Advanced sequential Monte Carlo methods and their applications to sparse sensor network for detection and estimation

The general state space models present a flexible framework for modeling dynamic systems and therefore have vast applications in many disciplines such as engineering, economics, biology, etc. However, optimal estimation problems of non-linear non-Gaussian state space models are analytically intractable in general. Sequential Monte Carlo (SMC) methods become a very popular class of simulation-based methods for the solution of optimal estimation problems. The advantages of SMC methods in comparison with classical filtering methods such as Kalman Filter and Extended Kalman Filter are that they are able to handle non-linear non-Gaussian scenarios without relying on any local linearization techniques. In this thesis, we present an advanced SMC method and the study of its asymptotic behavior. We apply the proposed SMC method in a target tracking problem using different observation models. Specifically, a distributed SMC algorithm is developed for a wireless sensor network (WSN) that incorporates with an informative-sensor detection technique. The novel SMC algorithm is designed to surmount the degeneracy problem by employing a multilevel Markov chain Monte Carlo (MCMC) procedure constructed by engaging drift homotopy and likelihood bridging techniques. The observations are gathered only from the informative sensors, which are sensing useful observations of the nearby moving targets. The detection of those informative sensors, which are typically a small portion of the WSN, is taking place by using a sparsity-aware matrix decomposition technique. Simulation results showcase that our algorithm outperforms current popular tracking algorithms such as bootstrap filter and auxiliary particle filter in many scenarios

Approximate Bayesian techniques for inference in stochastic dynamical systems

This thesis is concerned with approximate inference in dynamical systems, from a variational Bayesian perspective. When modelling real world dynamical systems, stochastic differential equations appear as a natural choice, mainly because of their ability to model the noise of the system by adding a variant of some stochastic process to the deterministic dynamics. Hence, inference in such processes has drawn much attention. Here two new extended frameworks are derived and presented that are based on basis function expansions and local polynomial approximations of a recently proposed variational Bayesian algorithm. It is shown that the new extensions converge to the original variational algorithm and can be used for state estimation (smoothing). However, the main focus is on estimating the (hyper-) parameters of these systems (i.e. drift parameters and diffusion coefficients). The new methods are numerically validated on a range of different systems which vary in dimensionality and non-linearity. These are the Ornstein-Uhlenbeck process, for which the exact likelihood can be computed analytically, the univariate and highly non-linear, stochastic double well and the multivariate chaotic stochastic Lorenz '63 (3-dimensional model). The algorithms are also applied to the 40 dimensional stochastic Lorenz '96 system. In this investigation these new approaches are compared with a variety of other well known methods such as the ensemble Kalman filter / smoother, a hybrid Monte Carlo sampler, the dual unscented Kalman filter (for jointly estimating the systems states and model parameters) and full weak-constraint 4D-Var. Empirical analysis of their asymptotic behaviour as a function of observation density or length of time window increases is provided.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Enhancements of online Bayesian filtering algorithms for efficient monitoring and improved uncertainty quantification in complex nonlinear dynamical systems

Recent years have seen a concurrent development of new sensor technologies and high-fidelity modeling capabilities. At the junction of these two topics lies an interesting opportunity for real-time system monitoring and damage assessment of structures. During monitoring, measurements from a structure are used to learn the parameters and equations characterizing a physics-based model of the system; thus enabling damage identification. Since monitored quantities are physical, these methods offer precious insight into the damage state of the structure (localization, type of damage and its extent). Furthermore, one obtains a model of the structure in its current condition, an essential element in predicting the future behavior of the structure and enabling adequate decision-making procedures. This dissertation focuses more specifically on solving some of the challenges associated with the use of online Bayesian learning algorithms, also called sequential filtering algorithms, for damage detection and characterization in nonlinear structural systems. A major challenge regarding online Bayesian filtering algorithms lies in achieving good accuracy for large dimensional systems and complex nonlinear non-Gaussian systems, where non-Gaussianity can arise for instance in systems which are not globally identifiable. In the first part of this dissertation, we show that one can derive algorithmic enhancements of filtering techniques, mainly based on innovative ways to reduce the dimensionality of the problem at hand, and thus obtain a good trade-off between accuracy and computational complexity of the learning algorithms. For instance, for particle filtering techniques (sampling-based algorithms) subjected to the so-called curse of dimensionality, the concept of Rao-Blackwellisation can be used to greatly reduce the dimension of the sampling space. On the other hand, one can also build upon nonlinear Kalman filtering techniques, which are very computationally efficient, and expand their capabilities to non-Gaussian distributions. Another challenge associated with structural health monitoring is the amount of uncertainties and variabilities inherently present in the system, measurements and/or inputs. The second part of this dissertation aims at demonstrating that online Bayesian filtering algorithms are very well-suited for SHM applications due to their ability to accurately quantify and take into account these uncertainties in the learning process. First, these algorithms are well-suited to address ill-conditioned problems, where not all parameters can be learnt from the available noisy data, a problem which frequently arises when considering large dimensional nonlinear systems. Then, in the case of unknown stochastic inputs, a method is derived to take into account in this sequential filtering framework unmeasured stationary excitations whose spectral properties are known but uncertain

Gaussian processes for state space models and change point detection

This thesis details several applications of Gaussian processes (GPs) for enhanced time series modeling. We first cover different approaches for using Gaussian processes in time series problems. These are extended to the state space approach to time series in two different problems. We also combine Gaussian processes and Bayesian online change point detection (BOCPD) to increase the generality of the Gaussian process time series methods. These methodologies are evaluated on predictive performance on six real world data sets, which include three environmental data sets, one financial, one biological, and one from industrial well drilling. Gaussian processes are capable of generalizing standard linear time series models. We cover two approaches: the Gaussian process time series model (GPTS) and the autoregressive Gaussian process (ARGP). We cover a variety of methods that greatly reduce the computational and memory complexity of Gaussian process approaches, which are generally cubic in computational complexity. Two different improvements to state space based approaches are covered. First, Gaussian process inference and learning (GPIL) generalizes linear dynamical systems (LDS), for which the Kalman filter is based, to general nonlinear systems for nonparametric system identification. Second, we address pathologies in the unscented Kalman filter (UKF). We use Gaussian process optimization (GPO) to learn UKF settings that minimize the potential for sigma point collapse. We show how to embed mentioned Gaussian process approaches to time series into a change point framework. Old data, from an old regime, that hinders predictive performance is automatically and elegantly phased out. The computational improvements for Gaussian process time series approaches are of even greater use in the change point framework. We also present a supervised framework learning a change point model when change point labels are available in training.I would like to thank Rockwell Collins, formerly DataPath, Inc., which funded my studentship

Approximate Bayesian inference methods for stochastic state space models

This thesis collects together research results obtained during my doctoral studies related to approximate Bayesian inference in stochastic state-space models. The published research spans a variety of topics including 1) application of Gaussian filtering in satellite orbit prediction, 2) outlier robust linear regression using variational Bayes (VB) approximation, 3) filtering and smoothing in continuous-discrete Gaussian models using VB approximation and 4) parameter estimation using twisted particle filters. The main goal of the introductory part of the thesis is to connect the results to the general framework of estimation of state and model parameters and present them in a unified manner.Bayesian inference for non-linear state space models generally requires use of approximations, since the exact posterior distribution is readily available only for a few special cases. The approximation methods can be roughly classified into to groups: deterministic methods, where the intractable posterior distribution is approximated from a family of more tractable distributions (e.g. Gaussian and VB approximations), and stochastic sampling based methods (e.g. particle filters). Gaussian approximation refers to directly approximating the posterior with a Gaussian distribution, and can be readily applied for models with Gaussian process and measurement noise. Well known examples are the extended Kalman filter and sigma-point based unscented Kalman filter. The VB method is based on minimizing the Kullback-Leibler divergence of the true posterior with respect to the approximate distribution, chosen from a family of more tractable simpler distributions.The first main contribution of the thesis is the development of a VB approximation for linear regression problems with outlier robust measurement distributions. A broad family of outlier robust distributions can be presented as an infinite mixture of Gaussians, called Gaussian scale mixture models, and include e.g. the t-distribution, the Laplace distribution and the contaminated normal distribution. The VB approximation for the regression problem can be readily extended to the estimation of state space models and is presented in the introductory part.VB approximations can be also used for approximate inference in continuous-discrete Gaussian models, where the dynamics are modeled with stochastic differential equations and measurements are obtained at discrete time instants. The second main contribution is the presentation of a VB approximation for these models and the explanation of how the resulting algorithm connects to the Gaussian filtering and smoothing framework.The third contribution of the thesis is the development of parameter estimation using particle Markov Chain Monte Carlo (PMCMC) method and twisted particle filters. Twisted particle filters are obtained from standard particle filters by applying a special weighting to the sampling law of the filter. The weighting is chosen to minimize the variance of the marginal likelihood estimate, and the resulting particle filter is more efficient than conventional PMCMC algorithms. The exact optimal weighting is generally not available, but can be approximated using the Gaussian filtering and smoothing framework

Inference and parameter estimation for diffusion processes

Diffusion processes provide a natural way of modelling a variety of physical and economic phenomena. It is often the case that one is unable to observe a diffusion process directly, and must instead rely on noisy observations that are discretely spaced in time. Given these discrete, noisy observations, one is faced with the task of inferring properties of the underlying diffusion process. For example, one might be interested in inferring the current state of the process given observations up to the present time (this is known as the filtering problem). Alternatively, one might wish to infer parameters governing the time evolution the diffusion process. In general, one cannot apply Bayes’ theorem directly, since the transition density of a general nonlinear diffusion is not computationally tractable. In this thesis, we investigate a novel method of simplifying the problem. The stochastic differential equation that describes the diffusion process is replaced with a simpler ordinary differential equation, which has a random driving noise that approximates Brownian motion. We show how one can exploit this approximation to improve on standard methods for inferring properties of nonlinear diffusion processes

Unsupervised methods for large-scale, cell-resolution neural data analysis

In order to keep up with the volume of data, as well as the complexity of experiments and models in modern neuroscience, we need scalable and principled analytic programmes that take into account the scientific goals and the challenges of biological experiments. This work focuses on algorithms that tackle problems throughout the whole data analysis process. I first investigate how to best transform two-photon calcium imaging microscopy recordings – sets of contiguous images – into an easier-to-analyse matrix containing time courses of individual neurons. For this I first estimate how the true fluorescence signal gets transformed by tissue artefacts and the microscope setup, by learning the parameters of a realistic physical model from recorded data. Next, I describe how individual neural cell bodies may be segmented from the images, based on a cost function tailored to neural characteristics. Finally, I describe an interpretable non-linear dynamical model of neural population activity, which provides immediate scientific insight into complex system behaviour, and may spawn a new way of investigating stochastic non-linear dynamical systems. I hope the algorithms described here will not only be integrated into analytic pipelines of neural recordings, but also point out that algorithmic design should be informed by communication with the broader community, understanding and tackling the challenges inherent in experimental biological science

Efficient Reinforcement Learning using Gaussian Processes

This book examines Gaussian processes (GPs) in model-based reinforcement learning (RL) and inference in nonlinear dynamic systems. First, we introduce PILCO, a fully Bayesian approach for efficient RL in continuous-valued state and action spaces when no expert knowledge is available. PILCO learns fast since it takes model uncertainties consistently into account during long-term planning and decision making. Thus, it reduces model bias, a common problem in model-based RL. Due to its generality and efficiency, PILCO is a conceptual and practical approach to jointly learning models and controllers fully automatically. Across all tasks, we report an unprecedented degree of automation and an unprecedented speed of learning. Second, we propose principled algorithms for robust filtering and smoothing in GP dynamic systems. Our methods are based on analytic moment matching and clearly advance state-of-the-art methods