3,840 research outputs found

    Dynamic Compressive Sensing of Time-Varying Signals via Approximate Message Passing

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    In this work the dynamic compressive sensing (CS) problem of recovering sparse, correlated, time-varying signals from sub-Nyquist, non-adaptive, linear measurements is explored from a Bayesian perspective. While there has been a handful of previously proposed Bayesian dynamic CS algorithms in the literature, the ability to perform inference on high-dimensional problems in a computationally efficient manner remains elusive. In response, we propose a probabilistic dynamic CS signal model that captures both amplitude and support correlation structure, and describe an approximate message passing algorithm that performs soft signal estimation and support detection with a computational complexity that is linear in all problem dimensions. The algorithm, DCS-AMP, can perform either causal filtering or non-causal smoothing, and is capable of learning model parameters adaptively from the data through an expectation-maximization learning procedure. We provide numerical evidence that DCS-AMP performs within 3 dB of oracle bounds on synthetic data under a variety of operating conditions. We further describe the result of applying DCS-AMP to two real dynamic CS datasets, as well as a frequency estimation task, to bolster our claim that DCS-AMP is capable of offering state-of-the-art performance and speed on real-world high-dimensional problems.Comment: 32 pages, 7 figure

    Data-driven discovery of coordinates and governing equations

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    The discovery of governing equations from scientific data has the potential to transform data-rich fields that lack well-characterized quantitative descriptions. Advances in sparse regression are currently enabling the tractable identification of both the structure and parameters of a nonlinear dynamical system from data. The resulting models have the fewest terms necessary to describe the dynamics, balancing model complexity with descriptive ability, and thus promoting interpretability and generalizability. This provides an algorithmic approach to Occam's razor for model discovery. However, this approach fundamentally relies on an effective coordinate system in which the dynamics have a simple representation. In this work, we design a custom autoencoder to discover a coordinate transformation into a reduced space where the dynamics may be sparsely represented. Thus, we simultaneously learn the governing equations and the associated coordinate system. We demonstrate this approach on several example high-dimensional dynamical systems with low-dimensional behavior. The resulting modeling framework combines the strengths of deep neural networks for flexible representation and sparse identification of nonlinear dynamics (SINDy) for parsimonious models. It is the first method of its kind to place the discovery of coordinates and models on an equal footing.Comment: 25 pages, 6 figures; added acknowledgment

    Bayesian Learning and Predictability in a Stochastic Nonlinear Dynamical Model

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    Bayesian inference methods are applied within a Bayesian hierarchical modelling framework to the problems of joint state and parameter estimation, and of state forecasting. We explore and demonstrate the ideas in the context of a simple nonlinear marine biogeochemical model. A novel approach is proposed to the formulation of the stochastic process model, in which ecophysiological properties of plankton communities are represented by autoregressive stochastic processes. This approach captures the effects of changes in plankton communities over time, and it allows the incorporation of literature metadata on individual species into prior distributions for process model parameters. The approach is applied to a case study at Ocean Station Papa, using Particle Markov chain Monte Carlo computational techniques. The results suggest that, by drawing on objective prior information, it is possible to extract useful information about model state and a subset of parameters, and even to make useful long-term forecasts, based on sparse and noisy observations

    A Unifying review of linear gaussian models

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    Factor analysis, principal component analysis, mixtures of gaussian clusters, vector quantization, Kalman filter models, and hidden Markov models can all be unified as variations of unsupervised learning under a single basic generative model. This is achieved by collecting together disparate observations and derivations made by many previous authors and introducing a new way of linking discrete and continuous state models using a simple nonlinearity. Through the use of other nonlinearities, we show how independent component analysis is also a variation of the same basic generative model.We show that factor analysis and mixtures of gaussians can be implemented in autoencoder neural networks and learned using squared error plus the same regularization term. We introduce a new model for static data, known as sensible principal component analysis, as well as a novel concept of spatially adaptive observation noise. We also review some of the literature involving global and local mixtures of the basic models and provide pseudocode for inference and learning for all the basic models
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