Bayesian interpolation

Although Bayesian analysis has been in use since Laplace, the Bayesian method of model-comparison has only recently been developed in depth. In this paper, the Bayesian approach to regularization and model-comparison is demonstrated by studying the inference problem of interpolating noisy data. The concepts and methods described are quite general and can be applied to many other data modeling problems. Regularizing constants are set by examining their posterior probability distribution. Alternative regularizers (priors) and alternative basis sets are objectively compared by evaluating the evidence for them. “Occam's razor” is automatically embodied by this process. The way in which Bayes infers the values of regularizing constants and noise levels has an elegant interpretation in terms of the effective number of parameters determined by the data set. This framework is due to Gull and Skilling

Relative entropy and the multi-variable multi-dimensional moment problem

Entropy-like functionals on operator algebras have been studied since the pioneering work of von Neumann, Umegaki, Lindblad, and Lieb. The most well-known are the von Neumann entropy $trace (\rho\log \rho)$ and a generalization of the Kullback-Leibler distance $trace (\rho \log \rho - \rho \log \sigma)$, refered to as quantum relative entropy and used to quantify distance between states of a quantum system. The purpose of this paper is to explore these as regularizing functionals in seeking solutions to multi-variable and multi-dimensional moment problems. It will be shown that extrema can be effectively constructed via a suitable homotopy. The homotopy approach leads naturally to a further generalization and a description of all the solutions to such moment problems. This is accomplished by a renormalization of a Riemannian metric induced by entropy functionals. As an application we discuss the inverse problem of describing power spectra which are consistent with second-order statistics, which has been the main motivation behind the present work.Comment: 24 pages, 3 figure

A rarefaction-tracking method for hyperbolic conservation laws

We present a numerical method for scalar conservation laws in one space dimension. The solution is approximated by local similarity solutions. While many commonly used approaches are based on shocks, the presented method uses rarefaction and compression waves. The solution is represented by particles that carry function values and move according to the method of characteristics. Between two neighboring particles, an interpolation is defined by an analytical similarity solution of the conservation law. An interaction of particles represents a collision of characteristics. The resulting shock is resolved by merging particles so that the total area under the function is conserved. The method is variation diminishing, nevertheless, it has no numerical dissipation away from shocks. Although shocks are not explicitly tracked, they can be located accurately. We present numerical examples, and outline specific applications and extensions of the approach.Comment: 21 pages, 7 figures. Similarity 2008 conference proceeding

An exactly conservative particle method for one dimensional scalar conservation laws

A particle scheme for scalar conservation laws in one space dimension is presented. Particles representing the solution are moved according to their characteristic velocities. Particle interaction is resolved locally, satisfying exact conservation of area. Shocks stay sharp and propagate at correct speeds, while rarefaction waves are created where appropriate. The method is variation diminishing, entropy decreasing, exactly conservative, and has no numerical dissipation away from shocks. Solutions, including the location of shocks, are approximated with second order accuracy. Source terms can be included. The method is compared to CLAWPACK in various examples, and found to yield a comparable or better accuracy for similar resolutions.Comment: 29 pages, 21 figure

Time and spectral domain relative entropy: A new approach to multivariate spectral estimation

The concept of spectral relative entropy rate is introduced for jointly stationary Gaussian processes. Using classical information-theoretic results, we establish a remarkable connection between time and spectral domain relative entropy rates. This naturally leads to a new spectral estimation technique where a multivariate version of the Itakura-Saito distance is employed}. It may be viewed as an extension of the approach, called THREE, introduced by Byrnes, Georgiou and Lindquist in 2000 which, in turn, followed in the footsteps of the Burg-Jaynes Maximum Entropy Method. Spectral estimation is here recast in the form of a constrained spectrum approximation problem where the distance is equal to the processes relative entropy rate. The corresponding solution entails a complexity upper bound which improves on the one so far available in the multichannel framework. Indeed, it is equal to the one featured by THREE in the scalar case. The solution is computed via a globally convergent matricial Newton-type algorithm. Simulations suggest the effectiveness of the new technique in tackling multivariate spectral estimation tasks, especially in the case of short data records.Comment: 32 pages, submitted for publicatio

Joint morphological-lexical language modeling for processing morphologically rich languages with application to dialectal Arabic

Language modeling for an inflected language such as Arabic poses new challenges for speech recognition and machine translation due to its rich morphology. Rich morphology results in large increases in out-of-vocabulary (OOV) rate and poor language model parameter estimation in the absence of large quantities of data. In this study, we present a joint morphological-lexical language model (JMLLM) that takes advantage of Arabic morphology. JMLLM combines morphological segments with the underlying lexical items and additional available information sources with regards to morphological segments and lexical items in a single joint model. Joint representation and modeling of morphological and lexical items reduces the OOV rate and provides smooth probability estimates while keeping the predictive power of whole words. Speech recognition and machine translation experiments in dialectal-Arabic show improvements over word and morpheme based trigram language models. We also show that as the tightness of integration between different information sources increases, both speech recognition and machine translation performances improve