9,164 research outputs found
Stochastic expansions using continuous dictionaries: L\'{e}vy adaptive regression kernels
This article describes a new class of prior distributions for nonparametric
function estimation. The unknown function is modeled as a limit of weighted
sums of kernels or generator functions indexed by continuous parameters that
control local and global features such as their translation, dilation,
modulation and shape. L\'{e}vy random fields and their stochastic integrals are
employed to induce prior distributions for the unknown functions or,
equivalently, for the number of kernels and for the parameters governing their
features. Scaling, shape, and other features of the generating functions are
location-specific to allow quite different function properties in different
parts of the space, as with wavelet bases and other methods employing
overcomplete dictionaries. We provide conditions under which the stochastic
expansions converge in specified Besov or Sobolev norms. Under a Gaussian error
model, this may be viewed as a sparse regression problem, with regularization
induced via the L\'{e}vy random field prior distribution. Posterior inference
for the unknown functions is based on a reversible jump Markov chain Monte
Carlo algorithm. We compare the L\'{e}vy Adaptive Regression Kernel (LARK)
method to wavelet-based methods using some of the standard test functions, and
illustrate its flexibility and adaptability in nonstationary applications.Comment: Published in at http://dx.doi.org/10.1214/11-AOS889 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
On the physical relevance of random walks: an example of random walks on a randomly oriented lattice
Random walks on general graphs play an important role in the understanding of
the general theory of stochastic processes. Beyond their fundamental interest
in probability theory, they arise also as simple models of physical systems. A
brief survey of the physical relevance of the notion of random walk on both
undirected and directed graphs is given followed by the exposition of some
recent results on random walks on randomly oriented lattices.
It is worth noticing that general undirected graphs are associated with (not
necessarily Abelian) groups while directed graphs are associated with (not
necessarily Abelian) -algebras. Since quantum mechanics is naturally
formulated in terms of -algebras, the study of random walks on directed
lattices has been motivated lately by the development of the new field of
quantum information and communication
A multi-resolution, non-parametric, Bayesian framework for identification of spatially-varying model parameters
This paper proposes a hierarchical, multi-resolution framework for the
identification of model parameters and their spatially variability from noisy
measurements of the response or output. Such parameters are frequently
encountered in PDE-based models and correspond to quantities such as density or
pressure fields, elasto-plastic moduli and internal variables in solid
mechanics, conductivity fields in heat diffusion problems, permeability fields
in fluid flow through porous media etc. The proposed model has all the
advantages of traditional Bayesian formulations such as the ability to produce
measures of confidence for the inferences made and providing not only
predictive estimates but also quantitative measures of the predictive
uncertainty. In contrast to existing approaches it utilizes a parsimonious,
non-parametric formulation that favors sparse representations and whose
complexity can be determined from the data. The proposed framework in
non-intrusive and makes use of a sequence of forward solvers operating at
various resolutions. As a result, inexpensive, coarse solvers are used to
identify the most salient features of the unknown field(s) which are
subsequently enriched by invoking solvers operating at finer resolutions. This
leads to significant computational savings particularly in problems involving
computationally demanding forward models but also improvements in accuracy. It
is based on a novel, adaptive scheme based on Sequential Monte Carlo sampling
which is embarrassingly parallelizable and circumvents issues with slow mixing
encountered in Markov Chain Monte Carlo schemes
Regional variance for multi-object filtering
Recent progress in multi-object filtering has led to algorithms that compute
the first-order moment of multi-object distributions based on sensor
measurements. The number of targets in arbitrarily selected regions can be
estimated using the first-order moment. In this work, we introduce explicit
formulae for the computation of the second-order statistic on the target
number. The proposed concept of regional variance quantifies the level of
confidence on target number estimates in arbitrary regions and facilitates
information-based decisions. We provide algorithms for its computation for the
Probability Hypothesis Density (PHD) and the Cardinalized Probability
Hypothesis Density (CPHD) filters. We demonstrate the behaviour of the regional
statistics through simulation examples
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