Bibliographic Review on Distributed Kalman Filtering

In recent years, a compelling need has arisen to understand the effects of distributed information structures on estimation and filtering. In this paper, a bibliographical review on distributed Kalman filtering (DKF) is provided.\ud The paper contains a classification of different approaches and methods involved to DKF. The applications of DKF are also discussed and explained separately. A comparison of different approaches is briefly carried out. Focuses on the contemporary research are also addressed with emphasis on the practical applications of the techniques. An exhaustive list of publications, linked directly or indirectly to DKF in the open literature, is compiled to provide an overall picture of different developing aspects of this area

Ensemble Transport Adaptive Importance Sampling

Markov chain Monte Carlo methods are a powerful and commonly used family of numerical methods for sampling from complex probability distributions. As applications of these methods increase in size and complexity, the need for efficient methods increases. In this paper, we present a particle ensemble algorithm. At each iteration, an importance sampling proposal distribution is formed using an ensemble of particles. A stratified sample is taken from this distribution and weighted under the posterior, a state-of-the-art ensemble transport resampling method is then used to create an evenly weighted sample ready for the next iteration. We demonstrate that this ensemble transport adaptive importance sampling (ETAIS) method outperforms MCMC methods with equivalent proposal distributions for low dimensional problems, and in fact shows better than linear improvements in convergence rates with respect to the number of ensemble members. We also introduce a new resampling strategy, multinomial transformation (MT), which while not as accurate as the ensemble transport resampler, is substantially less costly for large ensemble sizes, and can then be used in conjunction with ETAIS for complex problems. We also focus on how algorithmic parameters regarding the mixture proposal can be quickly tuned to optimise performance. In particular, we demonstrate this methodology's superior sampling for multimodal problems, such as those arising from inference for mixture models, and for problems with expensive likelihoods requiring the solution of a differential equation, for which speed-ups of orders of magnitude are demonstrated. Likelihood evaluations of the ensemble could be computed in a distributed manner, suggesting that this methodology is a good candidate for parallel Bayesian computations

Integrating dynamic stopping, transfer learning and language models in an adaptive zero-training ERP speller

Objective. Most BCIs have to undergo a calibration session in which data is recorded to train decoders with machine learning. Only recently zero-training methods have become a subject of study. This work proposes a probabilistic framework for BCI applications which exploit event-related potentials (ERPs). For the example of a visual P300 speller we show how the framework harvests the structure suitable to solve the decoding task by (a) transfer learning, (b) unsupervised adaptation, (c) language model and (d) dynamic stopping. Approach. A simulation study compares the proposed probabilistic zero framework (using transfer learning and task structure) to a state-of-the-art supervised model on n = 22 subjects. The individual influence of the involved components (a)–(d) are investigated. Main results. Without any need for a calibration session, the probabilistic zero-training framework with inter-subject transfer learning shows excellent performance—competitive to a state-of-the-art supervised method using calibration. Its decoding quality is carried mainly by the effect of transfer learning in combination with continuous unsupervised adaptation. Significance. A high-performing zero-training BCI is within reach for one of the most popular BCI paradigms: ERP spelling. Recording calibration data for a supervised BCI would require valuable time which is lost for spelling. The time spent on calibration would allow a novel user to spell 29 symbols with our unsupervised approach. It could be of use for various clinical and non-clinical ERP-applications of BCI