321 research outputs found
Efficient Schur Parametrization and Modeling of p-Stationary Second-Order Time-Series for LPC Transmission
Following the results presented in [1], we present an efficient approach to the Schur parametrization/modeling of a subclass of second-order time-series which we term p-stationary time-series, yielding a uniform hierarchy of algorithms suitable for efficient implementations and being a good starting point for nonlinear generalizations to higher-order non-Gaussian nearstationary time-series
Sequential Detection with Mutual Information Stopping Cost
This paper formulates and solves a sequential detection problem that involves
the mutual information (stochastic observability) of a Gaussian process
observed in noise with missing measurements. The main result is that the
optimal decision is characterized by a monotone policy on the partially ordered
set of positive definite covariance matrices. This monotone structure implies
that numerically efficient algorithms can be designed to estimate and implement
monotone parametrized decision policies.The sequential detection problem is
motivated by applications in radar scheduling where the aim is to maintain the
mutual information of all targets within a specified bound. We illustrate the
problem formulation and performance of monotone parametrized policies via
numerical examples in fly-by and persistent-surveillance applications involving
a GMTI (Ground Moving Target Indicator) radar
Sparse Bayesian information filters for localization and mapping
Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy at the Massachusetts Institute of Technology and the Woods Hole Oceanographic Institution February 2008This thesis formulates an estimation framework for Simultaneous Localization and
Mapping (SLAM) that addresses the problem of scalability in large environments.
We describe an estimation-theoretic algorithm that achieves significant gains in computational
efficiency while maintaining consistent estimates for the vehicle pose and
the map of the environment.
We specifically address the feature-based SLAM problem in which the robot represents
the environment as a collection of landmarks. The thesis takes a Bayesian
approach whereby we maintain a joint posterior over the vehicle pose and feature
states, conditioned upon measurement data. We model the distribution as Gaussian
and parametrize the posterior in the canonical form, in terms of the information
(inverse covariance) matrix. When sparse, this representation is amenable to computationally
efficient Bayesian SLAM filtering. However, while a large majority of the
elements within the normalized information matrix are very small in magnitude, it is
fully populated nonetheless. Recent feature-based SLAM filters achieve the scalability
benefits of a sparse parametrization by explicitly pruning these weak links in an effort
to enforce sparsity. We analyze one such algorithm, the Sparse Extended Information
Filter (SEIF), which has laid much of the groundwork concerning the computational
benefits of the sparse canonical form. The thesis performs a detailed analysis of the
process by which the SEIF approximates the sparsity of the information matrix and
reveals key insights into the consequences of different sparsification strategies. We
demonstrate that the SEIF yields a sparse approximation to the posterior that is inconsistent,
suffering from exaggerated confidence estimates. This overconfidence has
detrimental effects on important aspects of the SLAM process and affects the higher
level goal of producing accurate maps for subsequent localization and path planning.
This thesis proposes an alternative scalable filter that maintains sparsity while
preserving the consistency of the distribution. We leverage insights into the natural
structure of the feature-based canonical parametrization and derive a method that
actively maintains an exactly sparse posterior. Our algorithm exploits the structure
of the parametrization to achieve gains in efficiency, with a computational cost that
scales linearly with the size of the map. Unlike similar techniques that sacrifice
consistency for improved scalability, our algorithm performs inference over a posterior
that is conservative relative to the nominal Gaussian distribution. Consequently, we
preserve the consistency of the pose and map estimates and avoid the effects of an
overconfident posterior.
We demonstrate our filter alongside the SEIF and the standard EKF both in simulation
as well as on two real-world datasets. While we maintain the computational
advantages of an exactly sparse representation, the results show convincingly that
our method yields conservative estimates for the robot pose and map that are nearly
identical to those of the original Gaussian distribution as produced by the EKF, but
at much less computational expense.
The thesis concludes with an extension of our SLAM filter to a complex underwater
environment. We describe a systems-level framework for localization and mapping
relative to a ship hull with an Autonomous Underwater Vehicle (AUV) equipped
with a forward-looking sonar. The approach utilizes our filter to fuse measurements
of vehicle attitude and motion from onboard sensors with data from sonar images of
the hull. We employ the system to perform three-dimensional, 6-DOF SLAM on a
ship hull
Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices
Modeling correlation (and covariance) matrices can be challenging due to the
positive-definiteness constraint and potential high-dimensionality. Our
approach is to decompose the covariance matrix into the correlation and
variance matrices and propose a novel Bayesian framework based on modeling the
correlations as products of unit vectors. By specifying a wide range of
distributions on a sphere (e.g. the squared-Dirichlet distribution), the
proposed approach induces flexible prior distributions for covariance matrices
(that go beyond the commonly used inverse-Wishart prior). For modeling
real-life spatio-temporal processes with complex dependence structures, we
extend our method to dynamic cases and introduce unit-vector Gaussian process
priors in order to capture the evolution of correlation among components of a
multivariate time series. To handle the intractability of the resulting
posterior, we introduce the adaptive -Spherical Hamiltonian Monte
Carlo. We demonstrate the validity and flexibility of our proposed framework in
a simulation study of periodic processes and an analysis of rat's local field
potential activity in a complex sequence memory task.Comment: 49 pages, 15 figure
Non-Gaussian Geostatistical Modeling using (skew) t Processes
We propose a new model for regression and dependence analysis when addressing
spatial data with possibly heavy tails and an asymmetric marginal distribution.
We first propose a stationary process with marginals obtained through scale
mixing of a Gaussian process with an inverse square root process with Gamma
marginals. We then generalize this construction by considering a skew-Gaussian
process, thus obtaining a process with skew-t marginal distributions. For the
proposed (skew) process we study the second-order and geometrical
properties and in the case, we provide analytic expressions for the
bivariate distribution. In an extensive simulation study, we investigate the
use of the weighted pairwise likelihood as a method of estimation for the
process. Moreover we compare the performance of the optimal linear predictor of
the process versus the optimal Gaussian predictor. Finally, the
effectiveness of our methodology is illustrated by analyzing a georeferenced
dataset on maximum temperatures in Australi
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