Implicit sampling for path integral control, Monte Carlo localization, and SLAM

The applicability and usefulness of implicit sampling in stochastic optimal control, stochastic localization, and simultaneous localization and mapping (SLAM), is explored; implicit sampling is a recently-developed variationally-enhanced sampling method. The theory is illustrated with examples, and it is found that implicit sampling is significantly more efficient than current Monte Carlo methods in test problems for all three applications

Exploring Algorithmic Limits of Matrix Rank Minimization under Affine Constraints

Many applications require recovering a matrix of minimal rank within an affine constraint set, with matrix completion a notable special case. Because the problem is NP-hard in general, it is common to replace the matrix rank with the nuclear norm, which acts as a convenient convex surrogate. While elegant theoretical conditions elucidate when this replacement is likely to be successful, they are highly restrictive and convex algorithms fail when the ambient rank is too high or when the constraint set is poorly structured. Non-convex alternatives fare somewhat better when carefully tuned; however, convergence to locally optimal solutions remains a continuing source of failure. Against this backdrop we derive a deceptively simple and parameter-free probabilistic PCA-like algorithm that is capable, over a wide battery of empirical tests, of successful recovery even at the theoretical limit where the number of measurements equal the degrees of freedom in the unknown low-rank matrix. Somewhat surprisingly, this is possible even when the affine constraint set is highly ill-conditioned. While proving general recovery guarantees remains evasive for non-convex algorithms, Bayesian-inspired or otherwise, we nonetheless show conditions whereby the underlying cost function has a unique stationary point located at the global optimum; no existing cost function we are aware of satisfies this same property. We conclude with a simple computer vision application involving image rectification and a standard collaborative filtering benchmark

Self-Paced Learning: an Implicit Regularization Perspective

Self-paced learning (SPL) mimics the cognitive mechanism of humans and animals that gradually learns from easy to hard samples. One key issue in SPL is to obtain better weighting strategy that is determined by minimizer function. Existing methods usually pursue this by artificially designing the explicit form of SPL regularizer. In this paper, we focus on the minimizer function, and study a group of new regularizer, named self-paced implicit regularizer that is deduced from robust loss function. Based on the convex conjugacy theory, the minimizer function for self-paced implicit regularizer can be directly learned from the latent loss function, while the analytic form of the regularizer can be even known. A general framework (named SPL-IR) for SPL is developed accordingly. We demonstrate that the learning procedure of SPL-IR is associated with latent robust loss functions, thus can provide some theoretical inspirations for its working mechanism. We further analyze the relation between SPL-IR and half-quadratic optimization. Finally, we implement SPL-IR to both supervised and unsupervised tasks, and experimental results corroborate our ideas and demonstrate the correctness and effectiveness of implicit regularizers.Comment: 12 pages, 3 figure

Implicit particle methods and their connection with variational data assimilation

The implicit particle filter is a sequential Monte Carlo method for data assimilation that guides the particles to the high-probability regions via a sequence of steps that includes minimizations. We present a new and more general derivation of this approach and extend the method to particle smoothing as well as to data assimilation for perfect models. We show that the minimizations required by implicit particle methods are similar to the ones one encounters in variational data assimilation and explore the connection of implicit particle methods with variational data assimilation. In particular, we argue that existing variational codes can be converted into implicit particle methods at a low cost, often yielding better estimates, that are also equipped with quantitative measures of the uncertainty. A detailed example is presented

Robust and Efficient Recovery of Rigid Motion from Subspace Constraints Solved using Recursive Identification of Nonlinear Implicit Systems

The problem of estimating rigid motion from projections may be characterized using a nonlinear dynamical system, composed of the rigid motion transformation and the perspective map. The time derivative of the output of such a system, which is also called the "motion field", is bilinear in the motion parameters, and may be used to specify a subspace constraint on either the direction of translation or the inverse depth of the observed points. Estimating motion may then be formulated as an optimization task constrained on such a subspace. Heeger and Jepson [5], who first introduced this constraint, solve the optimization task using an extensive search over the possible directions of translation. We reformulate the optimization problem in a systems theoretic framework as the the identification of a dynamic system in exterior differential form with parameters on a differentiable manifold, and use techniques which pertain to nonlinear estimation and identification theory to perform the optimization task in a principled manner. The general technique for addressing such identification problems [14] has been used successfully in addressing other problems in computational vision [13, 12]. The application of the general method [14] results in a recursive and pseudo-optimal solution of the motion problem, which has robustness properties far superior to other existing techniques we have implemented. By releasing the constraint that the visible points lie in front of the observer, we may explain some psychophysical effects on the nonrigid percept of rigidly moving shapes. Experiments on real and synthetic image sequences show very promising results in terms of robustness, accuracy and computational efficiency