Fast recursive filters for simulating nonlinear dynamic systems

A fast and accurate computational scheme for simulating nonlinear dynamic systems is presented. The scheme assumes that the system can be represented by a combination of components of only two different types: first-order low-pass filters and static nonlinearities. The parameters of these filters and nonlinearities may depend on system variables, and the topology of the system may be complex, including feedback. Several examples taken from neuroscience are given: phototransduction, photopigment bleaching, and spike generation according to the Hodgkin-Huxley equations. The scheme uses two slightly different forms of autoregressive filters, with an implicit delay of zero for feedforward control and an implicit delay of half a sample distance for feedback control. On a fairly complex model of the macaque retinal horizontal cell it computes, for a given level of accuracy, 1-2 orders of magnitude faster than 4th-order Runge-Kutta. The computational scheme has minimal memory requirements, and is also suited for computation on a stream processor, such as a GPU (Graphical Processing Unit).Comment: 20 pages, 8 figures, 1 table. A comparison with 4th-order Runge-Kutta integration shows that the new algorithm is 1-2 orders of magnitude faster. The paper is in press now at Neural Computatio

ВІДНОВЛЕННЯ ДИНАМІЧНИХ СПОТВОРЕНЬ ВИХІДНОГО КАНАЛУ, ПЕРЕДАЧЕЮ БЕЗПЕРЕРВНИХ СИГНАЛІВ

Signal restoring algorithms, subjected to essential dynamic distortions in channels transmitting continuous signals in conditions of noise availability are considered in this paper. It is shown, that the application of developed algorithms digital filtration made possible to avoid unstable operation of operator inversion of the channel. For maintenance stability of the delivered problem solution with the purpose of maximum use additional a priory information on required signal and noise regularization methods of ill posed problems are used. Some results of computer experiments are shown.Signal restoring algorithms, subjected to essential dynamic distortions in channels transmitting continuous signals in conditions of noise availability are considered in this paper. It is shown, that the application of developed algorithms digital filtration made possible to avoid unstable operation of operator inversion of the channel. For maintenance stability of the delivered problem solution with the purpose of maximum use additional a priory information on required signal and noise regularization methods of ill posed problems are used. Some results of computer experiments are shown

Recursive Monte Carlo filters: Algorithms and theoretical analysis

Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform computations in general state space models. We discuss and compare the accept--reject version with the more common sampling importance resampling version of the algorithm. In particular, we show how auxiliary variable methods and stratification can be used in the accept--reject version, and we compare different resampling techniques. In a second part, we show laws of large numbers and a central limit theorem for these Monte Carlo filters by simple induction arguments that need only weak conditions. We also show that, under stronger conditions, the required sample size is independent of the length of the observed series.Comment: Published at http://dx.doi.org/10.1214/009053605000000426 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Fusing Loop and GPS Probe Measurements to Estimate Freeway Density

In an age of ever-increasing penetration of GPS-enabled mobile devices, the potential of real-time "probe" location information for estimating the state of transportation networks is receiving increasing attention. Much work has been done on using probe data to estimate the current speed of vehicle traffic (or equivalently, trip travel time). While travel times are useful to individual drivers, the state variable for a large class of traffic models and control algorithms is vehicle density. Our goal is to use probe data to supplement traditional, fixed-location loop detector data for density estimation. To this end, we derive a method based on Rao-Blackwellized particle filters, a sequential Monte Carlo scheme. We present a simulation where we obtain a 30\% reduction in density mean absolute percentage error from fusing loop and probe data, vs. using loop data alone. We also present results using real data from a 19-mile freeway section in Los Angeles, California, where we obtain a 31\% reduction. In addition, our method's estimate when using only the real-world probe data, and no loop data, outperformed the estimate produced when only loop data were used (an 18\% reduction). These results demonstrate that probe data can be used for traffic density estimation

Boosting Bayesian Parameter Inference of Nonlinear Stochastic Differential Equation Models by Hamiltonian Scale Separation

Parameter inference is a fundamental problem in data-driven modeling. Given observed data that is believed to be a realization of some parameterized model, the aim is to find parameter values that are able to explain the observed data. In many situations, the dominant sources of uncertainty must be included into the model, for making reliable predictions. This naturally leads to stochastic models. Stochastic models render parameter inference much harder, as the aim then is to find a distribution of likely parameter values. In Bayesian statistics, which is a consistent framework for data-driven learning, this so-called posterior distribution can be used to make probabilistic predictions. We propose a novel, exact and very efficient approach for generating posterior parameter distributions, for stochastic differential equation models calibrated to measured time-series. The algorithm is inspired by re-interpreting the posterior distribution as a statistical mechanics partition function of an object akin to a polymer, where the measurements are mapped on heavier beads compared to those of the simulated data. To arrive at distribution samples, we employ a Hamiltonian Monte Carlo approach combined with a multiple time-scale integration. A separation of time scales naturally arises if either the number of measurement points or the number of simulation points becomes large. Furthermore, at least for 1D problems, we can decouple the harmonic modes between measurement points and solve the fastest part of their dynamics analytically. Our approach is applicable to a wide range of inference problems and is highly parallelizable.Comment: 15 pages, 8 figure