Integrated Pre-Processing for Bayesian Nonlinear System Identification with Gaussian Processes

We introduce GP-FNARX: a new model for nonlinear system identification based on a nonlinear autoregressive exogenous model (NARX) with filtered regressors (F) where the nonlinear regression problem is tackled using sparse Gaussian processes (GP). We integrate data pre-processing with system identification into a fully automated procedure that goes from raw data to an identified model. Both pre-processing parameters and GP hyper-parameters are tuned by maximizing the marginal likelihood of the probabilistic model. We obtain a Bayesian model of the system's dynamics which is able to report its uncertainty in regions where the data is scarce. The automated approach, the modeling of uncertainty and its relatively low computational cost make of GP-FNARX a good candidate for applications in robotics and adaptive control.Comment: Proceedings of the 52th IEEE International Conference on Decision and Control (CDC), Firenze, Italy, December 201

Seizure-onset mapping based on time-variant multivariate functional connectivity analysis of high-dimensional intracranial EEG : a Kalman filter approach

The visual interpretation of intracranial EEG (iEEG) is the standard method used in complex epilepsy surgery cases to map the regions of seizure onset targeted for resection. Still, visual iEEG analysis is labor-intensive and biased due to interpreter dependency. Multivariate parametric functional connectivity measures using adaptive autoregressive (AR) modeling of the iEEG signals based on the Kalman filter algorithm have been used successfully to localize the electrographic seizure onsets. Due to their high computational cost, these methods have been applied to a limited number of iEEG time-series (< 60). The aim of this study was to test two Kalman filter implementations, a well-known multivariate adaptive AR model (Arnold et al. 1998) and a simplified, computationally efficient derivation of it, for their potential application to connectivity analysis of high-dimensional (up to 192 channels) iEEG data. When used on simulated seizures together with a multivariate connectivity estimator, the partial directed coherence, the two AR models were compared for their ability to reconstitute the designed seizure signal connections from noisy data. Next, focal seizures from iEEG recordings (73-113 channels) in three patients rendered seizure-free after surgery were mapped with the outdegree, a graph-theory index of outward directed connectivity. Simulation results indicated high levels of mapping accuracy for the two models in the presence of low-to-moderate noise cross-correlation. Accordingly, both AR models correctly mapped the real seizure onset to the resection volume. This study supports the possibility of conducting fully data-driven multivariate connectivity estimations on high-dimensional iEEG datasets using the Kalman filter approach

Regularized adaptive long autoregressive spectral analysis

This paper is devoted to adaptive long autoregressive spectral analysis when (i) very few data are available, (ii) information does exist beforehand concerning the spectral smoothness and time continuity of the analyzed signals. The contribution is founded on two papers by Kitagawa and Gersch. The first one deals with spectral smoothness, in the regularization framework, while the second one is devoted to time continuity, in the Kalman formalism. The present paper proposes an original synthesis of the two contributions: a new regularized criterion is introduced that takes both information into account. The criterion is efficiently optimized by a Kalman smoother. One of the major features of the method is that it is entirely unsupervised: the problem of automatically adjusting the hyperparameters that balance data-based versus prior-based information is solved by maximum likelihood. The improvement is quantified in the field of meteorological radar

Improving Sparsity in Kernel Adaptive Filters Using a Unit-Norm Dictionary

Kernel adaptive filters, a class of adaptive nonlinear time-series models, are known by their ability to learn expressive autoregressive patterns from sequential data. However, for trivial monotonic signals, they struggle to perform accurate predictions and at the same time keep computational complexity within desired boundaries. This is because new observations are incorporated to the dictionary when they are far from what the algorithm has seen in the past. We propose a novel approach to kernel adaptive filtering that compares new observations against dictionary samples in terms of their unit-norm (normalised) versions, meaning that new observations that look like previous samples but have a different magnitude are not added to the dictionary. We achieve this by proposing the unit-norm Gaussian kernel and define a sparsification criterion for this novel kernel. This new methodology is validated on two real-world datasets against standard KAF in terms of the normalised mean square error and the dictionary size.Comment: Accepted at the IEEE Digital Signal Processing conference 201