The Multiscale Morphology Filter: Identifying and Extracting Spatial Patterns in the Galaxy Distribution

We present here a new method, MMF, for automatically segmenting cosmic structure into its basic components: clusters, filaments, and walls. Importantly, the segmentation is scale independent, so all structures are identified without prejudice as to their size or shape. The method is ideally suited for extracting catalogues of clusters, walls, and filaments from samples of galaxies in redshift surveys or from particles in cosmological N-body simulations: it makes no prior assumptions about the scale or shape of the structures.}Comment: Replacement with higher resolution figures. 28 pages, 17 figures. For Full Resolution Version see: http://www.astro.rug.nl/~weygaert/tim1publication/miguelmmf.pd

Data Assimilation: A Mathematical Introduction

These notes provide a systematic mathematical treatment of the subject of data assimilation

Implicit particle methods and their connection with variational data assimilation

The implicit particle filter is a sequential Monte Carlo method for data assimilation that guides the particles to the high-probability regions via a sequence of steps that includes minimizations. We present a new and more general derivation of this approach and extend the method to particle smoothing as well as to data assimilation for perfect models. We show that the minimizations required by implicit particle methods are similar to the ones one encounters in variational data assimilation and explore the connection of implicit particle methods with variational data assimilation. In particular, we argue that existing variational codes can be converted into implicit particle methods at a low cost, often yielding better estimates, that are also equipped with quantitative measures of the uncertainty. A detailed example is presented

Parameter estimation by implicit sampling

Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use implicit sampling in parameter estimation problems, where the goal is to find parameters of a numerical model, e.g.~a partial differential equation (PDE), such that the output of the numerical model is compatible with (noisy) data. We use the Bayesian approach to parameter estimation, in which a posterior probability density describes the probability of the parameter conditioned on data and compute an empirical estimate of this posterior with implicit sampling. Our approach generates independent samples, so that some of the practical difficulties one encounters with Markov Chain Monte Carlo methods, e.g.~burn-in time or correlations among dependent samples, are avoided. We describe a new implementation of implicit sampling for parameter estimation problems that makes use of multiple grids (coarse to fine) and BFGS optimization coupled to adjoint equations for the required gradient calculations. The implementation is "dimension independent", in the sense that a well-defined finite dimensional subspace is sampled as the mesh used for discretization of the PDE is refined. We illustrate the algorithm with an example where we estimate a diffusion coefficient in an elliptic equation from sparse and noisy pressure measurements. In the example, dimension\slash mesh-independence is achieved via Karhunen-Lo\`{e}ve expansions

Stochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples

We examine some differential geometric approaches to finding approximate solutions to the continuous time nonlinear filtering problem. Our primary focus is a new projection method for the optimal filter infinite dimensional Stochastic Partial Differential Equation (SPDE), based on the direct L2 metric and on a family of normal mixtures. We compare this method to earlier projection methods based on the Hellinger distance/Fisher metric and exponential families, and we compare the L2 mixture projection filter with a particle method with the same number of parameters, using the Levy metric. We prove that for a simple choice of the mixture manifold the L2 mixture projection filter coincides with a Galerkin method, whereas for more general mixture manifolds the equivalence does not hold and the L2 mixture filter is more general. We study particular systems that may illustrate the advantages of this new filter over other algorithms when comparing outputs with the optimal filter. We finally consider a specific software design that is suited for a numerically efficient implementation of this filter and provide numerical examples.Comment: Updated and expanded version published in the Journal reference below. Preprint updates: January 2016 (v3) added projection of Zakai Equation and difference with projection of Kushner-Stratonovich (section 4.1). August 2014 (v2) added Galerkin equivalence proof (Section 5) to the March 2013 (v1) versio

Real-time, long-term hand tracking with unsupervised initialization

This paper proposes a complete tracking system that is capable of long-term, real-time hand tracking with unsupervised initialization and error recovery. Initialization is steered by a three-stage hand detector, combining spatial and temporal information. Hand hypotheses are generated by a random forest detector in the first stage, whereas a simple linear classifier eliminates false positive detections. Resulting detections are tracked by particle filters that gather temporal statistics in order to make a final decision. The detector is scale and rotation invariant, and can detect hands in any pose in unconstrained environments. The resulting discriminative confidence map is combined with a generative particle filter based observation model to enable robust, long-term hand tracking in real-time. The proposed solution is evaluated using several challenging, publicly available datasets, and is shown to clearly outperform other state of the art object tracking methods