Particle-filtering approaches for nonlinear Bayesian decoding of neuronal spike trains

The number of neurons that can be simultaneously recorded doubles every seven years. This ever increasing number of recorded neurons opens up the possibility to address new questions and extract higher dimensional stimuli from the recordings. Modeling neural spike trains as point processes, this task of extracting dynamical signals from spike trains is commonly set in the context of nonlinear filtering theory. Particle filter methods relying on importance weights are generic algorithms that solve the filtering task numerically, but exhibit a serious drawback when the problem dimensionality is high: they are known to suffer from the 'curse of dimensionality' (COD), i.e. the number of particles required for a certain performance scales exponentially with the observable dimensions. Here, we first briefly review the theory on filtering with point process observations in continuous time. Based on this theory, we investigate both analytically and numerically the reason for the COD of weighted particle filtering approaches: Similarly to particle filtering with continuous-time observations, the COD with point-process observations is due to the decay of effective number of particles, an effect that is stronger when the number of observable dimensions increases. Given the success of unweighted particle filtering approaches in overcoming the COD for continuous- time observations, we introduce an unweighted particle filter for point-process observations, the spike-based Neural Particle Filter (sNPF), and show that it exhibits a similar favorable scaling as the number of dimensions grows. Further, we derive rules for the parameters of the sNPF from a maximum likelihood approach learning. We finally employ a simple decoding task to illustrate the capabilities of the sNPF and to highlight one possible future application of our inference and learning algorithm

Parameter estimation, model reduction and quantum filtering

This thesis explores the topics of parameter estimation and model reduction in the context of quantum filtering. The last is a mathematically rigorous formulation of continuous quantum measurement, in which a stream of auxiliary quantum systems is used to infer the state of a target quantum system. Fundamental quantum uncertainties appear as noise which corrupts the probe observations and therefore must be filtered in order to extract information about the target system. This is analogous to the classical filtering problem in which techniques of inference are used to process noisy observations of a system in order to estimate its state. Given the clear similarities between the two filtering problems, I devote the beginning of this thesis to a review of classical and quantum probability theory, stochastic calculus and filtering. This allows for a mathematically rigorous and technically adroit presentation of the quantum filtering problem and solution. Given this foundation, I next consider the related problem of quantum parameter estimation, in which one seeks to infer the strength of a parameter that drives the evolution of a probe quantum system. By embedding this problem in the state estimation problem solved by the quantum filter, I present the optimal Bayesian estimator for a parameter when given continuous measurements of the probe system to which it couples. For cases when the probe takes on a finite number of values, I review a set of sufficient conditions for asymptotic convergence of the estimator. For a continuous-valued parameter, I present a computational method called quantum particle filtering for practical estimation of the parameter. Using these methods, I then study the particular problem of atomic magnetometry and review an experimental method for potentially reducing the uncertainty in the estimate of the magnetic field beyond the standard quantum limit. The technique involves double-passing a probe laser field through the atomic system, giving rise to effective non-linearities which enhance the effect of Larmor precession allowing for improved magnetic field estimation. I then turn to the topic of model reduction, which is the search for a reduced computational model of a dynamical system. This is a particularly important task for quantum mechanical systems, whose state grows exponentially in the number of subsystems. In the quantum filtering setting, I study the use of model reduction in developing a feedback controller for continuous-time quantum error correction. By studying the propagation of errors in a noisy quantum memory, I present a computation model which scales polynomially, rather than exponentially, in the number of physical qubits of the system. Although inexact, a feedback controller using this model performs almost indistinguishably from one using the full model. I finally review an exact but polynomial model of collective qubit systems undergoing arbitrary symmetric dynamics which allows for the efficient simulation of spontaneous-emission and related open quantum system phenomenon

Stochastic Particle Flow for Nonlinear High-Dimensional Filtering Problems

A series of novel filters for probabilistic inference that propose an alternative way of performing Bayesian updates, called particle flow filters, have been attracting recent interest. These filters provide approximate solutions to nonlinear filtering problems. They do so by defining a continuum of densities between the prior probability density and the posterior, i.e. the filtering density. Building on these methods' successes, we propose a novel filter. The new filter aims to address the shortcomings of sequential Monte Carlo methods when applied to important nonlinear high-dimensional filtering problems. The novel filter uses equally weighted samples, each of which is associated with a local solution of the Fokker-Planck equation. This hybrid of Monte Carlo and local parametric approximation gives rise to a global approximation of the filtering density of interest. We show that, when compared with state-of-the-art methods, the Gaussian-mixture implementation of the new filtering technique, which we call Stochastic Particle Flow, has utility in the context of benchmark nonlinear high-dimensional filtering problems. In addition, we extend the original particle flow filters for tackling multi-target multi-sensor tracking problems to enable a comparison with the new filter

Nonlinear filtering of high dimensional, chaotic, multiple timescale correlated systems

This dissertation addresses theoretical and numerical questions in nonlinear filtering theory for high dimensional, chaotic, multiple timescale correlated systems. The research is motivated by problems in the geosciences, in particular oceanic or atmospheric estimation and climate prediction. As the capability and need to further resolve the physics models on finer scales continues, greater spatial and temporal scales become present and the dimension of the models becomes increasingly large. In the atmospheric sciences, these models can be of the order $\mathcal{O}(10^9)$ degrees of freedom and require assimilation of the order $\mathcal{O}(10^7)$ observations during a single day. The models are chaotic and the observing sensors may be correlated with the physical processes themselves. The goal of the dissertation is to develop theoretical results that can provide the mathematical justification for new filtering algorithms on a lower dimensional problem, and to develop novel methods for dealing with issues that plague particle filtering when applied to high dimensional, chaotic, multiple timescale correlated systems. The first half of the dissertation is theoretical and addresses the question of approximating the continuous time nonlinear filtering equation for a multiple timescale correlated system by an averaged filtering equation in the limit of large timescale separation. The first result in this direction is within the context of a slow-fast system with correlation between the slow process and the observation process, and when we are only interested in estimating functions of the slow process. The main result is that we can retrieve a rate of convergence and that there is a metric generating the topology of weak convergence, such that the marginal filter converges to the averaged filter at the given rate in the limit of large timescale separation. The proof uses a probabilistic representation (backward doubly stochastic differential equation) of the dual process to the unnormalized filter, and sharp estimates on the transition density and semigroup of the fast process. The second theoretical result of the dissertation addresses the same question for a broader problem, where the slow signal dynamics include an intermediate timescale forcing. We prove that the marginal filter converges in probability to the average filter for a metric that generates the topology of weak convergence. The method of proof is by showing tightness of the measure-valued process, characterizing the weak limits, and proving the limit is unique. The perturbation test function (also known as method of corrector) is used to deal with the intermediate timescale forcing term, where the corrector is the solution of a Poisson equation. The second half of the dissertation develops filtering algorithms that leverage the theoretical results from the first half of the thesis to produce particle filtering methods for the averaged filtering equation. We also develop particle methods that address the issue of particle collapse for filtering on general high dimensional chaotic systems. Using the two timescale Lorenz 1996 atmospheric model, we show that the reduced order particle filtering methods are shown to be at least an order of magnitude faster than standard particle methods. We develop a method for particle filtering when the signal and observation processes are correlated. We also develop extensions to controlled optimal proposal particle filters that improve the diversity of the particle ensemble when tested on the Lorenz 1963 model. In the last chapter of the dissertation, we adopt a dynamical systems viewpoint to address the issue of particle collapse. This time the goal is to exploit the chaotic properties of the system being filtered to perform assimilation in a lower dimensional subspace. A new approach is developed which enables data assimilation in the unstable subspace for particle filtering. We introduce the idea of future right-singular vectors to produce projection operators, enabling assimilation in a lower dimensional subspace. We show that particle filtering algorithms using dynamically generator projection operators, in particular the future right-singular vectors, outperforms standard particle methods in terms of root-mean-square-error, diversity of the particle ensemble, and robustness when applied to the single timescale Lorenz 1996 model

Stochastic Particle Flow for Nonlinear High-Dimensional Filtering Problems

A series of novel filters for probabilistic inference that propose an alternative way of performing Bayesian updates, called particle flow filters, have been attracting recent interest. These filters provide approximate solutions to nonlinear filtering problems. They do so by defining a continuum of densities between the prior probability density and the posterior, i.e. the filtering density. Building on these methods' successes, we propose a novel filter. The new filter aims to address the shortcomings of sequential Monte Carlo methods when applied to important nonlinear high-dimensional filtering problems. The novel filter uses equally weighted samples, each of which is associated with a local solution of the Fokker-Planck equation. This hybrid of Monte Carlo and local parametric approximation gives rise to a global approximation of the filtering density of interest. We show that, when compared with state-of-the-art methods, the Gaussian-mixture implementation of the new filtering technique, which we call Stochastic Particle Flow, has utility in the context of benchmark nonlinear high-dimensional filtering problems. In addition, we extend the original particle flow filters for tackling multi-target multi-sensor tracking problems to enable a comparison with the new filter

Measure transport with kernel mean embeddings

Kalman filters constitute a scalable and robust methodology for approximate Bayesian inference, matching first and second order moments of the target posterior. To improve the accuracy in nonlinear and non-Gaussian settings, we extend this principle to include more or different characteristics, based on kernel mean embeddings (KMEs) of probability measures into their corresponding Hilbert spaces. Focusing on the continuous-time setting, we develop a family of interacting particle systems (termed $\textit{KME-dynamics}$) that bridge between the prior and the posterior, and that include the Kalman-Bucy filter as a special case. A variant of KME-dynamics has recently been derived from an optimal transport perspective by Maurais and Marzouk, and we expose further connections to (kernelised) diffusion maps, leading to a variational formulation of regression type. Finally, we conduct numerical experiments on toy examples and the Lorenz-63 model, the latter of which show particular promise for a hybrid modification (called Kalman-adjusted KME-dynamics).Comment: 21 pages, 5 figure

Multiple-Object Estimation Techniques for Challenging Scenarios

A series of methods for solving the multi-object estimation problem in the context sequential Bayesian inference is presented. These methods concentrate on dealing with challenging scenarios of multiple target tracking, involving fundamental problems of nonlinearity and non-Gaussianity of processes, high state dimensionality, high number of targets, statistical dependence between target states, and degenerate cases of low signal-to-noise ratio, high uncertainty, lowly observable states or uninformative observations. These difficulties pose obstacles to most practical multi-object inference problems, lying at the heart of the shortcomings reported for state-of-the-art methods, and so elicit novel treatments to enable tackling a broader class of real problems. The novel algorithms offered as solutions in this dissertation address such challenges by acting on the root causes of the associated problems. Often this involves essential dilemmas commonly manifested in Statistics and Decision Theory, such as trading off estimation accuracy with algorithm complexity, soft versus hard decision, generality versus tractability, conciseness versus interpretativeness etc. All proposed algorithms constitute stochastic filters, each of which is formulated to address specific aspects of the challenges at hand while offering tools to achieve judicious compromises in the aforementioned dilemmas. Two of the filters address the weight degeneracy observed in sequential Monte Carlo filters, particularly for nonlinear processes. One of these filters is designed for nonlinear non-Gaussian high-dimensional problems, delivering representativeness of the uncertainty in high-dimensional states while mitigating part of the inaccuracies that arise from the curse of dimensionality. This filter is shown to cope well with scenarios of multimodality, high state uncertainty, uninformative observations and high number of false alarms. A multi-object filter deals with the problem of considering dependencies between target states in a way that is scalable to a large number of targets, by resorting to probabilistic graphical structures. Another multi-object filter treats the problem of reducing the computational complexity of a state-of-the-art cardinalized filter to deal with a large number of targets, without compromising accuracy significantly. Finally, a framework for associating measurements across observation sessions for scenarios of low state observability is proposed, with application to an important Space Surveillance task: cataloging of space debris in the geosynchronous/geostationary belt. The devised methods treat the considered challenges by bringing about rather general questions, and provide not only principled solutions but also analyzes the essence of the investigated problems, extrapolating the implemented techniques to a wider spectrum of similar problems in Signal Processing