A lagged particle filter for stable filtering of certain high-dimensional state-space models

We consider the problem of high-dimensional filtering of state-space models (SSMs) at discrete times. This problem is particularly challenging as analytical solutions are typically not available and many numerical approximation methods can have a cost that scales exponentially with the dimension of the hidden state. Inspired by lag-approximation methods for the smoothing problem, we introduce a lagged approximation of the smoothing distribution that is necessarily biased. For certain classes of SSMs, particularly those that forget the initial condition exponentially fast in time, the bias of our approximation is shown to be uniformly controlled in the dimension and exponentially small in time. We develop a sequential Monte Carlo (SMC) method to recursively estimate expectations with respect to our biased filtering distributions. Moreover, we prove for a class of class of SSMs that can contain dependencies amongst coordinates that as the dimension $d\rightarrow\infty$ the cost to achieve a stable mean square error in estimation, for classes of expectations, is of $\mathcal{O}(Nd^2)$ per-unit time, where $N$ is the number of simulated samples in the SMC algorithm. Our methodology is implemented on several challenging high-dimensional examples including the conservative shallow-water model

On particle filters applied to electricity load forecasting

We are interested in the online prediction of the electricity load, within the Bayesian framework of dynamic models. We offer a review of sequential Monte Carlo methods, and provide the calculations needed for the derivation of so-called particles filters. We also discuss the practical issues arising from their use, and some of the variants proposed in the literature to deal with them, giving detailed algorithms whenever possible for an easy implementation. We propose an additional step to help make basic particle filters more robust with regard to outlying observations. Finally we use such a particle filter to estimate a state-space model that includes exogenous variables in order to forecast the electricity load for the customers of the French electricity company \'Electricit\'e de France and discuss the various results obtained

Reified Context Models

A classic tension exists between exact inference in a simple model and approximate inference in a complex model. The latter offers expressivity and thus accuracy, but the former provides coverage of the space, an important property for confidence estimation and learning with indirect supervision. In this work, we introduce a new approach, reified context models, to reconcile this tension. Specifically, we let the amount of context (the arity of the factors in a graphical model) be chosen "at run-time" by reifying it---that is, letting this choice itself be a random variable inside the model. Empirically, we show that our approach obtains expressivity and coverage on three natural language tasks

Robust recognition and segmentation of human actions using HMMs with missing observations

This paper describes the integration of missing observation data with hidden Markov models to create a framework that is able to segment and classify individual actions from a stream of human motion using an incomplete 3D human pose estimation. Based on this framework, a model is trained to automatically segment and classify an activity sequence into its constituent subactions during inferencing. This is achieved by introducing action labels into the observation vector and setting these labels as missing data during inferencing, thus forcing the system to infer the probability of each action label. Additionally, missing data provides recognition-level support for occlusions and imperfect silhouette segmentation, permitting the use of a fast (real-time) pose estimation that delegates the burden of handling undetected limbs onto the action recognition system. Findings show that the use of missing data to segment activities is an accurate and elegant approach. Furthermore, action recognition can be accurate even when almost half of the pose feature data is missing due to occlusions, since not all of the pose data is important all of the time

Statistical Inference for Partially Observed Markov Processes via the R Package pomp

Partially observed Markov process (POMP) models, also known as hidden Markov models or state space models, are ubiquitous tools for time series analysis. The R package pomp provides a very flexible framework for Monte Carlo statistical investigations using nonlinear, non-Gaussian POMP models. A range of modern statistical methods for POMP models have been implemented in this framework including sequential Monte Carlo, iterated filtering, particle Markov chain Monte Carlo, approximate Bayesian computation, maximum synthetic likelihood estimation, nonlinear forecasting, and trajectory matching. In this paper, we demonstrate the application of these methodologies using some simple toy problems. We also illustrate the specification of more complex POMP models, using a nonlinear epidemiological model with a discrete population, seasonality, and extra-demographic stochasticity. We discuss the specification of user-defined models and the development of additional methods within the programming environment provided by pomp.Comment: In press at the Journal of Statistical Software. A version of this paper is provided at the pomp package website: http://kingaa.github.io/pom

Automatic Speech Recognition Using LP-DCTC/DCS Analysis Followed by Morphological Filtering

Front-end feature extraction techniques have long been a critical component in Automatic Speech Recognition (ASR). Nonlinear filtering techniques are becoming increasingly important in this application, and are often better than linear filters at removing noise without distorting speech features. However, design and analysis of nonlinear filters are more difficult than for linear filters. Mathematical morphology, which creates filters based on shape and size characteristics, is a design structure for nonlinear filters. These filters are limited to minimum and maximum operations that introduce a deterministic bias into filtered signals. This work develops filtering structures based on a mathematical morphology that utilizes the bias while emphasizing spectral peaks. The combination of peak emphasis via LP analysis with morphological filtering results in more noise robust speech recognition rates. To help understand the behavior of these pre-processing techniques the deterministic and statistical properties of the morphological filters are compared to the properties of feature extraction techniques that do not employ such algorithms. The robust behavior of these algorithms for automatic speech recognition in the presence of rapidly fluctuating speech signals with additive and convolutional noise is illustrated. Examples of these nonlinear feature extraction techniques are given using the Aurora 2.0 and Aurora 3.0 databases. Features are computed using LP analysis alone to emphasize peaks, morphological filtering alone, or a combination of the two approaches. Although absolute best results are normally obtained using a combination of the two methods, morphological filtering alone is nearly as effective and much more computationally efficient