16,195 research outputs found
Penalized maximum likelihood for multivariate Gaussian mixture
In this paper, we first consider the parameter estimation of a multivariate
random process distribution using multivariate Gaussian mixture law. The labels
of the mixture are allowed to have a general probability law which gives the
possibility to modelize a temporal structure of the process under study. We
generalize the case of univariate Gaussian mixture in [Ridolfi99] to show that
the likelihood is unbounded and goes to infinity when one of the covariance
matrices approaches the boundary of singularity of the non negative definite
matrices set. We characterize the parameter set of these singularities. As a
solution to this degeneracy problem, we show that the penalization of the
likelihood by an Inverse Wishart prior on covariance matrices results to a
penalized or maximum a posteriori criterion which is bounded. Then, the
existence of positive definite matrices optimizing this criterion can be
guaranteed. We also show that with a modified EM procedure or with a Bayesian
sampling scheme, we can constrain covariance matrices to belong to a particular
subclass of covariance matrices. Finally, we study degeneracies in the source
separation problem where the characterization of parameter singularity set is
more complex. We show, however, that Inverse Wishart prior on covariance
matrices eliminates the degeneracies in this case too.Comment: Presented at MaxEnt01. To appear in Bayesian Inference and Maximum
Entropy Methods, B. Fry (Ed.), AIP Proceedings. 11pages, 3 Postscript figure
Law of Log Determinant of Sample Covariance Matrix and Optimal Estimation of Differential Entropy for High-Dimensional Gaussian Distributions
Differential entropy and log determinant of the covariance matrix of a
multivariate Gaussian distribution have many applications in coding,
communications, signal processing and statistical inference. In this paper we
consider in the high dimensional setting optimal estimation of the differential
entropy and the log-determinant of the covariance matrix. We first establish a
central limit theorem for the log determinant of the sample covariance matrix
in the high dimensional setting where the dimension can grow with the
sample size . An estimator of the differential entropy and the log
determinant is then considered. Optimal rate of convergence is obtained. It is
shown that in the case the estimator is asymptotically
sharp minimax. The ultra-high dimensional setting where is also
discussed.Comment: 19 page
Constrained Bayesian Active Learning of Interference Channels in Cognitive Radio Networks
In this paper, a sequential probing method for interference constraint
learning is proposed to allow a centralized Cognitive Radio Network (CRN)
accessing the frequency band of a Primary User (PU) in an underlay cognitive
scenario with a designed PU protection specification. The main idea is that the
CRN probes the PU and subsequently eavesdrops the reverse PU link to acquire
the binary ACK/NACK packet. This feedback indicates whether the probing-induced
interference is harmful or not and can be used to learn the PU interference
constraint. The cognitive part of this sequential probing process is the
selection of the power levels of the Secondary Users (SUs) which aims to learn
the PU interference constraint with a minimum number of probing attempts while
setting a limit on the number of harmful probing-induced interference events or
equivalently of NACK packet observations over a time window. This constrained
design problem is studied within the Active Learning (AL) framework and an
optimal solution is derived and implemented with a sophisticated, accurate and
fast Bayesian Learning method, the Expectation Propagation (EP). The
performance of this solution is also demonstrated through numerical simulations
and compared with modified versions of AL techniques we developed in earlier
work.Comment: 14 pages, 6 figures, submitted to IEEE JSTSP Special Issue on Machine
Learning for Cognition in Radio Communications and Rada
Optimal projection of observations in a Bayesian setting
Optimal dimensionality reduction methods are proposed for the Bayesian
inference of a Gaussian linear model with additive noise in presence of
overabundant data. Three different optimal projections of the observations are
proposed based on information theory: the projection that minimizes the
Kullback-Leibler divergence between the posterior distributions of the original
and the projected models, the one that minimizes the expected Kullback-Leibler
divergence between the same distributions, and the one that maximizes the
mutual information between the parameter of interest and the projected
observations. The first two optimization problems are formulated as the
determination of an optimal subspace and therefore the solution is computed
using Riemannian optimization algorithms on the Grassmann manifold. Regarding
the maximization of the mutual information, it is shown that there exists an
optimal subspace that minimizes the entropy of the posterior distribution of
the reduced model; a basis of the subspace can be computed as the solution to a
generalized eigenvalue problem; an a priori error estimate on the mutual
information is available for this particular solution; and that the
dimensionality of the subspace to exactly conserve the mutual information
between the input and the output of the models is less than the number of
parameters to be inferred. Numerical applications to linear and nonlinear
models are used to assess the efficiency of the proposed approaches, and to
highlight their advantages compared to standard approaches based on the
principal component analysis of the observations
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