Learning to Transform Time Series with a Few Examples

We describe a semi-supervised regression algorithm that learns to transform one time series into another time series given examples of the transformation. This algorithm is applied to tracking, where a time series of observations from sensors is transformed to a time series describing the pose of a target. Instead of defining and implementing such transformations for each tracking task separately, our algorithm learns a memoryless transformation of time series from a few example input-output mappings. The algorithm searches for a smooth function that fits the training examples and, when applied to the input time series, produces a time series that evolves according to assumed dynamics. The learning procedure is fast and lends itself to a closed-form solution. It is closely related to nonlinear system identification and manifold learning techniques. We demonstrate our algorithm on the tasks of tracking RFID tags from signal strength measurements, recovering the pose of rigid objects, deformable bodies, and articulated bodies from video sequences. For these tasks, this algorithm requires significantly fewer examples compared to fully-supervised regression algorithms or semi-supervised learning algorithms that do not take the dynamics of the output time series into account

Kernel Bayes' rule

A nonparametric kernel-based method for realizing Bayes' rule is proposed, based on representations of probabilities in reproducing kernel Hilbert spaces. Probabilities are uniquely characterized by the mean of the canonical map to the RKHS. The prior and conditional probabilities are expressed in terms of RKHS functions of an empirical sample: no explicit parametric model is needed for these quantities. The posterior is likewise an RKHS mean of a weighted sample. The estimator for the expectation of a function of the posterior is derived, and rates of consistency are shown. Some representative applications of the kernel Bayes' rule are presented, including Baysian computation without likelihood and filtering with a nonparametric state-space model.Comment: 27 pages, 5 figure

Model selection of polynomial kernel regression

Polynomial kernel regression is one of the standard and state-of-the-art learning strategies. However, as is well known, the choices of the degree of polynomial kernel and the regularization parameter are still open in the realm of model selection. The first aim of this paper is to develop a strategy to select these parameters. On one hand, based on the worst-case learning rate analysis, we show that the regularization term in polynomial kernel regression is not necessary. In other words, the regularization parameter can decrease arbitrarily fast when the degree of the polynomial kernel is suitable tuned. On the other hand,taking account of the implementation of the algorithm, the regularization term is required. Summarily, the effect of the regularization term in polynomial kernel regression is only to circumvent the " ill-condition" of the kernel matrix. Based on this, the second purpose of this paper is to propose a new model selection strategy, and then design an efficient learning algorithm. Both theoretical and experimental analysis show that the new strategy outperforms the previous one. Theoretically, we prove that the new learning strategy is almost optimal if the regression function is smooth. Experimentally, it is shown that the new strategy can significantly reduce the computational burden without loss of generalization capability.Comment: 29 pages, 4 figure

Eigendecompositions of Transfer Operators in Reproducing Kernel Hilbert Spaces

Transfer operators such as the Perron--Frobenius or Koopman operator play an important role in the global analysis of complex dynamical systems. The eigenfunctions of these operators can be used to detect metastable sets, to project the dynamics onto the dominant slow processes, or to separate superimposed signals. We extend transfer operator theory to reproducing kernel Hilbert spaces and show that these operators are related to Hilbert space representations of conditional distributions, known as conditional mean embeddings in the machine learning community. Moreover, numerical methods to compute empirical estimates of these embeddings are akin to data-driven methods for the approximation of transfer operators such as extended dynamic mode decomposition and its variants. One main benefit of the presented kernel-based approaches is that these methods can be applied to any domain where a similarity measure given by a kernel is available. We illustrate the results with the aid of guiding examples and highlight potential applications in molecular dynamics as well as video and text data analysis