An empirical Bayes approach for joint Bayesian model selection and estimation of sinusoids via reversible jump MCMC

This paper addresses the sensitivity of the algorithm proposed by Andrieu and Doucet (IEEE Trans. Signal Process., 47(10), 1999), for the joint Bayesian model selection and estimation of sinusoids in white Gaussian noise, to the values of a certain hyperparameter claimed to be weakly influential in the original paper. A deeper study of this issue reveals indeed that the value of this hyperparameter (the scale parameter of the expected signal-to-noise ratio) has a significant influence on 1) the mixing rate of the Markov chain and 2) the posterior distribution of the number of components. As a possible workaround for this problem, we investigate an Empirical Bayes approach to select an appropriate value for this hyperparameter in a data-driven way. Marginal likelihood maximization is performed by means of an importance sampling based Monte Carlo EM (MCEM) algorithm. Numerical experiments illustrate that the sampler equipped with this MCEM procedure provides satisfactory performances in moderate to high SNR situations

On the joint Bayesian model selection and estimation of sinusoids via reversible jump MCMC in low SNR situations

This paper addresses the behavior in low SNR situations of the algorithm proposed by Andrieu and Doucet (IEEE T. Signal Proces., 47(10), 1999) for the joint Bayesian model selection and estimation of sinusoids in Gaussian white noise. It is shown that the value of a certain hyperparameter, claimed to be weakly influential in the original paper, becomes in fact quite important in this context. This robustness issue is fixed by a suitable modification of the prior distribution, based on model selection considerations. Numerical experiments show that the resulting algorithm is more robust to the value of its hyperparameters

Robust Bayesian target detection algorithm for depth imaging from sparse single-photon data

This paper presents a new Bayesian model and associated algorithm for depth and intensity profiling using full waveforms from time-correlated single-photon counting (TCSPC) measurements in the limit of very low photon counts (i.e., typically less than 20 photons per pixel). The model represents each Lidar waveform as an unknown constant background level, which is combined in the presence of a target, to a known impulse response weighted by the target intensity and finally corrupted by Poisson noise. The joint target detection and depth imaging problem is expressed as a pixel-wise model selection and estimation problem which is solved using Bayesian inference. Prior knowledge about the problem is embedded in a hierarchical model that describes the dependence structure between the model parameters while accounting for their constraints. In particular, Markov random fields (MRFs) are used to model the joint distribution of the background levels and of the target presence labels, which are both expected to exhibit significant spatial correlations. An adaptive Markov chain Monte Carlo algorithm including reversible-jump updates is then proposed to compute the Bayesian estimates of interest. This algorithm is equipped with a stochastic optimization adaptation mechanism that automatically adjusts the parameters of the MRFs by maximum marginal likelihood estimation. Finally, the benefits of the proposed methodology are demonstrated through a series of experiments using real data.Comment: arXiv admin note: text overlap with arXiv:1507.0251

Summarizing Posterior Distributions in Signal Decomposition Problems when the Number of Components is Unknown

International audienceThis paper addresses the problem of summarizing the posterior distributions that typically arise, in a Bayesian framework, when dealing with signal decomposition problems with unknown number of components. Such posterior distributions are defined over union of subspaces of differing dimensionality and can be sampled from using modern Monte Carlo techniques, for instance the increasingly popular RJ-MCMC method. No generic approach is available, however, to summarize the resulting variable-dimensional samples and extract from them component-specific parameters. We propose a novel approach to this problem, which consists in approximating the complex posterior of interest by a "simple"--but still variable-dimensional--parametric distribution. The distance between the two distributions is measured using the Kullback- Leibler divergence, and a Stochastic EM-type algorithm, driven by the RJ-MCMC sampler, is proposed to estimate the parameters. The proposed algorithm is illustrated on the fundamental signal processing example of joint detection and estimation of sinusoids in white Gaussian noise

Signal separation of musical instruments: simulation-based methods for musical signal decomposition and transcription

This thesis presents techniques for the modelling of musical signals, with particular regard to monophonic and polyphonic pitch estimation. Musical signals are modelled as a set of notes, each comprising of a set of harmonically-related sinusoids. An hierarchical model is presented that is very general and applicable to any signal that can be decomposed as the sum of basis functions. Parameter estimation is posed within a Bayesian framework, allowing for the incorporation of prior information about model parameters. The resulting posterior distribution is of variable dimension and so reversible jump MCMC simulation techniques are employed for the parameter estimation task. The extension of the model to time-varying signals with high posterior correlations between model parameters is described. The parameters and hyperparameters of several frames of data are estimated jointly to achieve a more robust detection. A general model for the description of time-varying homogeneous and heterogeneous multiple component signals is developed, and then applied to the analysis of musical signals. The importance of high level musical and perceptual psychological knowledge in the formulation of the model is highlighted, and attention is drawn to the limitation of pure signal processing techniques for dealing with musical signals. Gestalt psychological grouping principles motivate the hierarchical signal model, and component identifiability is considered in terms of perceptual streaming where each component establishes its own context. A major emphasis of this thesis is the practical application of MCMC techniques, which are generally deemed to be too slow for many applications. Through the design of efficient transition kernels highly optimised for harmonic models, and by careful choice of assumptions and approximations, implementations approaching the order of realtime are viable.Engineering and Physical Sciences Research Counci

Relabeling and Summarizing Posterior Distributions in Signal Decomposition Problems when the Number of Components is Unknown

International audienceThis paper addresses the problems of relabeling and summarizing posterior distributions that typically arise, in a Bayesian framework, when dealing with signal decomposition problems with an unknown number of components. Such posterior distributions are defined over union of subspaces of differing dimensionality and can be sampled from using modern Monte Carlo techniques, for instance the increasingly popular RJ-MCMC method. No generic approach is available, however, to summarize the resulting variable-dimensional samples and extract from them component-specific parameters. We propose a novel approach, named Variable-dimensional Approximate Posterior for Relabeling and Summarizing (VAPoRS), to this problem, which consists in approximating the posterior distribution of interest by a "simple"---but still variable-dimensional---parametric distribution. The distance between the two distributions is measured using the Kullback-Leibler divergence, and a Stochastic EM-type algorithm, driven by the RJ-MCMC sampler, is proposed to estimate the parameters. Two signal decomposition problems are considered, to show the capability of VAPoRS both for relabeling and for summarizing variable dimensional posterior distributions: the classical problem of detecting and estimating sinusoids in white Gaussian noise on the one hand, and a particle counting problem motivated by the Pierre Auger project in astrophysics on the other hand

Bayesian methods in music modelling

This thesis presents several hierarchical generative Bayesian models of musical signals designed to improve the accuracy of existing multiple pitch detection systems and other musical signal processing applications whilst remaining feasible for real-time computation. At the lowest level the signal is modelled as a set of overlapping sinusoidal basis functions. The parameters of these basis functions are built into a prior framework based on principles known from musical theory and the physics of musical instruments. The model of a musical note optionally includes phenomena such as frequency and amplitude modulations, damping, volume, timbre and inharmonicity. The occurrence of note onsets in a performance of a piece of music is controlled by an underlying tempo process and the alignment of the timings to the underlying score of the music. A variety of applications are presented for these models under differing inference constraints. Where full Bayesian inference is possible, reversible-jump Markov Chain Monte Carlo is employed to estimate the number of notes and partial frequency components in each frame of music. We also use approximate techniques such as model selection criteria and variational Bayes methods for inference in situations where computation time is limited or the amount of data to be processed is large. For the higher level score parameters, greedy search and conditional modes algorithms are found to be sufficiently accurate. We emphasize the links between the models and inference algorithms developed in this thesis with that in existing and parallel work, and demonstrate the effects of making modifications to these models both theoretically and by means of experimental results