61,281 research outputs found
Derivative observations in Gaussian Process models of dynamic systems
Gaussian processes provide an approach to nonparametric modelling which allows a straightforward combination of function and derivative observations in an empirical model. This is of particular importance in identification of nonlinear dynamic systems from experimental data. 1)It allows us to combine derivative information, and associated uncertainty with normal function observations into the learning and inference process. This derivative information can be in the form of priors specified by an expert or identified from perturbation data close to equilibrium. 2) It allows a seamless fusion of multiple local linear models in a consistent manner, inferring consistent models and ensuring that integrability constraints are met. 3) It improves dramatically the computational efficiency of Gaussian process models for dynamic system identification, by summarising large quantities of near-equilibrium data by a handful of linearisations, reducing the training size - traditionally a problem for Gaussian process models
Nonparametric identification of linearizations and uncertainty using Gaussian process models ā application to robust wheel slip control
Gaussian process prior models offer a nonparametric approach to modelling unknown nonlinear systems from experimental data. These are flexible models which automatically adapt their model complexity to the available data, and which give not only mean predictions but also the variance of these predictions. A further advantage is the analytical derivation of derivatives of the model with respect to inputs, with their variance, providing a direct estimate of the locally linearized model with its corresponding parameter variance. We show how this can be used to tune a controller based on the linearized models, taking into account their uncertainty. The approach is applied to a simulated wheel slip control task illustrating controller development based on a nonparametric model of the unknown friction nonlinearity. Local stability and robustness of the controllers are tuned based on the uncertainty of the nonlinear modelsā derivatives
On Similarities between Inference in Game Theory and Machine Learning
In this paper, we elucidate the equivalence between inference in game theory and machine learning. Our aim in so doing is to establish an equivalent vocabulary between the two domains so as to facilitate developments at the intersection of both fields, and as proof of the usefulness of this approach, we use recent developments in each field to make useful improvements to the other. More specifically, we consider the analogies between smooth best responses in fictitious play and Bayesian inference methods. Initially, we use these insights to develop and demonstrate an improved algorithm for learning in games based on probabilistic moderation. That is, by integrating over the distribution of opponent strategies (a Bayesian approach within machine learning) rather than taking a simple empirical average (the approach used in standard fictitious play) we derive a novel moderated fictitious play algorithm and show that it is more likely than standard fictitious play to converge to a payoff-dominant but risk-dominated Nash equilibrium in a simple coordination game. Furthermore we consider the converse case, and show how insights from game theory can be used to derive two improved mean field variational learning algorithms. We first show that the standard update rule of mean field variational learning is analogous to a Cournot adjustment within game theory. By analogy with fictitious play, we then suggest an improved update rule, and show that this results in fictitious variational play, an improved mean field variational learning algorithm that exhibits better convergence in highly or strongly connected graphical models. Second, we use a recent advance in fictitious play, namely dynamic fictitious play, to derive a derivative action variational learning algorithm, that exhibits superior convergence properties on a canonical machine learning problem (clustering a mixture distribution)
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
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