Bayesian Modeling and Adaptive Monte Carlo with Geophysics Applications

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Wang, Jianyu


Wolpert, Robert L
Schmidler, Scott C

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The first part of the thesis focuses on the development of Bayesian modeling motivated by geophysics applications. In Chapter 2, we model the frequency of pyroclastic flows collected from the Soufriere Hills volcano. Multiple change points within the dataset reveal several limitations of existing methods in literature. We propose Bayesian hierarchical models (BBH) by introducing an extra level of hierarchy with hyper parameters, adding a penalty term to constrain close consecutive rates, and using a mixture prior distribution to more accurately match certain circumstances in reality. We end the chapter with a description of the prediction procedure, which is the biggest advantage of the BBH in comparison with other existing methods. In Chapter 3, we develop new statistical techniques to model and relate three complex processes and datasets: the process of extrusion of magma into the lava dome, the growth of the dome as measured by its height, and the rockfalls as an indication of the dome's instability. First, we study the dynamic Negative Binomial branching process and use it to model the rockfalls. Moreover, a generalized regression model is proposed to regress daily rockfall numbers on the extrusion rate and dome height. Furthermore, we solve an inverse problem from the regression model and predict extrusion rate based on rockfalls and dome height.

The other focus of the thesis is adaptive Markov chain Monte Carlo (MCMC) method. In Chapter 4, we improve upon the Wang-Landau (WL) algorithm. The WL algorithm is an adaptive sampling scheme that modifies the target distribution to enable the chain to visit low-density regions of the state space. However, the approach relies heavily on a partition of the state space that is left to the user to specify. As a result, the implementation and the use of the algorithm are time-consuming and less automatic. We propose an automatic, adaptive partitioning scheme which continually refines the initial partition as needed during sampling. We show that this overcomes the limitations of the input user-specified partition, making the algorithm significantly more automatic and user-friendly while also making the performance dramatically more reliable and robust. In Chapter 5, we consider the convergence and autocorrelation aspects of MCMC. We propose an Exploration/Exploitation (XX) approach to constructing adaptive MCMC algorithms, which combines adaptation schemes of distinct types. The exploration piece uses adaptation strategies aiming at exploring new regions of the target distribution and thus improving the rate of convergence to equilibrium. The exploitation piece involves an adaptation component which decreases autocorrelation for sampling among regions already discovered. We demonstrate that the combined XX algorithm significantly outperforms either original algorithm on difficult multimodal sampling problems.





Wang, Jianyu (2013). Bayesian Modeling and Adaptive Monte Carlo with Geophysics Applications. Dissertation, Duke University. Retrieved from


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