Julien Bect

A l1-Unified Variational Framework for Image Restoration

Among image restoration literature, there are mainly two kinds of approach. One is based on a process over image wavelet coefficients, as wavelet shrinkage for denoising. The other one is based on a process over image gradient. In order to get an edge-preserving regularization, one usually assume that the image belongs to the space of functions of Bounded Variation (BV). An energy is minimized, composed of an observation term and the Total Variation (TV) of the image.

Sequential design of computer experiments for the estimation of a probability of failure

This paper deals with the problem of estimating the volume of the excursion set of a function f:ℝd→ℝ above a given threshold, under a probability measure on ℝd that is assumed to be known. In the industrial world, this corresponds to the problem of estimating a probability of failure of a system. When only an expensive-to-simulate model of the system is available, the budget for simulations is usually severely limited and therefore classical Monte Carlo methods ought to be avoided. One of the main contributions of this article is to derive SUR (stepwise uncertainty reduction) strategies from a Bayesian formulation of the problem of estimating a probability of failure. These sequential strategies use a Gaussian process model of f and aim at performing evaluations of f as efficiently as possible to infer the value of the probability of failure. We compare these strategies to other strategies also based on a Gaussian process model for estimating a probability of failure.

Fast Parallel Kriging-Based Stepwise Uncertainty Reduction With Application to the Identification of an Excursion Set

Stepwise uncertainty reduction (SUR) strategies aim at constructing a sequence of points for evaluating a function  f in such a way that the residual uncertainty about a quantity of interest progressively decreases to zero. Using such strategies in the framework of Gaussian process modeling has been shown to be efficient for estimating the volume of excursion of f above a fixed threshold. However, SUR strategies remain cumbersome to use in practice because of their high computational complexity, and the fact that they deliver a single point at each iteration. In this article we introduce several multipoint sampling criteria, allowing the selection of batches of points at which f can be evaluated in parallel. Such criteria are of particular interest when f is costly to evaluate and several CPUs are simultaneously available. We also manage to drastically reduce the computational cost of these strategies through the use of closed form formulas. We illustrate their performances in various numerical experiments, including a nuclear safety test case. Basic notions about kriging, auxiliary problems, complexity calculations, R code, and data are available online as supplementary materials.

A sequential Bayesian algorithm to estimate a probability of failure

Abstract This paper deals with the problem of estimating the probability of failure of a system, in the challenging case where only an expensive-to-simulate model is available. In this context, the budget for simulations is usually severely limited and therefore classical Monte Carlo methods ought to be avoided. We present a new strategy to address this problem, in the framework of sequential Bayesian planning. The method uses kriging to compute an approximation of the probability of failure, and selects the next simulation to be conducted so as to reduce the mean square error of estimation. By way of illustration, we estimate the probability of failure of a control strategy in the presence of uncertainty about the parameters of the plant.

Robust gaussian process-based global optimization using a fully bayesian expected improvement criterion

We consider the problem of optimizing a real-valued continuous function f, which is supposed to be expensive to evaluate and, consequently, can only be evaluated a limited number of times. This article focuses on the Bayesian approach to this problem, which consists in combining evaluation results and prior information about f in order to efficiently select new evaluation points, as long as the budget for evaluations is not exhausted. The algorithm called efficient global optimization (EGO), proposed by Jones, Schonlau and Welch (J. Global Optim., 13(4):455–492, 1998), is one of the most popular Bayesian optimization algorithms. It is based on a sampling criterion called the expected improvement (EI), which assumes a Gaussian process prior about f. In the EGO algorithm, the parameters of the covariance of the Gaussian process are estimated from the evaluation results by maximum likelihood, and these parameters are then plugged in the EI sampling criterion. However, it is well-known that this plug-in strategy can lead to very disappointing results when the evaluation results do not carry enough information about f to estimate the parameters in a satisfactory manner. We advocate a fully Bayesian approach to this problem, and derive an analytical expression for the EI criterion in the case of Student predictive distributions. Numerical experiments show that the fully Bayesian approach makes EI-based optimization more robust while maintaining an average loss similar to that of the EGO algorithm.

A Bayesian approach to constrained single- and multi-objective optimization

This article addresses the problem of derivative-free (single- or multi-objective) optimization subject to multiple inequality constraints. Both the objective and constraint functions are assumed to be smooth, non-linear and expensive to evaluate. As a consequence, the number of evaluations that can be used to carry out the optimization is very limited, as in complex industrial design optimization problems. The method we propose to overcome this difficulty has its roots in both the Bayesian and the multi-objective optimization literatures. More specifically, an extended domination rule is used to handle objectives and constraints in a unified way, and a corresponding expected hyper-volume improvement sampling criterion is proposed. This new criterion is naturally adapted to the search of a feasible point when none is available, and reduces to existing Bayesian sampling criteria—the classical Expected Improvement (EI) criterion and some of its constrained/multi-objective extensions—as soon as at least one feasible point is available. The calculation and optimization of the criterion are performed using Sequential Monte Carlo techniques. In particular, an algorithm similar to the subset simulation method, which is well known in the field of structural reliability, is used to estimate the criterion. The method, which we call BMOO (for Bayesian Multi-Objective Optimization), is compared to state-of-the-art algorithms for single- and multi-objective constrained optimization.

Estimating and Quantifying Uncertainties on Level Sets Using the Vorob’ev Expectation and Deviation with Gaussian Process Models

Several methods based on Kriging have recently been proposed for calculating a probability of failure involving costly-to-evaluate functions. A closely related problem is to estimate the set of inputs leading to a response exceeding a given threshold. Now, estimating such a level set—and not solely its volume—and quantifying uncertainties on it are not straightforward. Here we use notions from random set theory to obtain an estimate of the level set, together with a quantification of estimation uncertainty. We give explicit formulae in the Gaussian process set-up and provide a consistency result. We then illustrate how space-filling versus adaptive design strategies may sequentially reduce level set estimation uncertainty.

Bayesian optimization using sequential monte carlo

We consider the problem of optimizing a real-valued continuous function f using a Bayesian approach, where the evaluations of f are chosen sequentially by combining prior information about f, which is described by a random process model, and past evaluation results. The main difficulty with this approach is to be able to compute the posterior distributions of quantities of interest which are used to choose evaluation points. In this article, we decide to use a Sequential Monte Carlo (SMC) approach.

A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems

A general formulation of the Fokker-Planck-Kolmogorov (FPK) equation for stochastic hybrid systems is presented, within the framework of Generalized Stochastic Hybrid Systems (GSHS). The FPK equation describes the time evolution of the probability law of the hybrid state. Our derivation is based on the concept of mean jump intensity, which is related to both the usual stochastic intensity (in the case of spontaneous jumps) and the notion of probability current (in the case of forced jumps). This work unifies all previously known instances of the FPK equation for stochastic hybrid systems, and provides GSHS practitioners with a tool to derive the correct evolution equation for the probability law of the state in any given example.

Pointwise Consistency of the Kriging Predictor with Known Mean and Covariance Functions

This paper deals with several issues related to the pointwise consistency of the kriging predictor when the mean and the covariance functions are known. These questions are of general importance in the context of computer experiments. The analysis is based on the properties of approximations in reproducing kernel Hilbert spaces. We fix an erroneous claim of Yakowitz and Szidarovszky (J. Multivariate Analysis, 1985) that the kriging predictor is pointwise consistent for all continuous sample paths under some assumptions.