Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices.

Modeling correlation (and covariance) matrices can be challenging due to the positive-definiteness constraint and potential high-dimensionality. Our approach is to decompose the covariance matrix into the correlation and variance matrices and propose a novel Bayesian framework based on modeling the correlations as products of unit vectors. By specifying a wide range of distributions on a sphere (e.g. the squared-Dirichlet distribution), the proposed approach induces flexible prior distributions for covariance matrices (that go beyond the commonly used inverse-Wishart prior). For modeling real-life spatio-temporal processes with complex dependence structures, we extend our method to dynamic cases and introduce unit-vector Gaussian process priors in order to capture the evolution of correlation among components of a multivariate time series. To handle the intractability of the resulting posterior, we introduce the adaptive Δ-Spherical Hamiltonian Monte Carlo. We demonstrate the validity and flexibility of our proposed framework in a simulation study of periodic processes and an analysis of rat's local field potential activity in a complex sequence memory task.

Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation.

We present geodesic Lagrangian Monte Carlo, an extension of Hamiltonian Monte Carlo for sampling from posterior distributions defined on general Riemannian manifolds. We apply this new algorithm to Bayesian inference on symmetric or Hermitian positive definite matrices. To do so, we exploit the Riemannian structure induced by Cartan's canonical metric. The geodesics that correspond to this metric are available in closed-form and-within the context of Lagrangian Monte Carlo-provide a principled way to travel around the space of positive definite matrices. Our method improves Bayesian inference on such matrices by allowing for a broad range of priors, so we are not limited to conjugate priors only. In the context of spectral density estimation, we use the (non-conjugate) complex reference prior as an example modeling option made available by the algorithm. Results based on simulated and real-world multivariate time series are presented in this context, and future directions are outlined.

phylodyn: an R package for phylodynamic simulation and inference.

We introduce phylodyn, an r package for phylodynamic analysis based on gene genealogies. The package's main functionality is Bayesian nonparametric estimation of effective population size fluctuations over time. Our implementation includes several Markov chain Monte Carlo-based methods and an integrated nested Laplace approximation-based approach for phylodynamic inference that have been developed in recent years. Genealogical data describe the timed ancestral relationships of individuals sampled from a population of interest. Here, individuals are assumed to be sampled at the same point in time (isochronous sampling) or at different points in time (heterochronous sampling); in addition, sampling events can be modelled with preferential sampling, which means that the intensity of sampling events is allowed to depend on the effective population size trajectory. We assume the coalescent and the sequentially Markov coalescent processes as generative models of genealogies. We include several coalescent simulation functions that are useful for testing our phylodynamics methods via simulation studies. We compare the performance and outputs of various methods implemented in phylodyn and outline their strengths and weaknesses. r package phylodyn is available at https://github.com/mdkarcher/phylodyn.

Bayesian uncertainty quantification for transmissibility of influenza, norovirus and Ebola using information geometry.

Infectious diseases exert a large and in many contexts growing burden on human health, but violate most of the assumptions of classical epidemiological statistics and hence require a mathematically sophisticated approach. Viral shedding data are collected during human studies-either where volunteers are infected with a disease or where existing cases are recruited-in which the levels of live virus produced over time are measured. These have traditionally been difficult to analyse due to strong, complex correlations between parameters. Here, we show how a Bayesian approach to the inverse problem together with modern Markov chain Monte Carlo algorithms based on information geometry can overcome these difficulties and yield insights into the disease dynamics of two of the most prevalent human pathogens-influenza and norovirus-as well as Ebola virus disease.

Markov Chain Monte Carlo from Lagrangian Dynamics.

Hamiltonian Monte Carlo (HMC) improves the computational e ciency of the Metropolis-Hastings algorithm by reducing its random walk behavior. Riemannian HMC (RHMC) further improves the performance of HMC by exploiting the geometric properties of the parameter space. However, the geometric integrator used for RHMC involves implicit equations that require fixed-point iterations. In some cases, the computational overhead for solving implicit equations undermines RHMC's benefits. In an attempt to circumvent this problem, we propose an explicit integrator that replaces the momentum variable in RHMC by velocity. We show that the resulting transformation is equivalent to transforming Riemannian Hamiltonian dynamics to Lagrangian dynamics. Experimental results suggests that our method improves RHMC's overall computational e ciency in the cases considered. All computer programs and data sets are available online (http://www.ics.uci.edu/~babaks/Site/Codes.html) in order to allow replication of the results reported in this paper.

An efficient Bayesian inference framework for coalescent-based nonparametric phylodynamics.

MOTIVATION: The field of phylodynamics focuses on the problem of reconstructing population size dynamics over time using current genetic samples taken from the population of interest. This technique has been extensively used in many areas of biology but is particularly useful for studying the spread of quickly evolving infectious diseases agents, e.g. influenza virus. Phylodynamic inference uses a coalescent model that defines a probability density for the genealogy of randomly sampled individuals from the population. When we assume that such a genealogy is known, the coalescent model, equipped with a Gaussian process prior on population size trajectory, allows for nonparametric Bayesian estimation of population size dynamics. Although this approach is quite powerful, large datasets collected during infectious disease surveillance challenge the state-of-the-art of Bayesian phylodynamics and demand inferential methods with relatively low computational cost. RESULTS: To satisfy this demand, we provide a computationally efficient Bayesian inference framework based on Hamiltonian Monte Carlo for coalescent process models. Moreover, we show that by splitting the Hamiltonian function, we can further improve the efficiency of this approach. Using several simulated and real datasets, we show that our method provides accurate estimates of population size dynamics and is substantially faster than alternative methods based on elliptical slice sampler and Metropolis-adjusted Langevin algorithm. AVAILABILITY AND IMPLEMENTATION: The R code for all simulation studies and real data analysis conducted in this article are publicly available at http://www.ics.uci.edu/∼slan/lanzi/CODES.html and in the R package phylodyn available at https://github.com/mdkarcher/phylodyn. CONTACT: S.Lan@warwick.ac.uk or babaks@uci.edu SUPPLEMENTARY INFORMATION: Supplementary data are available at Bioinformatics online.

A semiparametric Bayesian model for detecting synchrony among multiple neurons.

We propose a scalable semiparametric Bayesian model to capture dependencies among multiple neurons by detecting their cofiring (possibly with some lag time) patterns over time. After discretizing time so there is at most one spike at each interval, the resulting sequence of 1s (spike) and 0s (silence) for each neuron is modeled using the logistic function of a continuous latent variable with a gaussian process prior. For multiple neurons, the corresponding marginal distributions are coupled to their joint probability distribution using a parametric copula model. The advantages of our approach are as follows. The nonparametric component (i.e., the gaussian process model) provides a flexible framework for modeling the underlying firing rates, and the parametric component (i.e., the copula model) allows us to make inferences regarding both contemporaneous and lagged relationships among neurons. Using the copula model, we construct multivariate probabilistic models by separating the modeling of univariate marginal distributions from the modeling of a dependence structure among variables. Our method is easy to implement using a computationally efficient sampling algorithm that can be easily extended to high-dimensional problems. Using simulated data, we show that our approach could correctly capture temporal dependencies in firing rates and identify synchronous neurons. We also apply our model to spike train data obtained from prefrontal cortical areas.

Spherical Hamiltonian Monte Carlo for Constrained Target Distributions.

Statistical models with constrained probability distributions are abundant in machine learning. Some examples include regression models with norm constraints (e.g., Lasso), probit models, many copula models, and Latent Dirichlet Allocation (LDA) models. Bayesian inference involving probability distributions confined to constrained domains could be quite challenging for commonly used sampling algorithms. For such problems, we propose a novel Markov Chain Monte Carlo (MCMC) method that provides a general and computationally efficient framework for handling boundary conditions. Our method first maps the D-dimensional constrained domain of parameters to the unit ball [Formula: see text], then augments it to a D-dimensional sphere SD such that the original boundary corresponds to the equator of SD . This way, our method handles the constraints implicitly by moving freely on the sphere generating proposals that remain within boundaries when mapped back to the original space. To improve the computational efficiency of our algorithm, we divide the dynamics into several parts such that the resulting split dynamics has a partial analytical solution as a geodesic flow on the sphere. We apply our method to several examples including truncated Gaussian, Bayesian Lasso, Bayesian bridge regression, and a copula model for identifying synchrony among multiple neurons. Our results show that the proposed method can provide a natural and efficient framework for handling several types of constraints on target distributions.

Wormhole Hamiltonian Monte Carlo.

In machine learning and statistics, probabilistic inference involving multimodal distributions is quite difficult. This is especially true in high dimensional problems, where most existing algorithms cannot easily move from one mode to another. To address this issue, we propose a novel Bayesian inference approach based on Markov Chain Monte Carlo. Our method can effectively sample from multimodal distributions, especially when the dimension is high and the modes are isolated. To this end, it exploits and modifies the Riemannian geometric properties of the target distribution to create wormholes connecting modes in order to facilitate moving between them. Further, our proposed method uses the regeneration technique in order to adapt the algorithm by identifying new modes and updating the network of wormholes without affecting the stationary distribution. To find new modes, as opposed to redis-covering those previously identified, we employ a novel mode searching algorithm that explores a residual energy function obtained by subtracting an approximate Gaussian mixture density (based on previously discovered modes) from the target density function.