On May 3rd, 2015, Pedro Vilanova successfully defended his Ph.D. Thesis entitled "Multilevel Approximations of Markovian Jump Processes with Applications in Communication Networks".
Supervisor: Prof. Raul Tempone (KAUST - KSA)
Committee Members: Prof. David Keyes (KAUST - KSA)
Prof. Diogo Gomes (KAUST - KSA)
Prof. Basem Shihada (KAUST - KSA)
Dr. Gerardo Rubino (INRIA - France)
External Examiner: Prof. Boualem Djehiche (KTH - Sweden)
Abstract:
This thesis focuses on the development and analysis of efficient simulation and inference techniques for Markovian pure jump processes with a view towards applications in dense communication networks. The first part of this work proposes novel numerical methods to estimate, in an efficient and accurate way, observables from realizations of Markovian jump processes. In particular, hybrid Monte Carlo type methods are developed that combine the exact and approximate simulation algorithms to exploit their respective advantages. These methods are tailored to keep a global computational error below a prescribed global error tolerance and within a given statistical confidence level. Indeed, the computational work of these methods is similar to the one of an exact method, but with a smaller constant. Finally, the methods are extended to systems with a disparity of time scales. The second part develops novel inference methods to estimate the parameters of Markovian pure jump process. First, an indirect inference approach is presented, which is based on upscaled representations and does not require sampling. This method is simpler than dealing directly with the likelihood of the process, which, in general, cannot be expressed in closed form and whose maximization requires computationally intensive sampling techniques. Second, a forward-reverse Monte Carlo Expectation-Maximization algorithm is provided to approximate a local maximum or saddle point of the likelihood function of the parameters given a set of observations.
Related research:
Multiscale Inference for Pure Jump Processes
Multilevel Approximation of Stochastic Reaction Networks
The forward-reverse algorithm for stochastic reaction networks with applications to statistical inference
