State-Space Inference and Learning with Gaussian Processes

State-space inference and learning with Gaussian processes (GPs) is an unsolved problem. We propose a new, general methodology for inference and learning in nonlinear state-space models that are described probabilistically by non-parametric GP models. We apply the expectation maximization algorithm to iterate between inference in the latent state-space and learning the parameters of the underlying GP dynamics model. Copyright 2010 by the authors

Random Recurrent Neural Networks Dynamics

This paper is a review dealing with the study of large size random recurrent neural networks. The connection weights are selected according to a probability law and it is possible to predict the network dynamics at a macroscopic scale using an averaging principle. After a first introductory section, the section 1 reviews the various models from the points of view of the single neuron dynamics and of the global network dynamics. A summary of notations is presented, which is quite helpful for the sequel. In section 2, mean-field dynamics is developed. The probability distribution characterizing global dynamics is computed. In section 3, some applications of mean-field theory to the prediction of chaotic regime for Analog Formal Random Recurrent Neural Networks (AFRRNN) are displayed. The case of AFRRNN with an homogeneous population of neurons is studied in section 4. Then, a two-population model is studied in section 5. The occurrence of a cyclo-stationary chaos is displayed using the results of \cite{Dauce01}. In section 6, an insight of the application of mean-field theory to IF networks is given using the results of \cite{BrunelHakim99}.Comment: Review paper, 36 pages, 5 figure

Nonlinear Compressive Particle Filtering

Many systems for which compressive sensing is used today are dynamical. The common approach is to neglect the dynamics and see the problem as a sequence of independent problems. This approach has two disadvantages. Firstly, the temporal dependency in the state could be used to improve the accuracy of the state estimates. Secondly, having an estimate for the state and its support could be used to reduce the computational load of the subsequent step. In the linear Gaussian setting, compressive sensing was recently combined with the Kalman filter to mitigate above disadvantages. In the nonlinear dynamical case, compressive sensing can not be used and, if the state dimension is high, the particle filter would perform poorly. In this paper we combine one of the most novel developments in compressive sensing, nonlinear compressive sensing, with the particle filter. We show that the marriage of the two is essential and that neither the particle filter or nonlinear compressive sensing alone gives a satisfying solution.Comment: Accepted to CDC 201

Dynamical Functional Theory for Compressed Sensing

We introduce a theoretical approach for designing generalizations of the approximate message passing (AMP) algorithm for compressed sensing which are valid for large observation matrices that are drawn from an invariant random matrix ensemble. By design, the fixed points of the algorithm obey the Thouless-Anderson-Palmer (TAP) equations corresponding to the ensemble. Using a dynamical functional approach we are able to derive an effective stochastic process for the marginal statistics of a single component of the dynamics. This allows us to design memory terms in the algorithm in such a way that the resulting fields become Gaussian random variables allowing for an explicit analysis. The asymptotic statistics of these fields are consistent with the replica ansatz of the compressed sensing problem.Comment: 5 pages, accepted for ISIT 201

Noise-induced behaviors in neural mean field dynamics

The collective behavior of cortical neurons is strongly affected by the presence of noise at the level of individual cells. In order to study these phenomena in large-scale assemblies of neurons, we consider networks of firing-rate neurons with linear intrinsic dynamics and nonlinear coupling, belonging to a few types of cell populations and receiving noisy currents. Asymptotic equations as the number of neurons tends to infinity (mean field equations) are rigorously derived based on a probabilistic approach. These equations are implicit on the probability distribution of the solutions which generally makes their direct analysis difficult. However, in our case, the solutions are Gaussian, and their moments satisfy a closed system of nonlinear ordinary differential equations (ODEs), which are much easier to study than the original stochastic network equations, and the statistics of the empirical process uniformly converge towards the solutions of these ODEs. Based on this description, we analytically and numerically study the influence of noise on the collective behaviors, and compare these asymptotic regimes to simulations of the network. We observe that the mean field equations provide an accurate description of the solutions of the network equations for network sizes as small as a few hundreds of neurons. In particular, we observe that the level of noise in the system qualitatively modifies its collective behavior, producing for instance synchronized oscillations of the whole network, desynchronization of oscillating regimes, and stabilization or destabilization of stationary solutions. These results shed a new light on the role of noise in shaping collective dynamics of neurons, and gives us clues for understanding similar phenomena observed in biological networks

Dynamic Compressive Sensing of Time-Varying Signals via Approximate Message Passing

In this work the dynamic compressive sensing (CS) problem of recovering sparse, correlated, time-varying signals from sub-Nyquist, non-adaptive, linear measurements is explored from a Bayesian perspective. While there has been a handful of previously proposed Bayesian dynamic CS algorithms in the literature, the ability to perform inference on high-dimensional problems in a computationally efficient manner remains elusive. In response, we propose a probabilistic dynamic CS signal model that captures both amplitude and support correlation structure, and describe an approximate message passing algorithm that performs soft signal estimation and support detection with a computational complexity that is linear in all problem dimensions. The algorithm, DCS-AMP, can perform either causal filtering or non-causal smoothing, and is capable of learning model parameters adaptively from the data through an expectation-maximization learning procedure. We provide numerical evidence that DCS-AMP performs within 3 dB of oracle bounds on synthetic data under a variety of operating conditions. We further describe the result of applying DCS-AMP to two real dynamic CS datasets, as well as a frequency estimation task, to bolster our claim that DCS-AMP is capable of offering state-of-the-art performance and speed on real-world high-dimensional problems.Comment: 32 pages, 7 figure

Statistical physics-based reconstruction in compressed sensing

Compressed sensing is triggering a major evolution in signal acquisition. It consists in sampling a sparse signal at low rate and later using computational power for its exact reconstruction, so that only the necessary information is measured. Currently used reconstruction techniques are, however, limited to acquisition rates larger than the true density of the signal. We design a new procedure which is able to reconstruct exactly the signal with a number of measurements that approaches the theoretical limit in the limit of large systems. It is based on the joint use of three essential ingredients: a probabilistic approach to signal reconstruction, a message-passing algorithm adapted from belief propagation, and a careful design of the measurement matrix inspired from the theory of crystal nucleation. The performance of this new algorithm is analyzed by statistical physics methods. The obtained improvement is confirmed by numerical studies of several cases.Comment: 20 pages, 8 figures, 3 tables. Related codes and data are available at http://aspics.krzakala.or