WARP: Wavelets with adaptive recursive partitioning for multi-dimensional data

Effective identification of asymmetric and local features in images and other data observed on multi-dimensional grids plays a critical role in a wide range of applications including biomedical and natural image processing. Moreover, the ever increasing amount of image data, in terms of both the resolution per image and the number of images processed per application, requires algorithms and methods for such applications to be computationally efficient. We develop a new probabilistic framework for multi-dimensional data to overcome these challenges through incorporating data adaptivity into discrete wavelet transforms, thereby allowing them to adapt to the geometric structure of the data while maintaining the linear computational scalability. By exploiting a connection between the local directionality of wavelet transforms and recursive dyadic partitioning on the grid points of the observation, we obtain the desired adaptivity through adding to the traditional Bayesian wavelet regression framework an additional layer of Bayesian modeling on the space of recursive partitions over the grid points. We derive the corresponding inference recipe in the form of a recursive representation of the exact posterior, and develop a class of efficient recursive message passing algorithms for achieving exact Bayesian inference with a computational complexity linear in the resolution and sample size of the images. While our framework is applicable to a range of problems including multi-dimensional signal processing, compression, and structural learning, we illustrate its work and evaluate its performance in the context of 2D and 3D image reconstruction using real images from the ImageNet database. We also apply the framework to analyze a data set from retinal optical coherence tomography

An alternative solution to the model structure selection problem

An alternative solution to the model structure selection problem is introduced by conducting a forward search through the many possible candidate model terms initially and then performing an exhaustive all subset model selection on the resulting model. An example is included to demonstrate that this approach leads to dynamically valid nonlinear model

A control algorithm for autonomous optimization of extracellular recordings

This paper develops a control algorithm that can autonomously position an electrode so as to find and then maintain an optimal extracellular recording position. The algorithm was developed and tested in a two-neuron computational model representative of the cells found in cerebral cortex. The algorithm is based on a stochastic optimization of a suitably defined signal quality metric and is shown capable of finding the optimal recording position along representative sampling directions, as well as maintaining the optimal signal quality in the face of modeled tissue movements. The application of the algorithm to acute neurophysiological recording experiments and its potential implications to chronic recording electrode arrays are discussed

Sequential Design for Optimal Stopping Problems

We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the stopping strategy. Namely, we introduce adaptive generation of the stochastic grids anchoring the simulated sample paths of the underlying state process. This allows for active learning of the classifiers partitioning the state space into the continuation and stopping regions. To this end, we examine sequential design schemes that adaptively place new design points close to the stopping boundaries. We then discuss dynamic regression algorithms that can implement such recursive estimation and local refinement of the classifiers. The new algorithm is illustrated with a variety of numerical experiments, showing that an order of magnitude savings in terms of design size can be achieved. We also compare with existing benchmarks in the context of pricing multi-dimensional Bermudan options.Comment: 24 page