Simon Mak

Kevin Li, Simon Mak, J. -F Paquet et al.

The Quark-Gluon Plasma (QGP) is a unique phase of nuclear matter, theorized to have filled the Universe shortly after the Big Bang. A critical challenge in studying the QGP is that, to reconcile experimental observables with theoretical parameters, one requires many simulation runs of a complex physics model over a high-dimensional parameter space. Each run is computationally very expensive, requiring thousands of CPU hours, thus limiting physicists to only several hundred runs. Given limited training data for high-dimensional prediction, existing surrogate models often yield poor predictions with high predictive uncertainties, leading to imprecise scientific findings. To address this, we propose a new Additive Multi-Index Gaussian process (AdMIn-GP) model, which leverages a flexible additive structure on low-dimensional embeddings of the parameter space. This is guided by prior scientific knowledge that the QGP is dominated by multiple distinct physical phenomena (i.e., multiphysics), each involving a small number of latent parameters. The AdMIn-GP models for such embedded structures within a flexible Bayesian nonparametric framework, which facilitates efficient model fitting via a carefully constructed variational inference approach with inducing points. We show the effectiveness of the AdMIn-GP via a suite of numerical experiments and our QGP application, where we demonstrate considerably improved surrogate modeling performance over existing models.

Tao Tang, Simon Mak, David Dunson

In many areas of science and engineering, computer simulations are widely used as proxies for physical experiments, which can be infeasible or unethical. Such simulations can often be computationally expensive, and an emulator can be trained to efficiently predict the desired response surface. A widely-used emulator is the Gaussian process (GP), which provides a flexible framework for efficient prediction and uncertainty quantification. Standard GPs, however, do not capture structured sparsity on the underlying response surface, which is present in many applications, particularly in the physical sciences. We thus propose a new hierarchical shrinkage GP (HierGP), which incorporates such structure via cumulative shrinkage priors within a GP framework. We show that the HierGP implicitly embeds the well-known principles of effect sparsity, heredity and hierarchy for analysis of experiments, which allows our model to identify structured sparse features from the response surface with limited data. We propose efficient posterior sampling algorithms for model training and prediction, and prove desirable consistency properties for the HierGP. Finally, we demonstrate the improved performance of HierGP over existing models, in a suite of numerical experiments and an application to dynamical system recovery.

Yi Ji, Simon Mak, Ryan Lekivetz et al.

Software testing is essential for the reliable development of complex software systems. A key step in software testing is fault localization, which uses test data to pinpoint failure-inducing combinations for further diagnosis. Existing fault localization methods have two key limitations: they (i) largely do not incorporate domain and/or structural knowledge from test engineers, and (ii) do not provide a probabilistic assessment of risk for potential root causes. Such methods can thus fail to confidently whittle down the combinatorial number of potential root causes in complex systems, resulting in prohibitively high debugging costs. To address this, we propose a novel Bayesian fault localization framework called BayesFLo, which leverages a flexible Bayesian model for identifying potential root causes with probabilistic uncertainties. Using a carefully-specified prior on root cause probabilities, BayesFLo permits the integration of domain and structural knowledge via the principles of combination hierarchy and heredity, which capture the expected structure of failure-inducing combinations. We then develop new algorithms for efficient computation of posterior root cause probabilities, leveraging recent tools from integer programming and graph representations. Finally, we demonstrate the effectiveness of BayesFLo over existing methods in two fault localization case studies, the first on the Traffic Alert and Collision Avoidance System for aircraft collision avoidance, and the second on the Vulnerable Road User protection tests for safe autonomous driving.

Stephen Ni-Hahn, Weihan Xu, Jerry Yin et al.

Schenkerian Analysis (SchA) is a uniquely expressive method of music analysis, combining elements of melody, harmony, counterpoint, and form to describe the hierarchical structure supporting a work of music. However, despite its powerful analytical utility and potential to improve music understanding and generation, SchA has rarely been utilized by the computer music community. This is in large part due to the paucity of available high-quality data in a computer-readable format. With a larger corpus of Schenkerian data, it may be possible to infuse machine learning models with a deeper understanding of musical structure, thus leading to more "human" results. To encourage further research in Schenkerian analysis and its potential benefits for music informatics and generation, this paper presents three main contributions: 1) a new and growing dataset of SchAs, the largest in human- and computer-readable formats to date (>140 excerpts), 2) a novel software for visualization and collection of SchA data, and 3) a novel, flexible representation of SchA as a heterogeneous-edge graph data structure.

Kevin Li, Max Balakirsky, Simon Mak

Fourier feature approximations have been successfully applied in the literature for scalable Gaussian Process (GP) regression. In particular, Quadrature Fourier Features (QFF) derived from Gaussian quadrature rules have gained popularity in recent years due to their improved approximation accuracy and better calibrated uncertainty estimates compared to Random Fourier Feature (RFF) methods. However, a key limitation of QFF is that its performance can suffer from well-known pathologies related to highly oscillatory quadrature, resulting in mediocre approximation with limited features. We address this critical issue via a new Trigonometric Quadrature Fourier Feature (TQFF) method, which uses a novel non-Gaussian quadrature rule specifically tailored for the desired Fourier transform. We derive an exact quadrature rule for TQFF, along with kernel approximation error bounds for the resulting feature map. We then demonstrate the improved performance of our method over RFF and Gaussian QFF in a suite of numerical experiments and applications, and show the TQFF enjoys accurate GP approximations over a broad range of length-scales using fewer features.

John Joshua Miller, Simon Mak

The optimization of a black-box simulator over control parameters $\mathbf{x}$ arises in a myriad of scientific applications. In such applications, the simulator often takes the form $f(\mathbf{x},\boldsymbolθ)$, where $\boldsymbolθ$ are parameters that are uncertain in practice. Robust optimization aims to optimize the objective $\mathbb{E}[f(\mathbf{x},\boldsymbolΘ)]$, where $\boldsymbolΘ \sim \mathcal{P}$ is a random variable that models uncertainty on $\boldsymbolθ$. For this, existing black-box methods typically employ a two-stage approach for selecting the next point $(\mathbf{x},\boldsymbolθ)$, where $\mathbf{x}$ and $\boldsymbolθ$ are optimized separately via different acquisition functions. As such, these approaches do not employ a joint acquisition over $(\mathbf{x},\boldsymbolθ)$, and thus may fail to fully exploit control-to-noise interactions for effective robust optimization. To address this, we propose a new Bayesian optimization method called Targeted Variance Reduction (TVR). The TVR leverages a novel joint acquisition function over $(\mathbf{x},\boldsymbolθ)$, which targets variance reduction on the objective within the desired region of improvement. Under a Gaussian process surrogate on $f$, the TVR acquisition can be evaluated in closed form, and reveals an insightful exploration-exploitation-precision trade-off for robust black-box optimization. The TVR can further accommodate a broad class of non-Gaussian distributions on $\mathcal{P}$ via a careful integration of normalizing flows. We demonstrate the improved performance of TVR over the state-of-the-art in a suite of numerical experiments and an application to the robust design of automobile brake discs under operational uncertainty.

Xinming Wang, Simon Mak, John Miller et al.

A critical bottleneck for scientific progress is the costly nature of computer simulations for complex systems. Surrogate models provide an appealing solution: such models are trained on simulator evaluations, then used to emulate and quantify uncertainty on the expensive simulator at unexplored inputs. In many applications, one often has available data on related systems. For example, in designing a new jet turbine, there may be existing studies on turbines with similar configurations. A key question is how information from such ``source'' systems can be transferred for effective surrogate training on the ``target'' system of interest. We thus propose a new LOcal transfer Learning Gaussian Process (LOL-GP) model, which leverages a carefully-designed Gaussian process to transfer such information for surrogate modeling. The key novelty of the LOL-GP is a latent regularization model, which identifies regions where transfer should be performed and regions where it should be avoided. Such a ``local transfer'' property is present in many scientific systems: at certain parameters, systems may behave similarly and thus transfer is beneficial; at other parameters, they may behave differently and thus transfer is detrimental. By accounting for local transfer, the LOL-GP can temper the risk of ``negative transfer'', i.e., the risk of worsening predictive performance from information transfer. We derive a Gibbs sampling algorithm for efficient posterior predictive sampling on the LOL-GP, for both the multi-source and multi-fidelity transfer settings. We then show, via a suite of numerical experiments and an application for jet turbine design, the improved surrogate performance of the LOL-GP over existing methods.

Stephen Ni-Hahn, Chao Péter Yang, Mingchen Ma et al.

Artificial Intelligence (AI) for music generation is undergoing rapid developments, with recent symbolic models leveraging sophisticated deep learning and diffusion model algorithms. One drawback with existing models is that they lack structural cohesion, particularly on harmonic-melodic structure. Furthermore, such existing models are largely "black-box" in nature and are not musically interpretable. This paper addresses these limitations via a novel generative music framework that incorporates concepts of Schenkerian analysis (SchA) in concert with a diffusion modeling framework. This framework, which we call ProGress (Prolongation-enhanced DiGress), adapts state-of-the-art deep models for discrete diffusion (in particular, the DiGress model of Vignac et al., 2023) for interpretable and structured music generation. Concretely, our contributions include 1) novel adaptations of the DiGress model for music generation, 2) a novel SchA-inspired phrase fusion methodology, and 3) a framework allowing users to control various aspects of the generation process to create coherent musical compositions. Results from human experiments suggest superior performance to existing state-of-the-art methods.

Hwanwoo Kim, Simon Mak, Ann-Kathrin Schuetz et al.

With advances in scientific computing, computer experiments are increasingly used for optimizing complex systems. However, for modern applications, e.g., the optimization of nuclear physics detectors, each experiment run can require hundreds of CPU hours, making the optimization of its black-box simulator over a high-dimensional space a challenging task. Given limited runs at inputs $\mathbf{x}_1, \cdots, \mathbf{x}_n$, the best solution from these evaluated inputs can be far from optimal, particularly as dimensionality increases. Existing black-box methods, however, largely employ this ''pick-the-winner'' (PW) solution, which leads to mediocre optimization performance. To address this, we propose a new Black-box Optimization via Marginal Means (BOMM) approach. The key idea is a new estimator of a global optimizer $\mathbf{x}^*$ that leverages the so-called marginal mean functions, which can be efficiently inferred with limited runs in high dimensions. Unlike PW, this estimator can select solutions beyond evaluated inputs for improved optimization performance. Assuming the objective function follows a generalized additive model with unknown link function and under mild conditions, we prove that the BOMM estimator not only is consistent for optimization, but also has an optimization rate that tempers the ''curse-of-dimensionality'' faced by existing methods, thus enabling better performance as dimensionality increases. We present a practical framework for implementing BOMM using the transformed additive Gaussian process surrogate model. Finally, we demonstrate the effectiveness of BOMM in numerical experiments and an application on neutrino detector optimization in nuclear physics.

Yunyao Zhu, Stephen Hahn, Simon Mak et al.

Algorithmic harmonization - the automated harmonization of a musical piece given its melodic line - is a challenging problem that has garnered much interest from both music theorists and computer scientists. One genre of particular interest is the four-part Baroque chorales of J.S. Bach. Methods for algorithmic chorale harmonization typically adopt a black-box, "data-driven" approach: they do not explicitly integrate principles from music theory but rely on a complex learning model trained with a large amount of chorale data. We propose instead a new harmonization model, called BacHMMachine, which employs a "theory-driven" framework guided by music composition principles, along with a "data-driven" model for learning compositional features within this framework. As its name suggests, BacHMMachine uses a novel Hidden Markov Model based on key and chord transitions, providing a probabilistic framework for learning key modulations and chordal progressions from a given melodic line. This allows for the generation of creative, yet musically coherent chorale harmonizations; integrating compositional principles allows for a much simpler model that results in vast decreases in computational burden and greater interpretability compared to state-of-the-art algorithmic harmonization methods, at no penalty to quality of harmonization or musicality. We demonstrate this improvement via comprehensive experiments and Turing tests comparing BacHMMachine to existing methods.

Ruda Zhang, Simon Mak, David Dunson

Subspace-valued functions arise in a wide range of problems, including parametric reduced order modeling (PROM). In PROM, each parameter point can be associated with a subspace, which is used for Petrov-Galerkin projections of large system matrices. Previous efforts to approximate such functions use interpolations on manifolds, which can be inaccurate and slow. To tackle this, we propose a novel Bayesian nonparametric model for subspace prediction: the Gaussian Process Subspace regression (GPS) model. This method is extrinsic and intrinsic at the same time: with multivariate Gaussian distributions on the Euclidean space, it induces a joint probability model on the Grassmann manifold, the set of fixed-dimensional subspaces. The GPS adopts a simple yet general correlation structure, and a principled approach for model selection. Its predictive distribution admits an analytical form, which allows for efficient subspace prediction over the parameter space. For PROM, the GPS provides a probabilistic prediction at a new parameter point that retains the accuracy of local reduced models, at a computational complexity that does not depend on system dimension, and thus is suitable for online computation. We give four numerical examples to compare our method to subspace interpolation, as well as two methods that interpolate local reduced models. Overall, GPS is the most data efficient, more computationally efficient than subspace interpolation, and gives smooth predictions with uncertainty quantification.

Haoyun Wang, Liyan Xie, Yao Xie et al.

We present a new CUSUM procedure for sequentially detecting change-point in the self and mutual exciting processes, a.k.a. Hawkes networks using discrete events data. Hawkes networks have become a popular model for statistics and machine learning due to their capability in modeling irregularly observed data where the timing between events carries a lot of information. The problem of detecting abrupt changes in Hawkes networks arises from various applications, including neuronal imaging, sensor network, and social network monitoring. Despite this, there has not been a computationally and memory-efficient online algorithm for detecting such changes from sequential data. We present an efficient online recursive implementation of the CUSUM statistic for Hawkes processes, both decentralized and memory-efficient, and establish the theoretical properties of this new CUSUM procedure. We then show that the proposed CUSUM method achieves better performance than existing methods, including the Shewhart procedure based on count data, the generalized likelihood ratio (GLR) in the existing literature, and the standard score statistic. We demonstrate this via a simulated example and an application to population code change-detection in neuronal networks.

Simon Mak, Yuanshuo Zhou, Lavonne Hoang et al.

Thompson sampling is a popular algorithm for solving multi-armed bandit problems, and has been applied in a wide range of applications, from website design to portfolio optimization. In such applications, however, the number of choices (or arms) $N$ can be large, and the data needed to make adaptive decisions require expensive experimentation. One is then faced with the constraint of experimenting on only a small subset of $K \ll N$ arms within each time period, which poses a problem for traditional Thompson sampling. We propose a new Thompson Sampling under Experimental Constraints (TSEC) method, which addresses this so-called "arm budget constraint". TSEC makes use of a Bayesian interaction model with effect hierarchy priors, to model correlations between rewards on different arms. This fitted model is then integrated within Thompson sampling, to jointly identify a good subset of arms for experimentation and to allocate resources over these arms. We demonstrate the effectiveness of TSEC in two problems with arm budget constraints. The first is a simulated website optimization study, where TSEC shows noticeable improvements over industry benchmarks. The second is a portfolio optimization application on industry-based exchange-traded funds, where TSEC provides more consistent and greater wealth accumulation over standard investment strategies.

Haoyun Wang, Liyan Xie, Alex Cuozzo et al.

Multivariate Hawkes processes are commonly used to model streaming networked event data in a wide variety of applications. However, it remains a challenge to extract reliable inference from complex datasets with uncertainty quantification. Aiming towards this, we develop a statistical inference framework to learn causal relationships between nodes from networked data, where the underlying directed graph implies Granger causality. We provide uncertainty quantification for the maximum likelihood estimate of the network multivariate Hawkes process by providing a non-asymptotic confidence set. The main technique is based on the concentration inequalities of continuous-time martingales. We compare our method to the previously-derived asymptotic Hawkes process confidence interval, and demonstrate the strengths of our method in an application to neuronal connectivity reconstruction.

Arvind Krishna, Simon Mak, Roshan Joseph

One key use of k-means clustering is to identify cluster prototypes which can serve as representative points for a dataset. However, a drawback of using k-means cluster centers as representative points is that such points distort the distribution of the underlying data. This can be highly disadvantageous in problems where the representative points are subsequently used to gain insights on the data distribution, as these points do not mimic the distribution of the data. To this end, we propose a new clustering method called "distributional clustering", which ensures cluster centers capture the distribution of the underlying data. We first prove the asymptotic convergence of the proposed cluster centers to the data generating distribution, then present an efficient algorithm for computing these cluster centers in practice. Finally, we demonstrate the effectiveness of distributional clustering on synthetic and real datasets.