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Your search keyword '"Loeffler, Charles E."' showing total 16 results
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16 results on '"Loeffler, Charles E."'

2. Scalable Bayesian inference for self-excitatory stochastic processes applied to big American gunfire data

Author

Holbrook, Andrew J., Loeffler, Charles E., Flaxman, Seth R., and Suchard, Marc A.

Subjects
Statistics - Applications
Abstract

The Hawkes process and its extensions effectively model self-excitatory phenomena including earthquakes, viral pandemics, financial transactions, neural spike trains and the spread of memes through social networks. The usefulness of these stochastic process models within a host of economic sectors and scientific disciplines is undercut by the processes' computational burden: complexity of likelihood evaluations grows quadratically in the number of observations for both the temporal and spatiotemporal Hawkes processes. We show that, with care, one may parallelize these calculations using both central and graphics processing unit implementations to achieve over 100-fold speedups over single-core processing. Using a simple adaptive Metropolis-Hastings scheme, we apply our high-performance computing framework to a Bayesian analysis of big gunshot data generated in Washington D.C. between the years of 2006 and 2019, thereby extending a past analysis of the same data from under 10,000 to over 85,000 observations. To encourage wide-spread use, we provide hpHawkes, an open-source R package, and discuss high-level implementation and program design for leveraging aspects of computational hardware that become necessary in a big data setting., Comment: Submitted to Statistics and Computing

Published
2020

3. Scalable Bayesian inference for self-excitatory stochastic processes applied to big American gunfire data

Author

Holbrook, Andrew J, Loeffler, Charles E, Flaxman, Seth R, and Suchard, Marc A

Subjects
Applied Mathematics, Mathematical Sciences, Numerical and Computational Mathematics, Statistics, Networking and Information Technology R&D (NITRD), Massive parallelization, GPU, SIMD, Spatiotemporal Hawkes process, stat.AP, Computation Theory and Mathematics, Statistics & Probability, Applied mathematics, Numerical and computational mathematics
Abstract

The Hawkes process and its extensions effectively model self-excitatory phenomena including earthquakes, viral pandemics, financial transactions, neural spike trains and the spread of memes through social networks. The usefulness of these stochastic process models within a host of economic sectors and scientific disciplines is undercut by the processes' computational burden: complexity of likelihood evaluations grows quadratically in the number of observations for both the temporal and spatiotemporal Hawkes processes. We show that, with care, one may parallelize these calculations using both central and graphics processing unit implementations to achieve over 100-fold speedups over single-core processing. Using a simple adaptive Metropolis-Hastings scheme, we apply our high-performance computing framework to a Bayesian analysis of big gunshot data generated in Washington D.C. between the years of 2006 and 2019, thereby extending a past analysis of the same data from under 10,000 to over 85,000 observations. To encourage widespread use, we provide hpHawkes, an open-source R package, and discuss high-level implementation and program design for leveraging aspects of computational hardware that become necessary in a big data setting.

Published
2021

9. Scalable Bayesian inference for self-excitatory stochastic processes applied to big American gunfire data

Author

Holbrook, Andrew J, Loeffler, Charles E, Flaxman, Seth R, and Suchard, Marc A

Subjects
FOS: Computer and information sciences, Networking and Information Technology R&D (NITRD), Spatiotemporal Hawkes process, Statistics & Probability, Statistics, GPU, Computation Theory and Mathematics, Applications (stat.AP), stat.AP, Statistics - Applications, SIMD, Massive parallelization
Abstract

The Hawkes process and its extensions effectively model self-excitatory phenomena including earthquakes, viral pandemics, financial transactions, neural spike trains and the spread of memes through social networks. The usefulness of these stochastic process models within a host of economic sectors and scientific disciplines is undercut by the processes' computational burden: complexity of likelihood evaluations grows quadratically in the number of observations for both the temporal and spatiotemporal Hawkes processes. We show that, with care, one may parallelize these calculations using both central and graphics processing unit implementations to achieve over 100-fold speedups over single-core processing. Using a simple adaptive Metropolis-Hastings scheme, we apply our high-performance computing framework to a Bayesian analysis of big gunshot data generated in Washington D.C. between the years of 2006 and 2019, thereby extending a past analysis of the same data from under 10,000 to over 85,000 observations. To encourage wide-spread use, we provide hpHawkes, an open-source R package, and discuss high-level implementation and program design for leveraging aspects of computational hardware that become necessary in a big data setting., Submitted to Statistics and Computing

Published
2020

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