Fun and exciting textbook on the mathematics underpinning the most dynamic areas of modern science and engineering.

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Information Theory, Inference and Learning Algorithms

In many engineering optimization problems, the number of function evaluations is severely limited by time or cost. These problems pose a special challenge to the field of global optimization, since existing methods often require more function evaluations than can be comfortably afforded. One way to address this challenge is to fit response surfaces to data collected by evaluating the objective and constraint functions at a few points. These surfaces can then be used for visualization, tradeoff analysis, and optimization. In this paper, we introduce the reader to a response surface methodology that is especially good at modeling the nonlinear, multimodal functions that often occur in engineering. We then show how these approximating functions can be used to construct an efficient global optimization algorithm with a credible stopping rule. The key to using response surfaces for global optimization lies in balancing the need to exploit the approximating surface (by sampling where it is minimized) with the need to improve the approximation (by sampling where prediction error may be high). Striking this balance requires solving certain auxiliary problems which have previously been considered intractable, but we show how these computational obstacles can be overcome.

/pdf/efficient-global-optimization-of-expensive-black-box-4m8fv6oubz.pdf

Efficient Global Optimization of Expensive Black-Box Functions

Many scientific phenomena are now investigated by complex computer models or codes A computer experiment is a number of runs of the code with various inputs A feature of many computer experiments is that the output is deterministic--rerunning the code with the same inputs gives identical observations Often, the codes are computationally expensive to run, and a common objective of an experiment is to fit a cheaper predictor of the output to the data Our approach is to model the deterministic output as the realization of a stochastic process, thereby providing a statistical basis for designing experiments (choosing the inputs) for efficient prediction With this model, estimates of uncertainty of predictions are also available Recent work in this area is reviewed, a number of applications are discussed, and we demonstrate our methodology with an example

/pdf/the-design-and-analysis-of-computer-experiments-1kfo89lyf2.pdf

The design and analysis of computer experiments

A fast and flexible algorithm for computing watersheds in digital gray-scale images is introduced. A review of watersheds and related motion is first presented, and the major methods to determine watersheds are discussed. The algorithm is based on an immersion process analogy, in which the flooding of the water in the picture is efficiently simulated using of queue of pixel. It is described in detail provided in a pseudo C language. The accuracy of this algorithm is proven to be superior to that of the existing implementations, and it is shown that its adaptation to any kind of digital grid and its generalization to n-dimensional images (and even to graphs) are straightforward. The algorithm is reported to be faster than any other watershed algorithm. Applications of this algorithm with regard to picture segmentation are presented for magnetic resonance (MR) imagery and for digital elevation models. An example of 3-D watershed is also provided. >

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Watersheds in digital spaces: an efficient algorithm based on immersion simulations

Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distributionF if he or she issues the probabilistic forecast F, rather than G ≠ F. It is strictly proper if the maximum is unique. In prediction problems, proper scoring rules encourage the forecaster to make careful assessments and to be honest. In estimation problems, strictly proper scoring rules provide attractive loss and utility functions that can be tailored to the problem at hand. This article reviews and develops the theory of proper scoring rules on general probability spaces, and proposes and discusses examples thereof. Proper scoring rules derive from convex functions and relate to information measures, entropy functions, and Bregman divergences. In the case of categorical variables, we prove a rigorous version of the ...

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Strictly Proper Scoring Rules, Prediction, and Estimation

Knowledge of ore grades and ore reserves as well as error estimation of these values, is fundamental for mining engineers and mining geologists. Until now no appropriate scientific approach to those estimation problems has existed: geostatistics, the principles of which are summarized in this paper, constitutes a new science leading to such an approach. The author criticizes classical statistical methods still in use, and shows some of the main results given by geostatistics. Any ore deposit evaluation as well as proper decision of starting mining operations should be preceded by a geostatistical investigation which may avoid economic failures.

Principles of geostatistics

Random Sets And Integral Geometry

The intrinsic random functions (IRF) are a particular case of the Guelfand generalized processes with stationary increments. They constitute a much wider class than the stationary RF, and are used in practical applications for representing non-stationary phenomena. The most important topics are: existence of a generalized covariance (GC) for which statistical inference is possible from a unique realization; theory of the best linear intrinsic estimator (BLIE) used for contouring and estimating problems; the turning bands method for simulating IRF; and the models with polynomial GC, for which statistical inference may be performed by automatic procedures.

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The intrinsic random functions and their applications

Éléments pour une théorie des milieux poreux

In this paper, a new procedure for non linear estimation is proposed: it is better than the usual best linear estimation, and necessitates less prerequisites than the conditional expectation.

G. Matheron

Papers

Principles of geostatistics

Random Sets And Integral Geometry

The intrinsic random functions and their applications

Éléments pour une théorie des milieux poreux

A Simple Substitute for Conditional Expectation : The Disjunctive Kriging