"This book is concerned with a probabilistic approach for image analysis, mostly from the Bayesian point of view, and the important Markov chain Monte Carlo methods commonly used....This book will be useful, especially to researchers with a strong background in probability and an interest in image analysis. The author has presented the theory with rigor...he doesn’t neglect applications, providing numerous examples of applications to illustrate the theory." -- MATHEMATICAL REVIEWS
Image processing is concerned with the analysis and manipulation of images by computer. Providing a thorough treatment of image processing with an emphasis on those aspects most used in computer graphics, the authors concentrate on describing and analyzing the underlying concepts rather than on presenting algorithms or pseudocode. As befits a modern introduction to this topic, a good balance is struck between discussing the underlying mathematics and the main topics: signal processing, data discretization, the theory of colour and different colour systems, operations in images, dithering and half-toning, warping and morphing and image processing. This second edition reflects recent trends in science andtechnology that exploit image processing in computer graphics and vision applications. Stochastic image models and statistical methods for image processing are covered as are: A modern approach and new developments in the area, Probability theory for image processing, Applications in image analysis and computer vision.
This text is concerned with a probabilistic approach to image analysis as initiated by U. GRENANDER, D. and S. GEMAN, B.R. HUNT and many others, and developed and popularized by D. and S. GEMAN in a paper from 1984. It formally adopts the Bayesian paradigm and therefore is referred to as 'Bayesian Image Analysis'. There has been considerable and still growing interest in prior models and, in particular, in discrete Markov random field methods. Whereas image analysis is replete with ad hoc techniques, Bayesian image analysis provides a general framework encompassing various problems from imaging. Among those are such 'classical' applications like restoration, edge detection, texture discrimination, motion analysis and tomographic reconstruction. The subject is rapidly developing and in the near future is likely to deal with high-level applications like object recognition. Fascinating experiments by Y. CHOW, U. GRENANDER and D.M. KEENAN (1987), (1990) strongly support this belief.
Luc Florack,Remco Duits,Geurt Jongbloed,Marie Colette van Lieshout,Laurie Davies
Author: Luc Florack,Remco Duits,Geurt Jongbloed,Marie Colette van Lieshout,Laurie Davies
Publisher: Springer Science & Business Media
Mathematical Methods for Signal and Image Analysis and Representation presents the mathematical methodology for generic image analysis tasks. In the context of this book an image may be any m-dimensional empirical signal living on an n-dimensional smooth manifold (typically, but not necessarily, a subset of spacetime). The existing literature on image methodology is rather scattered and often limited to either a deterministic or a statistical point of view. In contrast, this book brings together these seemingly different points of view in order to stress their conceptual relations and formal analogies. Furthermore, it does not focus on specific applications, although some are detailed for the sake of illustration, but on the methodological frameworks on which such applications are built, making it an ideal companion for those seeking a rigorous methodological basis for specific algorithms as well as for those interested in the fundamental methodology per se. Covering many topics at the forefront of current research, including anisotropic diffusion filtering of tensor fields, this book will be of particular interest to graduate and postgraduate students and researchers in the fields of computer vision, medical imaging and visual perception.
In a family study of breast cancer, epidemiologists in Southern California increase the power for detecting a gene-environment interaction. In Gambia, a study helps a vaccination program reduce the incidence of Hepatitis B carriage. Archaeologists in Austria place a Bronze Age site in its true temporal location on the calendar scale. And in France, researchers map a rare disease with relatively little variation. Each of these studies applied Markov chain Monte Carlo methods to produce more accurate and inclusive results. General state-space Markov chain theory has seen several developments that have made it both more accessible and more powerful to the general statistician. Markov Chain Monte Carlo in Practice introduces MCMC methods and their applications, providing some theoretical background as well. The authors are researchers who have made key contributions in the recent development of MCMC methodology and its application. Considering the broad audience, the editors emphasize practice rather than theory, keeping the technical content to a minimum. The examples range from the simplest application, Gibbs sampling, to more complex applications. The first chapter contains enough information to allow the reader to start applying MCMC in a basic way. The following chapters cover main issues, important concepts and results, techniques for implementing MCMC, improving its performance, assessing model adequacy, choosing between models, and applications and their domains. Markov Chain Monte Carlo in Practice is a thorough, clear introduction to the methodology and applications of this simple idea with enormous potential. It shows the importance of MCMC in real applications, such as archaeology, astronomy, biostatistics, genetics, epidemiology, and image analysis, and provides an excellent base for MCMC to be applied to other fields as well.
Markov processes are used to model systems with limited memory. They are used in many areas including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. This book, which is written for upper level undergraduate and graduate students, and researchers, presents a unified presentation of Markov processes. In addition to traditional topics such as Markovian queueing system, the book discusses such topics as continuous-time random walk,correlated random walk, Brownian motion, diffusion processes, hidden Markov models, Markov random fields, Markov point processes and Markov chain Monte Carlo. Continuous-time random walk is currently used in econophysics to model the financial market, which has traditionally been modelled as a Brownian motion. Correlated random walk is popularly used in ecological studies to model animal and insect movement. Hidden Markov models are used in speech analysis and DNA sequence analysis while Markov random fields and Markov point processes are used in image analysis. Thus, the book is designed to have a very broad appeal. - Provides the practical, current applications of Markov processes - Coverage of HMM, Point processes, and Monte Carlo - Includes enough theory to help students gain throrough understanding of the subject - Principles can be immediately applied in many specific research projects, saving researchers time - End of chapter exercises provide reinforcement, practice and increased understanding to the student
Stochastic Simulation for Bayesian Inference, Second Edition
Author: Dani Gamerman,Hedibert F. Lopes
Publisher: CRC Press
While there have been few theoretical contributions on the Markov Chain Monte Carlo (MCMC) methods in the past decade, current understanding and application of MCMC to the solution of inference problems has increased by leaps and bounds. Incorporating changes in theory and highlighting new applications, Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition presents a concise, accessible, and comprehensive introduction to the methods of this valuable simulation technique. The second edition includes access to an internet site that provides the code, written in R and WinBUGS, used in many of the previously existing and new examples and exercises. More importantly, the self-explanatory nature of the codes will enable modification of the inputs to the codes and variation on many directions will be available for further exploration. Major changes from the previous edition: · More examples with discussion of computational details in chapters on Gibbs sampling and Metropolis-Hastings algorithms · Recent developments in MCMC, including reversible jump, slice sampling, bridge sampling, path sampling, multiple-try, and delayed rejection · Discussion of computation using both R and WinBUGS · Additional exercises and selected solutions within the text, with all data sets and software available for download from the Web · Sections on spatial models and model adequacy The self-contained text units make MCMC accessible to scientists in other disciplines as well as statisticians. The book will appeal to everyone working with MCMC techniques, especially research and graduate statisticians and biostatisticians, and scientists handling data and formulating models. The book has been substantially reinforced as a first reading of material on MCMC and, consequently, as a textbook for modern Bayesian computation and Bayesian inference courses.
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations.
This accessible new edition explores the major topics in MonteCarlo simulation Simulation and the Monte Carlo Method, Second Editionreflects the latest developments in the field and presents a fullyupdated and comprehensive account of the major topics that haveemerged in Monte Carlo simulation since the publication of theclassic First Edition over twenty-five years ago. Whilemaintaining its accessible and intuitive approach, this revisededition features a wealth of up-to-date information thatfacilitates a deeper understanding of problem solving across a widearray of subject areas, such as engineering, statistics, computerscience, mathematics, and the physical and life sciences. The book begins with a modernized introduction that addressesthe basic concepts of probability, Markov processes, and convexoptimization. Subsequent chapters discuss the dramatic changes thathave occurred in the field of the Monte Carlo method, with coverageof many modern topics including: Markov Chain Monte Carlo Variance reduction techniques such as the transform likelihoodratio method and the screening method The score function method for sensitivity analysis The stochastic approximation method and the stochasticcounter-part method for Monte Carlo optimization The cross-entropy method to rare events estimation andcombinatorial optimization Application of Monte Carlo techniques for counting problems,with an emphasis on the parametric minimum cross-entropymethod An extensive range of exercises is provided at the end of eachchapter, with more difficult sections and exercises markedaccordingly for advanced readers. A generous sampling of appliedexamples is positioned throughout the book, emphasizing variousareas of application, and a detailed appendix presents anintroduction to exponential families, a discussion of thecomputational complexity of stochastic programming problems, andsample MATLAB programs. Requiring only a basic, introductory knowledge of probabilityand statistics, Simulation and the Monte Carlo Method,Second Edition is an excellent text for upper-undergraduate andbeginning graduate courses in simulation and Monte Carlotechniques. The book also serves as a valuable reference forprofessionals who would like to achieve a more formal understandingof the Monte Carlo method.
Stochastic geometry involves the study of random geometric structures, and blends geometric, probabilistic, and statistical methods to provide powerful techniques for modeling and analysis. Recent developments in computational statistical analysis, particularly Markov chain Monte Carlo, have enormously extended the range of feasible applications. Stochastic Geometry: Likelihood and Computation provides a coordinated collection of chapters on important aspects of the rapidly developing field of stochastic geometry, including: o a "crash-course" introduction to key stochastic geometry themes o considerations of geometric sampling bias issues o tesselations o shape o random sets o image analysis o spectacular advances in likelihood-based inference now available to stochastic geometry through the techniques of Markov chain Monte Carlo
This sequel to volume 19 of Handbook on Statistics on Stochastic Processes: Modelling and Simulation is concerned mainly with the theme of reviewing and, in some cases, unifying with new ideas the different lines of research and developments in stochastic processes of applied flavour. This volume consists of 23 chapters addressing various topics in stochastic processes. These include, among others, those on manufacturing systems, random graphs, reliability, epidemic modelling, self-similar processes, empirical processes, time series models, extreme value therapy, applications of Markov chains, modelling with Monte Carlo techniques, and stochastic processes in subjects such as engineering, telecommunications, biology, astronomy and chemistry. particular with modelling, simulation techniques and numerical methods concerned with stochastic processes. The scope of the project involving this volume as well as volume 19 is already clarified in the preface of volume 19. The present volume completes the aim of the project and should serve as an aid to students, teachers, researchers and practitioners interested in applied stochastic processes.
The 5th edition of Ross’s Simulation continues to introduce aspiring and practicing actuaries, engineers, computer scientists and others to the practical aspects of constructing computerized simulation studies to analyze and interpret real phenomena. Readers learn to apply results of these analyses to problems in a wide variety of fields to obtain effective, accurate solutions and make predictions about future outcomes. This latest edition features all-new material on variance reduction, including control variables and their use in estimating the expected return at blackjack and their relation to regression analysis. Additionally, the 5th edition expands on Markov chain monte carlo methods, and offers unique information on the alias method for generating discrete random variables. By explaining how a computer can be used to generate random numbers and how to use these random numbers to generate the behavior of a stochastic model over time, Ross’s Simulation, 5th edition presents the statistics needed to analyze simulated data as well as that needed for validating the simulation model. Additional material on variance reduction, including control variables and their use in estimating the expected return at blackjack and their relation to regression analysis Additional material and examples on Markov chain Monte Carlo methods Unique material on the alias method for generating discrete random variables Additional material on generating multivariate normal vectors
Stochastic Modeling of Scientific Data combines stochastic modeling and statistical inference in a variety of standard and less common models, such as point processes, Markov random fields and hidden Markov models in a clear, thoughtful and succinct manner. The distinguishing feature of this work is that, in addition to probability theory, it contains statistical aspects of model fitting and a variety of data sets that are either analyzed in the text or used as exercises. Markov chain Monte Carlo methods are introduced for evaluating likelihoods in complicated models and the forward backward algorithm for analyzing hidden Markov models is presented. The strength of this text lies in the use of informal language that makes the topic more accessible to non-mathematicians. The combinations of hard science topics with stochastic processes and their statistical inference puts it in a new category of probability textbooks. The numerous examples and exercises are drawn from astronomy, geology, genetics, hydrology, neurophysiology and physics.
Spatial statistics are useful in subjects as diverse as climatology, ecology, economics, environmental and earth sciences, epidemiology, image analysis and more. This book covers the best-known spatial models for three types of spatial data: geostatistical data (stationarity, intrinsic models, variograms, spatial regression and space-time models), areal data (Gibbs-Markov fields and spatial auto-regression) and point pattern data (Poisson, Cox, Gibbs and Markov point processes). The level is relatively advanced, and the presentation concise but complete. The most important statistical methods and their asymptotic properties are described, including estimation in geostatistics, autocorrelation and second-order statistics, maximum likelihood methods, approximate inference using the pseudo-likelihood or Monte-Carlo simulations, statistics for point processes and Bayesian hierarchical models. A chapter is devoted to Markov Chain Monte Carlo simulation (Gibbs sampler, Metropolis-Hastings algorithms and exact simulation). A large number of real examples are studied with R, and each chapter ends with a set of theoretical and applied exercises. While a foundation in probability and mathematical statistics is assumed, three appendices introduce some necessary background. The book is accessible to senior undergraduate students with a solid math background and Ph.D. students in statistics. Furthermore, experienced statisticians and researchers in the above-mentioned fields will find the book valuable as a mathematically sound reference. This book is the English translation of Modélisation et Statistique Spatiales published by Springer in the series Mathématiques & Applications, a series established by Société de Mathématiques Appliquées et Industrielles (SMAI).
This updated new edition introduces the reader to the fundamentals of queueing theory, including Markov processes and random walks. It contains an extended treatment of queueing networks and matrix analytic methods as well as additional topics like Poisson's equation, Palm theory and heavy tails.
Primarily an introduction to the theory of stochastic processes at the undergraduate or beginning graduate level, the primary objective of this book is to initiate students in the art of stochastic modelling. However it is motivated by significant applications and progressively brings the student to the borders of contemporary research. Examples are from a wide range of domains, including operations research and electrical engineering. Researchers and students in these areas as well as in physics, biology and the social sciences will find this book of interest.
This book is a comprehensive treatment of inference for hidden Markov models, including both algorithms and statistical theory. Topics range from filtering and smoothing of the hidden Markov chain to parameter estimation, Bayesian methods and estimation of the number of states. In a unified way the book covers both models with finite state spaces and models with continuous state spaces (also called state-space models) requiring approximate simulation-based algorithms that are also described in detail. Many examples illustrate the algorithms and theory. This book builds on recent developments to present a self-contained view.
Applications in Financial Engineering, Risk Management, and Economics
Author: Paolo Brandimarte
Publisher: John Wiley & Sons
Category: Business & Economics
An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.