10,674 research outputs found
Approximate nonlinear filtering for a two-dimensional diffusion with one-dimensional observations in a low noise channel
The asymptotic behavior of a nonlinear continuous time filtering problem is studied when the variance of the observation noise tends to 0. We suppose that the signal is a two-dimensional process from which only one of the components is noisy and that a one-dimensional function of this signal, depending only on the unnoisy component, is observed in a low noise channel. An approximate filter is considered in order to solve this problem. Under some detectability assumptions, we prove that the filtering error converges to 0, and an upper bound for the convergence rate is given. The efficiency of the approximate filter is compared with the efficiency of the optimal filter, and the order of magnitude of the error between the two filters, as the observation noise vanishes, is obtained
Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods
Parameter estimation in multidimensional diffusion models with only one
coordinate observed is highly relevant in many biological applications, but a
statistically difficult problem. In neuroscience, the membrane potential
evolution in single neurons can be measured at high frequency, but biophysical
realistic models have to include the unobserved dynamics of ion channels. One
such model is the stochastic Morris-Lecar model, defined by a nonlinear
two-dimensional stochastic differential equation. The coordinates are coupled,
that is, the unobserved coordinate is nonautonomous, the model exhibits
oscillations to mimic the spiking behavior, which means it is not of
gradient-type, and the measurement noise from intracellular recordings is
typically negligible. Therefore, the hidden Markov model framework is
degenerate, and available methods break down. The main contributions of this
paper are an approach to estimate in this ill-posed situation and nonasymptotic
convergence results for the method. Specifically, we propose a sequential Monte
Carlo particle filter algorithm to impute the unobserved coordinate, and then
estimate parameters maximizing a pseudo-likelihood through a stochastic version
of the Expectation-Maximization algorithm. It turns out that even the rate
scaling parameter governing the opening and closing of ion channels of the
unobserved coordinate can be reasonably estimated. An experimental data set of
intracellular recordings of the membrane potential of a spinal motoneuron of a
red-eared turtle is analyzed, and the performance is further evaluated in a
simulation study.Comment: Published in at http://dx.doi.org/10.1214/14-AOAS729 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
The Hitchhiker's Guide to Nonlinear Filtering
Nonlinear filtering is the problem of online estimation of a dynamic hidden
variable from incoming data and has vast applications in different fields,
ranging from engineering, machine learning, economic science and natural
sciences. We start our review of the theory on nonlinear filtering from the
simplest `filtering' task we can think of, namely static Bayesian inference.
From there we continue our journey through discrete-time models, which is
usually encountered in machine learning, and generalize to and further
emphasize continuous-time filtering theory. The idea of changing the
probability measure connects and elucidates several aspects of the theory, such
as the parallels between the discrete- and continuous-time problems and between
different observation models. Furthermore, it gives insight into the
construction of particle filtering algorithms. This tutorial is targeted at
scientists and engineers and should serve as an introduction to the main ideas
of nonlinear filtering, and as a segway to more advanced and specialized
literature.Comment: 64 page
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
BLADE: Filter Learning for General Purpose Computational Photography
The Rapid and Accurate Image Super Resolution (RAISR) method of Romano,
Isidoro, and Milanfar is a computationally efficient image upscaling method
using a trained set of filters. We describe a generalization of RAISR, which we
name Best Linear Adaptive Enhancement (BLADE). This approach is a trainable
edge-adaptive filtering framework that is general, simple, computationally
efficient, and useful for a wide range of problems in computational
photography. We show applications to operations which may appear in a camera
pipeline including denoising, demosaicing, and stylization
The Data Big Bang and the Expanding Digital Universe: High-Dimensional, Complex and Massive Data Sets in an Inflationary Epoch
Recent and forthcoming advances in instrumentation, and giant new surveys,
are creating astronomical data sets that are not amenable to the methods of
analysis familiar to astronomers. Traditional methods are often inadequate not
merely because of the size in bytes of the data sets, but also because of the
complexity of modern data sets. Mathematical limitations of familiar algorithms
and techniques in dealing with such data sets create a critical need for new
paradigms for the representation, analysis and scientific visualization (as
opposed to illustrative visualization) of heterogeneous, multiresolution data
across application domains. Some of the problems presented by the new data sets
have been addressed by other disciplines such as applied mathematics,
statistics and machine learning and have been utilized by other sciences such
as space-based geosciences. Unfortunately, valuable results pertaining to these
problems are mostly to be found only in publications outside of astronomy. Here
we offer brief overviews of a number of concepts, techniques and developments,
some "old" and some new. These are generally unknown to most of the
astronomical community, but are vital to the analysis and visualization of
complex datasets and images. In order for astronomers to take advantage of the
richness and complexity of the new era of data, and to be able to identify,
adopt, and apply new solutions, the astronomical community needs a certain
degree of awareness and understanding of the new concepts. One of the goals of
this paper is to help bridge the gap between applied mathematics, artificial
intelligence and computer science on the one side and astronomy on the other.Comment: 24 pages, 8 Figures, 1 Table. Accepted for publication: "Advances in
Astronomy, special issue "Robotic Astronomy
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