Research Theme: Enabling Algorithms

Developments in computing technology have provided the opportunity for the creation of new algorithms to enable improved analysis of data and models. Under this theme we develop the new enabling algorithms required for Challenging Data, the new Multiscale Models and other advances.

Research Theme: Enabling Algorithms Projects

Anomaly detection in noisy time series

The ability to detect anomalies or outliers in time series, and to develop algorithms that can find them at the earliest possible sign of a deviation from expected behaviour, is critical for many applications including those arising in security, epidemiology, and monitoring of critical infrastructure. This project aims to develop new methods to characterise the expected time series behaviour of systems, even in the presence of significant noise and concept drift, and with spatio-temporal and multivariate time series.

Developing flexible copula based methods

A copula is a multivariate model whose marginals are uniform. A copula based model is one that is based on a copula. The attraction of using copula models is that we can separately model the marginal distributions and the dependence structure of our target distribution. Such models are particularly attractive when some or all of the marginals are discrete or a mixture of discrete and continuous components. A multivariate probit model is one simple example of a copula model.

Enabling Bayesian inference for big data

In the last decade or so, there has been a dramatic increase in storage facilities and the possibility of processing huge amounts of data. This has made large high-quality data sets widely accessible for practitioners. This technology innovation seriously challenges inference methodology, in particular simulation algorithms commonly applied in Bayesian inference. These algorithms typically require repeated evaluations over the whole data set when fitting models, precluding their use in the age of so called big data.