arbitrary corrective action strategy For each failure mode, i, in the system assume: Failure intensity is constant before and after corrective action n failures in demonstration test time T DT with n occurring before corrective action Corrective action at time v with Fix Effectiveness Factor (FEF) d Likelihood given by l( t i,,t i,,...,t i,ni,n i,n i, λ ) i = d i ( ) n i n i, n λ i i exp λ i v i ( d i )( T DT v i ) ( ) Likelihood allows for arbitrary reliability growth 7
8 Choice of Prior Distribution on Failure Intensity % Total Failure Rate **No<onal data p ( λ) = Γ α λ exp λ α ( α ) Provides inherent connection between failure modes Assumes failure mode failure intensities realized from common Gamma(α, ) distribution Gamma Follows vital-few, trivial-many construct Can use Empirical Bayes to estimate parameters p( λ i n i ) = Γ α n i λ i αn i ( ) v d i ( i )( T DT v i ) ( αn i ) exp λ i v d i ( i )( T DT v i ) 8
9 System Level Result System level estimate: Summing over m total failure modes Take limit as m becomes large n number of failures for each of the m observed failure modes, i. For m observed modes, system level mean is Observed E[ λ s ] = m ( d i )n i v i= i ( d i )( T v i ) where λ B = mα prior mean λ B T Unobserved Estimate includes contribution from unobserved modes 9
10 System Level Posterior Distribution Posterior can be simulated to determine approximate distribution Exactly Gamma if corrective actions are delayed Gamma approximation reasonable for arbitrary corrective action strategies µ = = E [ λs ] [ λs ] E[ λ ] Var s µ λs ~ Gamma α =, Can use mean and variance to develop system level posterior 0
11 Incorporating Operational Data Generally have increased failure intensity in operational environment DT conditions more benign, human factors, etc. Define MTBF as reciprocal of mode failure intensity λ Assume 00γ% decrease (degradation factor) in instantaneous MTBF (/λ) such that λ = γ λ DT ( ) OT Transformed prior found using properties of Gamma distribution λ OT γ = λ DT ( γ ) ~ Gamma α, γ ( ) Scaled prior accounts for reliability degradation
12 Marginal Posterior Distribution Assume n failures in operational test length T Treats degradation factor γ as nuisance parameter Marginal posterior development Compute joint posterior Compute marginal distribution by integrating over nuisance parameter ( ) = λ OT l t OT,,t OT,,,t OT,nOT, n OT λ OT p( λ OT n OT ) = Γ Λ,Γ Use Beta prior distribution for γ ( ) n OT exp λ OT T OT p( γ ) p( λ OT γ )l( t OT,,t OT,,,t OT,nOT,n OT λ ) OT γ p( γ ) p( λ OT γ )l( t OT,,t OT,,,t OT,nOT,n OT λ OT ) λ OT γ Marginal posterior probabilistically accounts for degradation
13 OT Posterior Assessment Posterior mean is scaled mean for Gamma distribution [ ] on slide 9 defined as, where,,,,,, µ µ µ µ µ µ λ = T b a a n F T b a a n F T n n E s Standard posterior mean for Gamma Ratio of Hypergeometric functions accounts for DT/OT degradation 3
14 System Level OT Posterior Distribution Exact system-level posterior can be simulated using Markov Chain Monte Carlo methods Posterior well approximated with Gamma distribution Use approximate Gamma to develop probability intervals p(λ) Can use mean and variance to develop system level posterior λ 4
15 Performance Comparisons Case Ini<al DT MTBF DT Length OT Length Mean Rela<ve Error 0.4 Simulation developed to examine relative error between model estimate and true value Classical Bayes 3 Full error distribution comparisons available in paper Bayesian approach performs better than current methods 5
16 Conclusions/Future Work Use of reliability data from developmental testing provides additional information that increases performance of overall reliability estimate Bayesian probabilistic approach provides flexibility Can utilize multiple information sources Can include additional sources of uncertainty Current/future efforts include: Modeling uncertainty on FEF values Developing prior information from additional data sources Analogous results for discrete systems 6
ABSTRACT. improving the underlying reliability. Traditional models for assessing reliability
ABSTRACT Title of dissertation: METHODOLOGY FOR ASSESSING RELIABILITY GROWTH USING MULTIPLE INFORMATION SOURCES Martin Wayne, Doctor of Philosophy, 2013 Dissertation directed by: Professor Mohammad Modarres
More informationReliability Monitoring Using Log Gaussian Process Regression
COPYRIGHT 013, M. Modarres Reliability Monitoring Using Log Gaussian Process Regression Martin Wayne Mohammad Modarres PSA 013 Center for Risk and Reliability University of Maryland Department of Mechanical
More informationDavid Giles Bayesian Econometrics
David Giles Bayesian Econometrics 1. General Background 2. Constructing Prior Distributions 3. Properties of Bayes Estimators and Tests 4. Bayesian Analysis of the Multiple Regression Model 5. Bayesian
More informationModule 8. Lecture 5: Reliability analysis
Lecture 5: Reliability analysis Reliability It is defined as the probability of non-failure, p s, at which the resistance of the system exceeds the load; where P() denotes the probability. The failure
More informationeqr094: Hierarchical MCMC for Bayesian System Reliability
eqr094: Hierarchical MCMC for Bayesian System Reliability Alyson G. Wilson Statistical Sciences Group, Los Alamos National Laboratory P.O. Box 1663, MS F600 Los Alamos, NM 87545 USA Phone: 505-667-9167
More informationA Bayesian Approach to Phylogenetics
A Bayesian Approach to Phylogenetics Niklas Wahlberg Based largely on slides by Paul Lewis (www.eeb.uconn.edu) An Introduction to Bayesian Phylogenetics Bayesian inference in general Markov chain Monte
More informationBayesian Inference and MCMC
Bayesian Inference and MCMC Aryan Arbabi Partly based on MCMC slides from CSC412 Fall 2018 1 / 18 Bayesian Inference - Motivation Consider we have a data set D = {x 1,..., x n }. E.g each x i can be the
More informationRisk Estimation and Uncertainty Quantification by Markov Chain Monte Carlo Methods
Risk Estimation and Uncertainty Quantification by Markov Chain Monte Carlo Methods Konstantin Zuev Institute for Risk and Uncertainty University of Liverpool http://www.liv.ac.uk/risk-and-uncertainty/staff/k-zuev/
More informationBayesian Regression Linear and Logistic Regression
When we want more than point estimates Bayesian Regression Linear and Logistic Regression Nicole Beckage Ordinary Least Squares Regression and Lasso Regression return only point estimates But what if we
More informationLecture 2: From Linear Regression to Kalman Filter and Beyond
Lecture 2: From Linear Regression to Kalman Filter and Beyond January 18, 2017 Contents 1 Batch and Recursive Estimation 2 Towards Bayesian Filtering 3 Kalman Filter and Bayesian Filtering and Smoothing
More informationSTA 4273H: Sta-s-cal Machine Learning
STA 4273H: Sta-s-cal Machine Learning Russ Salakhutdinov Department of Computer Science! Department of Statistical Sciences! rsalakhu@cs.toronto.edu! h0p://www.cs.utoronto.ca/~rsalakhu/ Lecture 2 In our
More informationBayesian Inference for Normal Mean
Al Nosedal. University of Toronto. November 18, 2015 Likelihood of Single Observation The conditional observation distribution of y µ is Normal with mean µ and variance σ 2, which is known. Its density
More informationLecture 2: From Linear Regression to Kalman Filter and Beyond
Lecture 2: From Linear Regression to Kalman Filter and Beyond Department of Biomedical Engineering and Computational Science Aalto University January 26, 2012 Contents 1 Batch and Recursive Estimation
More informationDensity Estimation. Seungjin Choi
Density Estimation Seungjin Choi Department of Computer Science and Engineering Pohang University of Science and Technology 77 Cheongam-ro, Nam-gu, Pohang 37673, Korea seungjin@postech.ac.kr http://mlg.postech.ac.kr/
More informationStrong Lens Modeling (II): Statistical Methods
Strong Lens Modeling (II): Statistical Methods Chuck Keeton Rutgers, the State University of New Jersey Probability theory multiple random variables, a and b joint distribution p(a, b) conditional distribution
More informationBayesian Modeling of Accelerated Life Tests with Random Effects
Bayesian Modeling of Accelerated Life Tests with Random Effects Ramón V. León Avery J. Ashby Jayanth Thyagarajan Joint Statistical Meeting August, 00 Toronto, Canada Abstract We show how to use Bayesian
More informationRemaining Useful Performance Analysis of Batteries
Remaining Useful Performance Analysis of Batteries Wei He, Nicholas Williard, Michael Osterman, and Michael Pecht Center for Advanced Life Engineering, University of Maryland, College Park, MD 20742, USA
More informationMonte Carlo in Bayesian Statistics
Monte Carlo in Bayesian Statistics Matthew Thomas SAMBa - University of Bath m.l.thomas@bath.ac.uk December 4, 2014 Matthew Thomas (SAMBa) Monte Carlo in Bayesian Statistics December 4, 2014 1 / 16 Overview
More informationBivariate Degradation Modeling Based on Gamma Process
Bivariate Degradation Modeling Based on Gamma Process Jinglun Zhou Zhengqiang Pan Member IAENG and Quan Sun Abstract Many highly reliable products have two or more performance characteristics (PCs). The
More informationLecture: Gaussian Process Regression. STAT 6474 Instructor: Hongxiao Zhu
Lecture: Gaussian Process Regression STAT 6474 Instructor: Hongxiao Zhu Motivation Reference: Marc Deisenroth s tutorial on Robot Learning. 2 Fast Learning for Autonomous Robots with Gaussian Processes
More informationUNDERSTANDING DATA ASSIMILATION APPLICATIONS TO HIGH-LATITUDE IONOSPHERIC ELECTRODYNAMICS
Monday, June 27, 2011 CEDAR-GEM joint workshop: DA tutorial 1 UNDERSTANDING DATA ASSIMILATION APPLICATIONS TO HIGH-LATITUDE IONOSPHERIC ELECTRODYNAMICS Tomoko Matsuo University of Colorado, Boulder Space
More informationQuantile POD for Hit-Miss Data
Quantile POD for Hit-Miss Data Yew-Meng Koh a and William Q. Meeker a a Center for Nondestructive Evaluation, Department of Statistics, Iowa State niversity, Ames, Iowa 50010 Abstract. Probability of detection
More informationMachine Learning Techniques for Computer Vision
Machine Learning Techniques for Computer Vision Part 2: Unsupervised Learning Microsoft Research Cambridge x 3 1 0.5 0.2 0 0.5 0.3 0 0.5 1 ECCV 2004, Prague x 2 x 1 Overview of Part 2 Mixture models EM
More informationStatistics in Environmental Research (BUC Workshop Series) II Problem sheet - WinBUGS - SOLUTIONS
Statistics in Environmental Research (BUC Workshop Series) II Problem sheet - WinBUGS - SOLUTIONS 1. (a) The posterior mean estimate of α is 14.27, and the posterior mean for the standard deviation of
More informationBayesian Graphical Models
Graphical Models and Inference, Lecture 16, Michaelmas Term 2009 December 4, 2009 Parameter θ, data X = x, likelihood L(θ x) p(x θ). Express knowledge about θ through prior distribution π on θ. Inference
More informationAssessment of uncertainty in computer experiments: from Universal Kriging to Bayesian Kriging. Céline Helbert, Delphine Dupuy and Laurent Carraro
Assessment of uncertainty in computer experiments: from Universal Kriging to Bayesian Kriging., Delphine Dupuy and Laurent Carraro Historical context First introduced in the field of geostatistics (Matheron,
More informationCSC 2541: Bayesian Methods for Machine Learning
CSC 2541: Bayesian Methods for Machine Learning Radford M. Neal, University of Toronto, 2011 Lecture 3 More Markov Chain Monte Carlo Methods The Metropolis algorithm isn t the only way to do MCMC. We ll
More informationMAT Inverse Problems, Part 2: Statistical Inversion
MAT-62006 Inverse Problems, Part 2: Statistical Inversion S. Pursiainen Department of Mathematics, Tampere University of Technology Spring 2015 Overview The statistical inversion approach is based on the
More informationBayesian Methods for Machine Learning
Bayesian Methods for Machine Learning CS 584: Big Data Analytics Material adapted from Radford Neal s tutorial (http://ftp.cs.utoronto.ca/pub/radford/bayes-tut.pdf), Zoubin Ghahramni (http://hunch.net/~coms-4771/zoubin_ghahramani_bayesian_learning.pdf),
More informationStochastic Population Forecasting based on a Combination of Experts Evaluations and accounting for Correlation of Demographic Components
Stochastic Population Forecasting based on a Combination of Experts Evaluations and accounting for Correlation of Demographic Components Francesco Billari, Rebecca Graziani and Eugenio Melilli 1 EXTENDED
More informationBayesian inference. Fredrik Ronquist and Peter Beerli. October 3, 2007
Bayesian inference Fredrik Ronquist and Peter Beerli October 3, 2007 1 Introduction The last few decades has seen a growing interest in Bayesian inference, an alternative approach to statistical inference.
More informationDefault Priors and Effcient Posterior Computation in Bayesian
Default Priors and Effcient Posterior Computation in Bayesian Factor Analysis January 16, 2010 Presented by Eric Wang, Duke University Background and Motivation A Brief Review of Parameter Expansion Literature
More informationMarkov Chain Monte Carlo methods
Markov Chain Monte Carlo methods Tomas McKelvey and Lennart Svensson Signal Processing Group Department of Signals and Systems Chalmers University of Technology, Sweden November 26, 2012 Today s learning
More informationPrinciples of Bayesian Inference
Principles of Bayesian Inference Sudipto Banerjee and Andrew O. Finley 2 Biostatistics, School of Public Health, University of Minnesota, Minneapolis, Minnesota, U.S.A. 2 Department of Forestry & Department
More informationBayesian inference for factor scores
Bayesian inference for factor scores Murray Aitkin and Irit Aitkin School of Mathematics and Statistics University of Newcastle UK October, 3 Abstract Bayesian inference for the parameters of the factor
More informationECE295, Data Assimila0on and Inverse Problems, Spring 2015
ECE295, Data Assimila0on and Inverse Problems, Spring 2015 1 April, Intro; Linear discrete Inverse problems (Aster Ch 1 and 2) Slides 8 April, SVD (Aster ch 2 and 3) Slides 15 April, RegularizaFon (ch
More informationSequential Monte Carlo Methods for Bayesian Computation
Sequential Monte Carlo Methods for Bayesian Computation A. Doucet Kyoto Sept. 2012 A. Doucet (MLSS Sept. 2012) Sept. 2012 1 / 136 Motivating Example 1: Generic Bayesian Model Let X be a vector parameter
More informationPhylogenetics: Bayesian Phylogenetic Analysis. COMP Spring 2015 Luay Nakhleh, Rice University
Phylogenetics: Bayesian Phylogenetic Analysis COMP 571 - Spring 2015 Luay Nakhleh, Rice University Bayes Rule P(X = x Y = y) = P(X = x, Y = y) P(Y = y) = P(X = x)p(y = y X = x) P x P(X = x 0 )P(Y = y X
More informationStatistical Methodology to Optimize Testing for Small Arms
Statistical Methodology to Optimize Testing for Small Arms DISTRIBUTION STATEMENT A. Approved For Public Release. AORS, NOV 214 Kristina Bevec 41.278.472 Kristina.m.bevecmohl.civ@mail.mil Agenda Background
More informationG.J.B.B., VOL.5 (1) 2016:
ON THE MAXIMUM LIKELIHOOD, BAYES AND EMPIRICAL BAYES ESTIMATION FOR THE SHAPE PARAMETER, RELIABILITY AND FAILURE RATE FUNCTIONS OF KUMARASWAMY DISTRIBUTION Nadia H. Al-Noor & Sudad K. Ibraheem College
More informationEstimation of reliability parameters from Experimental data (Parte 2) Prof. Enrico Zio
Estimation of reliability parameters from Experimental data (Parte 2) This lecture Life test (t 1,t 2,...,t n ) Estimate θ of f T t θ For example: λ of f T (t)= λe - λt Classical approach (frequentist
More informationAnswers and expectations
Answers and expectations For a function f(x) and distribution P(x), the expectation of f with respect to P is The expectation is the average of f, when x is drawn from the probability distribution P E
More informationBayesian Inference for the Multivariate Normal
Bayesian Inference for the Multivariate Normal Will Penny Wellcome Trust Centre for Neuroimaging, University College, London WC1N 3BG, UK. November 28, 2014 Abstract Bayesian inference for the multivariate
More informationBayesian Prediction of Code Output. ASA Albuquerque Chapter Short Course October 2014
Bayesian Prediction of Code Output ASA Albuquerque Chapter Short Course October 2014 Abstract This presentation summarizes Bayesian prediction methodology for the Gaussian process (GP) surrogate representation
More informationInfer relationships among three species: Outgroup:
Infer relationships among three species: Outgroup: Three possible trees (topologies): A C B A B C Model probability 1.0 Prior distribution Data (observations) probability 1.0 Posterior distribution Bayes
More information(5) Multi-parameter models - Gibbs sampling. ST440/540: Applied Bayesian Analysis
Summarizing a posterior Given the data and prior the posterior is determined Summarizing the posterior gives parameter estimates, intervals, and hypothesis tests Most of these computations are integrals
More informationCOPYRIGHTED MATERIAL CONTENTS. Preface Preface to the First Edition
Preface Preface to the First Edition xi xiii 1 Basic Probability Theory 1 1.1 Introduction 1 1.2 Sample Spaces and Events 3 1.3 The Axioms of Probability 7 1.4 Finite Sample Spaces and Combinatorics 15
More informationEXAMPLE: INFERENCE FOR POISSON SAMPLING
EXAMPLE: INFERENCE FOR POISSON SAMPLING ERIK QUAEGHEBEUR AND GERT DE COOMAN. REPRESENTING THE DATA Observed numbers of emails arriving in Gert s mailbox between 9am and am on ten consecutive Mondays: 2
More informationA short introduction to INLA and R-INLA
A short introduction to INLA and R-INLA Integrated Nested Laplace Approximation Thomas Opitz, BioSP, INRA Avignon Workshop: Theory and practice of INLA and SPDE November 7, 2018 2/21 Plan for this talk
More informationReview. DS GA 1002 Statistical and Mathematical Models. Carlos Fernandez-Granda
Review DS GA 1002 Statistical and Mathematical Models http://www.cims.nyu.edu/~cfgranda/pages/dsga1002_fall16 Carlos Fernandez-Granda Probability and statistics Probability: Framework for dealing with
More informationAn example to illustrate frequentist and Bayesian approches
Frequentist_Bayesian_Eample An eample to illustrate frequentist and Bayesian approches This is a trivial eample that illustrates the fundamentally different points of view of the frequentist and Bayesian
More informationThe Bayesian Choice. Christian P. Robert. From Decision-Theoretic Foundations to Computational Implementation. Second Edition.
Christian P. Robert The Bayesian Choice From Decision-Theoretic Foundations to Computational Implementation Second Edition With 23 Illustrations ^Springer" Contents Preface to the Second Edition Preface
More informationPrinciples of Bayesian Inference
Principles of Bayesian Inference Sudipto Banerjee University of Minnesota July 20th, 2008 1 Bayesian Principles Classical statistics: model parameters are fixed and unknown. A Bayesian thinks of parameters
More informationMATH c UNIVERSITY OF LEEDS Examination for the Module MATH2715 (January 2015) STATISTICAL METHODS. Time allowed: 2 hours
MATH2750 This question paper consists of 8 printed pages, each of which is identified by the reference MATH275. All calculators must carry an approval sticker issued by the School of Mathematics. c UNIVERSITY
More informationA Probabilistic Framework for solving Inverse Problems. Lambros S. Katafygiotis, Ph.D.
A Probabilistic Framework for solving Inverse Problems Lambros S. Katafygiotis, Ph.D. OUTLINE Introduction to basic concepts of Bayesian Statistics Inverse Problems in Civil Engineering Probabilistic Model
More informationComparison of Three Calculation Methods for a Bayesian Inference of Two Poisson Parameters
Journal of Modern Applied Statistical Methods Volume 13 Issue 1 Article 26 5-1-2014 Comparison of Three Calculation Methods for a Bayesian Inference of Two Poisson Parameters Yohei Kawasaki Tokyo University
More informationBayesian Learning. HT2015: SC4 Statistical Data Mining and Machine Learning. Maximum Likelihood Principle. The Bayesian Learning Framework
HT5: SC4 Statistical Data Mining and Machine Learning Dino Sejdinovic Department of Statistics Oxford http://www.stats.ox.ac.uk/~sejdinov/sdmml.html Maximum Likelihood Principle A generative model for
More informationStatistical Inference for Stochastic Epidemic Models
Statistical Inference for Stochastic Epidemic Models George Streftaris 1 and Gavin J. Gibson 1 1 Department of Actuarial Mathematics & Statistics, Heriot-Watt University, Riccarton, Edinburgh EH14 4AS,
More information36-463/663: Hierarchical Linear Models
36-463/663: Hierarchical Linear Models Taste of MCMC / Bayes for 3 or more levels Brian Junker 132E Baker Hall brian@stat.cmu.edu 1 Outline Practical Bayes Mastery Learning Example A brief taste of JAGS
More informationBasics of Uncertainty Analysis
Basics of Uncertainty Analysis Chapter Six Basics of Uncertainty Analysis 6.1 Introduction As shown in Fig. 6.1, analysis models are used to predict the performances or behaviors of a product under design.
More informationParameter Estimation Method Using Bayesian Statistics Considering Uncertainty of Information for RBDO
th World Congress on Structural and Multidisciplinary Optimization 7 th - 2 th, June 205, Sydney Australia Parameter Estimation Method Using Bayesian Statistics Considering Uncertainty of Information for
More informationModeling Rate of Occurrence of Failures with Log-Gaussian Process Models: A Case Study for Prognosis and Health Management of a Fleet of Vehicles
International Journal of Performability Engineering, Vol. 9, No. 6, November 2013, pp. 701-713. RAMS Consultants Printed in India Modeling Rate of Occurrence of Failures with Log-Gaussian Process Models:
More informationPrinciples of Bayesian Inference
Principles of Bayesian Inference Sudipto Banerjee 1 and Andrew O. Finley 2 1 Biostatistics, School of Public Health, University of Minnesota, Minneapolis, Minnesota, U.S.A. 2 Department of Forestry & Department
More informationProbability and Information Theory. Sargur N. Srihari
Probability and Information Theory Sargur N. srihari@cedar.buffalo.edu 1 Topics in Probability and Information Theory Overview 1. Why Probability? 2. Random Variables 3. Probability Distributions 4. Marginal
More informationAn Acoustic Emission Approach to Assess Remaining Useful Life of Aging Structures under Fatigue Loading
An Acoustic Emission Approach to Assess Remaining Useful Life of Aging Structures under Fatigue Loading Mohammad Modarres Presented at the 4th Multifunctional Materials for Defense Workshop 28 August-1
More informationChecking the Reliability of Reliability Models.
Checking the Reliability of Reliability Models. Seminario de Estadística, CIMAT Abril 3, 007. Víctor Aguirre Torres Departmento de Estadística, ITAM Área de Probabilidad y Estadística, CIMAT Credits. Partially
More information17 : Markov Chain Monte Carlo
10-708: Probabilistic Graphical Models, Spring 2015 17 : Markov Chain Monte Carlo Lecturer: Eric P. Xing Scribes: Heran Lin, Bin Deng, Yun Huang 1 Review of Monte Carlo Methods 1.1 Overview Monte Carlo
More informationDiscrete & continuous characters: The threshold model
Discrete & continuous characters: The threshold model Discrete & continuous characters: the threshold model So far we have discussed continuous & discrete character models separately for estimating ancestral
More informationInterpreting lab creep experiments: from single contacts... to interseismic fault models
Interpreting lab creep experiments: from single contacts...... to interseismic fault models Delphine Fitzenz, EOST Strasbourg Steve Hickman, U.S.G.S. Menlo Park Yves Bernabé, EOST, now at MIT Motivation
More informationSTAT 499/962 Topics in Statistics Bayesian Inference and Decision Theory Jan 2018, Handout 01
STAT 499/962 Topics in Statistics Bayesian Inference and Decision Theory Jan 2018, Handout 01 Nasser Sadeghkhani a.sadeghkhani@queensu.ca There are two main schools to statistical inference: 1-frequentist
More informationK. Nishijima. Definition and use of Bayesian probabilistic networks 1/32
The Probabilistic Analysis of Systems in Engineering 1/32 Bayesian probabilistic bili networks Definition and use of Bayesian probabilistic networks K. Nishijima nishijima@ibk.baug.ethz.ch 2/32 Today s
More informationBayesian Inference: Concept and Practice
Inference: Concept and Practice fundamentals Johan A. Elkink School of Politics & International Relations University College Dublin 5 June 2017 1 2 3 Bayes theorem In order to estimate the parameters of
More informationSource Term Estimation for Hazardous Releases
Source Term Estimation for Hazardous Releases Fukushima Workshop NCAR, 22 nd 23 rd February 2012 Dstl/DOC61790 Dr. Gareth Brown Presentation Outline Dstl s approach to Source Term Estimation Recent developments
More informationBayesian Calibration of Simulators with Structured Discretization Uncertainty
Bayesian Calibration of Simulators with Structured Discretization Uncertainty Oksana A. Chkrebtii Department of Statistics, The Ohio State University Joint work with Matthew T. Pratola (Statistics, The
More informationMCMC 2: Lecture 2 Coding and output. Phil O Neill Theo Kypraios School of Mathematical Sciences University of Nottingham
MCMC 2: Lecture 2 Coding and output Phil O Neill Theo Kypraios School of Mathematical Sciences University of Nottingham Contents 1. General (Markov) epidemic model 2. Non-Markov epidemic model 3. Debugging
More informationINVERTED KUMARASWAMY DISTRIBUTION: PROPERTIES AND ESTIMATION
Pak. J. Statist. 2017 Vol. 33(1), 37-61 INVERTED KUMARASWAMY DISTRIBUTION: PROPERTIES AND ESTIMATION A. M. Abd AL-Fattah, A.A. EL-Helbawy G.R. AL-Dayian Statistics Department, Faculty of Commerce, AL-Azhar
More informationProbabilistic Graphical Models
Probabilistic Graphical Models Brown University CSCI 2950-P, Spring 2013 Prof. Erik Sudderth Lecture 12: Gaussian Belief Propagation, State Space Models and Kalman Filters Guest Kalman Filter Lecture by
More informationUsing the negative log-gamma distribution for Bayesian system reliability assessment
Graduate Theses and Dissertations Graduate College 2012 Using the negative log-gamma distribution for Bayesian system reliability assessment Roger Zoh Iowa State University Follow this and additional works
More informationDynamic Multipath Estimation by Sequential Monte Carlo Methods
Dynamic Multipath Estimation by Sequential Monte Carlo Methods M. Lentmaier, B. Krach, P. Robertson, and T. Thiasiriphet German Aerospace Center (DLR) Slide 1 Outline Multipath problem and signal model
More informationDynamic System Identification using HDMR-Bayesian Technique
Dynamic System Identification using HDMR-Bayesian Technique *Shereena O A 1) and Dr. B N Rao 2) 1), 2) Department of Civil Engineering, IIT Madras, Chennai 600036, Tamil Nadu, India 1) ce14d020@smail.iitm.ac.in
More informationIntroduc)on to Bayesian Methods
Introduc)on to Bayesian Methods Bayes Rule py x)px) = px! y) = px y)py) py x) = px y)py) px) px) =! px! y) = px y)py) y py x) = py x) =! y "! y px y)py) px y)py) px y)py) px y)py)dy Bayes Rule py x) =
More informationRecent Advances in Bayesian Inference Techniques
Recent Advances in Bayesian Inference Techniques Christopher M. Bishop Microsoft Research, Cambridge, U.K. research.microsoft.com/~cmbishop SIAM Conference on Data Mining, April 2004 Abstract Bayesian
More informationBayesian networks for multilevel system reliability
Reliability Engineering and System Safety 92 (2007) 1413 1420 www.elsevier.com/locate/ress Bayesian networks for multilevel system reliability Alyson G. Wilson a,,1, Aparna V. Huzurbazar b a Statistical
More informationModelling Operational Risk Using Bayesian Inference
Pavel V. Shevchenko Modelling Operational Risk Using Bayesian Inference 4y Springer 1 Operational Risk and Basel II 1 1.1 Introduction to Operational Risk 1 1.2 Defining Operational Risk 4 1.3 Basel II
More information(Extended) Kalman Filter
(Extended) Kalman Filter Brian Hunt 7 June 2013 Goals of Data Assimilation (DA) Estimate the state of a system based on both current and all past observations of the system, using a model for the system
More informationTowards a Bayesian model for Cyber Security
Towards a Bayesian model for Cyber Security Mark Briers (mbriers@turing.ac.uk) Joint work with Henry Clausen and Prof. Niall Adams (Imperial College London) 27 September 2017 The Alan Turing Institute
More informationParameter Estimation. William H. Jefferys University of Texas at Austin Parameter Estimation 7/26/05 1
Parameter Estimation William H. Jefferys University of Texas at Austin bill@bayesrules.net Parameter Estimation 7/26/05 1 Elements of Inference Inference problems contain two indispensable elements: Data
More informationSession 5B: A worked example EGARCH model
Session 5B: A worked example EGARCH model John Geweke Bayesian Econometrics and its Applications August 7, worked example EGARCH model August 7, / 6 EGARCH Exponential generalized autoregressive conditional
More informationMarkov Chain Monte Carlo (MCMC)
Markov Chain Monte Carlo (MCMC Dependent Sampling Suppose we wish to sample from a density π, and we can evaluate π as a function but have no means to directly generate a sample. Rejection sampling can
More informationEvaluating the value of structural heath monitoring with longitudinal performance indicators and hazard functions using Bayesian dynamic predictions
Evaluating the value of structural heath monitoring with longitudinal performance indicators and hazard functions using Bayesian dynamic predictions C. Xing, R. Caspeele, L. Taerwe Ghent University, Department
More informationMoments of the Reliability, R = P(Y<X), As a Random Variable
International Journal of Computational Engineering Research Vol, 03 Issue, 8 Moments of the Reliability, R = P(Y
More informationPart 1: Expectation Propagation
Chalmers Machine Learning Summer School Approximate message passing and biomedicine Part 1: Expectation Propagation Tom Heskes Machine Learning Group, Institute for Computing and Information Sciences Radboud
More informationSTA 4273H: Statistical Machine Learning
STA 4273H: Statistical Machine Learning Russ Salakhutdinov Department of Statistics! rsalakhu@utstat.toronto.edu! http://www.utstat.utoronto.ca/~rsalakhu/ Sidney Smith Hall, Room 6002 Lecture 7 Approximate
More informationICML Scalable Bayesian Inference on Point processes. with Gaussian Processes. Yves-Laurent Kom Samo & Stephen Roberts
ICML 2015 Scalable Nonparametric Bayesian Inference on Point Processes with Gaussian Processes Machine Learning Research Group and Oxford-Man Institute University of Oxford July 8, 2015 Point Processes
More informationMarkov Chain Monte Carlo
Markov Chain Monte Carlo Recall: To compute the expectation E ( h(y ) ) we use the approximation E(h(Y )) 1 n n h(y ) t=1 with Y (1),..., Y (n) h(y). Thus our aim is to sample Y (1),..., Y (n) from f(y).
More informationACCOUNTING FOR INPUT-MODEL AND INPUT-PARAMETER UNCERTAINTIES IN SIMULATION. <www.ie.ncsu.edu/jwilson> May 22, 2006
ACCOUNTING FOR INPUT-MODEL AND INPUT-PARAMETER UNCERTAINTIES IN SIMULATION Slide 1 Faker Zouaoui Sabre Holdings James R. Wilson NC State University May, 006 Slide From American
More informationBayesian Gaussian Process Regression
Bayesian Gaussian Process Regression STAT8810, Fall 2017 M.T. Pratola October 7, 2017 Today Bayesian Gaussian Process Regression Bayesian GP Regression Recall we had observations from our expensive simulator,
More informationAn introduction to Bayesian statistics and model calibration and a host of related topics
An introduction to Bayesian statistics and model calibration and a host of related topics Derek Bingham Statistics and Actuarial Science Simon Fraser University Cast of thousands have participated in the
More informationBayesian rules of probability as principles of logic [Cox] Notation: pr(x I) is the probability (or pdf) of x being true given information I
Bayesian rules of probability as principles of logic [Cox] Notation: pr(x I) is the probability (or pdf) of x being true given information I 1 Sum rule: If set {x i } is exhaustive and exclusive, pr(x
More informationSTA 4273H: Statistical Machine Learning
STA 4273H: Statistical Machine Learning Russ Salakhutdinov Department of Computer Science! Department of Statistical Sciences! rsalakhu@cs.toronto.edu! h0p://www.cs.utoronto.ca/~rsalakhu/ Lecture 7 Approximate
More information