The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations

Analysis and modeling of electric energy demand is indispensable for power planning, operation, facility investment, and urban planning. Because of recent development of renewable energy generation systems oriented for households, there is also a great demand for analysing the electricity usage and optimizing the way to install electricity generation systems for each household. In this study, employing statistical techniques, a method to model daily consumption patterns in households and a method to extract a small number of their typical patterns are presented. The electricity consumption patterns in a household is modeled by a mixture of Gaussian distributions. Then, using the symmetrized generalized Kullback-Leibler divergence as a distance measure of the distributions, typical patterns of the consumption are extracted by means of hierarchical clustering. The statistical modeling of daily consumption patterns allows us to capture essential similarities of the patterns. By experiments using a large-scale dataset including about 500 houses' consumption records in a suburban area in Japan, it is shown that the proposed method is able to extract typical consumption patterns.

Spectroscopy is a widely used experimental technique, and enhancing its efficiency can have a strong impact on materials research. We propose an adaptive design for spectroscopy experiments that uses a machine learning technique to improve efficiency. We examined X-ray magnetic circular dichroism (XMCD) spectroscopy for the applicability of a machine learning technique to spectroscopy. An XMCD spectrum was predicted by Gaussian process modelling with learning of an experimental spectrum using a limited number of observed data points. Adaptive sampling of data points with maximum variance of the predicted spectrum successfully reduced the total data points for the evaluation of magnetic moments while providing the required accuracy. The present method reduces the time and cost for XMCD spectroscopy and has potential applicability to various spectroscopies.

A number of studies have recently been made on discrete distribution estimation in the local model, in which users obfuscate their personal data (e.g., location, response in a survey) by themselves and a data collector estimates a distribution of the original personal data from the obfuscated data. Unlike the centralized model, in which a trusted database administrator can access all users’ personal data, the local model does not suffer from the risk of data leakage. A representative privacy metric in this model is LDP (Local Differential Privacy), which controls the amount of information leakage by a parameter ∈ called privacy budget. When ∈ is small, a large amount of noise is added to the personal data, and therefore users’ privacy is strongly protected. However, when the number of users ℕ is small (e.g., a small-scale enterprise may not be able to collect large samples) or when most users adopt a small value of ∈, the estimation of the distribution becomes a very challenging task. The goal of this paper is to accurately estimate the distribution in the cases explained above. To achieve this goal, we focus on the EM (Expectation-Maximization) reconstruction method, which is a state-of-the-art statistical inference method, and propose a method to correct its estimation error (i.e., difference between the estimate and the true value) using the theory of Rilstone et al. We prove that the proposed method reduces the MSE (Mean Square Error) under some assumptions.We also evaluate the proposed method using three largescale datasets, two of which contain location data while the other contains census data. The results show that the proposed method significantly outperforms the EM reconstruction method in all of the datasets when ℕ or ∈ is small.