Hidden Semi Markov Models for Multiple Observation Sequences: The mhsmm Package for R

This paper describes the R package mhsmm which implements estimation and prediction methods for hidden Markov and semi-Markov models for multiple observation sequences. Such techniques are of interest when observed data is thought to be dependent on some unobserved (or hidden) state. Hidden Markov models only allow a geometrically distributed sojourn time in a given state, while hidden semi-Markov models extend this by allowing an arbitrary sojourn distribution. We demonstrate the software with simulation examples and an application involving the modelling of the ovarian cycle of dairy cows.

Fast Automatic Bayesian Cubature Using Matching Kernels and Designs

Automatic cubatures approximate integrals to user-specified error tolerances. For high dimensional problems, it is difficult to adaptively change the sampling pattern to focus on peaks because peaks can hide more easily in high dimensional space. But, one can automatically determine the sample size, $n$, given a reasonable, fixed sampling pattern. This approach is pursued in Jagadeeswaran and Hickernell, Stat.\ Comput., 29:1214-1229, 2019, where a Bayesian perspective is used to construct a credible interval for the integral, and the computation is terminated when the half-width of the interval is no greater than the required error tolerance. Our earlier work employs integration lattice sampling, and the computations are expedited by the fast Fourier transform because the covariance kernels for the Gaussian process prior on the integrand are chosen to be shift-invariant. In this chapter, we extend our fast automatic Bayesian cubature to digital net sampling via \emph{digitally} shift-invariant covariance kernels and fast Walsh transforms. Our algorithm is implemented in the MATLAB Guaranteed Automatic Integration Library (GAIL) and the QMCPy Python library.Comment: PhD thesi

Building Proteins in a Day: Efficient 3D Molecular Reconstruction

Discovering the 3D atomic structure of molecules such as proteins and viruses is a fundamental research problem in biology and medicine. Electron Cryomicroscopy (Cryo-EM) is a promising vision-based technique for structure estimation which attempts to reconstruct 3D structures from 2D images. This paper addresses the challenging problem of 3D reconstruction from 2D Cryo-EM images. A new framework for estimation is introduced which relies on modern stochastic optimization techniques to scale to large datasets. We also introduce a novel technique which reduces the cost of evaluating the objective function during optimization by over five orders or magnitude. The net result is an approach capable of estimating 3D molecular structure from large scale datasets in about a day on a single workstation.Comment: To be presented at IEEE Conference on Computer Vision and Pattern Recognition (CVPR) 201

Kernel-Based Just-In-Time Learning for Passing Expectation Propagation Messages

We propose an efficient nonparametric strategy for learning a message operator in expectation propagation (EP), which takes as input the set of incoming messages to a factor node, and produces an outgoing message as output. This learned operator replaces the multivariate integral required in classical EP, which may not have an analytic expression. We use kernel-based regression, which is trained on a set of probability distributions representing the incoming messages, and the associated outgoing messages. The kernel approach has two main advantages: first, it is fast, as it is implemented using a novel two-layer random feature representation of the input message distributions; second, it has principled uncertainty estimates, and can be cheaply updated online, meaning it can request and incorporate new training data when it encounters inputs on which it is uncertain. In experiments, our approach is able to solve learning problems where a single message operator is required for multiple, substantially different data sets (logistic regression for a variety of classification problems), where it is essential to accurately assess uncertainty and to efficiently and robustly update the message operator.Comment: accepted to UAI 2015. Correct typos. Add more content to the appendix. Main results unchange

Hidden Semi Markov Models for Multiple Observation Sequences: The mhsmm Package for R

This paper describes the R package mhsmm which implements estimation and prediction methods for hidden Markov and semi-Markov models for multiple observation sequences. Such techniques are of interest when observed data is thought to be dependent on some unobserved (or hidden) state. Hidden Markov models only allow a geometrically distributed sojourn time in a given state, while hidden semi-Markov models extend this by allowing an arbitrary sojourn distribution. We demonstrate the software with simulation examples and an application involving the modelling of the ovarian cycle of dairy cows

A Factor Graph Approach to Automated Design of Bayesian Signal Processing Algorithms

The benefits of automating design cycles for Bayesian inference-based algorithms are becoming increasingly recognized by the machine learning community. As a result, interest in probabilistic programming frameworks has much increased over the past few years. This paper explores a specific probabilistic programming paradigm, namely message passing in Forney-style factor graphs (FFGs), in the context of automated design of efficient Bayesian signal processing algorithms. To this end, we developed "ForneyLab" (https://github.com/biaslab/ForneyLab.jl) as a Julia toolbox for message passing-based inference in FFGs. We show by example how ForneyLab enables automatic derivation of Bayesian signal processing algorithms, including algorithms for parameter estimation and model comparison. Crucially, due to the modular makeup of the FFG framework, both the model specification and inference methods are readily extensible in ForneyLab. In order to test this framework, we compared variational message passing as implemented by ForneyLab with automatic differentiation variational inference (ADVI) and Monte Carlo methods as implemented by state-of-the-art tools "Edward" and "Stan". In terms of performance, extensibility and stability issues, ForneyLab appears to enjoy an edge relative to its competitors for automated inference in state-space models.Comment: Accepted for publication in the International Journal of Approximate Reasonin

EEGLAB, SIFT, NFT, BCILAB, and ERICA: New Tools for Advanced EEG Processing

We describe a set of complementary EEG data collection and processing tools recently developed at the Swartz Center for Computational Neuroscience (SCCN) that connect to and extend the EEGLAB software environment, a freely available and readily extensible processing environment running under Matlab. The new tools include (1) a new and flexible EEGLAB STUDY design facility for framing and performing statistical analyses on data from multiple subjects; (2) a neuroelectromagnetic forward head modeling toolbox (NFT) for building realistic electrical head models from available data; (3) a source information flow toolbox (SIFT) for modeling ongoing or event-related effective connectivity between cortical areas; (4) a BCILAB toolbox for building online brain-computer interface (BCI) models from available data, and (5) an experimental real-time interactive control and analysis (ERICA) environment for real-time production and coordination of interactive, multimodal experiments