The adaptive patched cubature filter and its implementation

There are numerous contexts where one wishes to describe the state of a randomly evolving system. Effective solutions combine models that quantify the underlying uncertainty with available observational data to form scientifically reasonable estimates for the uncertainty in the system state. Stochastic differential equations are often used to mathematically model the underlying system. The Kusuoka-Lyons-Victoir (KLV) approach is a higher order particle method for approximating the weak solution of a stochastic differential equation that uses a weighted set of scenarios to approximate the evolving probability distribution to a high order of accuracy. The algorithm can be performed by integrating along a number of carefully selected bounded variation paths. The iterated application of the KLV method has a tendency for the number of particles to increase. This can be addressed and, together with local dynamic recombination, which simplifies the support of discrete measure without harming the accuracy of the approximation, the KLV method becomes eligible to solve the filtering problem in contexts where one desires to maintain an accurate description of the ever-evolving conditioned measure. In addition to the alternate application of the KLV method and recombination, we make use of the smooth nature of the likelihood function and high order accuracy of the approximations to lead some of the particles immediately to the next observation time and to build into the algorithm a form of automatic high order adaptive importance sampling.Comment: to appear in Communications in Mathematical Sciences. arXiv admin note: substantial text overlap with arXiv:1311.675

Correlated noise in networks of gravitational-wave detectors: subtraction and mitigation

One of the key science goals of advanced gravitational-wave detectors is to observe a stochastic gravitational-wave background. However, recent work demonstrates that correlated magnetic fields from Schumann resonances can produce correlated strain noise over global distances, potentially limiting the sensitivity of stochastic background searches with advanced detectors. In this paper, we estimate the correlated noise budget for the worldwide Advanced LIGO network and conclude that correlated noise may affect upcoming measurements. We investigate the possibility of a Wiener filtering scheme to subtract correlated noise from Advanced LIGO searches, and estimate the required specifications. We also consider the possibility that residual correlated noise remains following subtraction, and we devise an optimal strategy for measuring astronomical parameters in the presence of correlated noise. Using this new formalism, we estimate the loss of sensitivity for a broadband, isotropic stochastic background search using 1 yr of LIGO data at design sensitivity. Given our current noise budget, the uncertainty with which LIGO can estimate energy density will likely increase by a factor of ~4--if it is impossible to achieve significant subtraction. Additionally, narrowband cross-correlation searches may be severely affected at low frequencies f < 45 Hz without effective subtraction.Comment: 16 pages, 8 figure

The Neural Particle Filter

The robust estimation of dynamically changing features, such as the position of prey, is one of the hallmarks of perception. On an abstract, algorithmic level, nonlinear Bayesian filtering, i.e. the estimation of temporally changing signals based on the history of observations, provides a mathematical framework for dynamic perception in real time. Since the general, nonlinear filtering problem is analytically intractable, particle filters are considered among the most powerful approaches to approximating the solution numerically. Yet, these algorithms prevalently rely on importance weights, and thus it remains an unresolved question how the brain could implement such an inference strategy with a neuronal population. Here, we propose the Neural Particle Filter (NPF), a weight-less particle filter that can be interpreted as the neuronal dynamics of a recurrently connected neural network that receives feed-forward input from sensory neurons and represents the posterior probability distribution in terms of samples. Specifically, this algorithm bridges the gap between the computational task of online state estimation and an implementation that allows networks of neurons in the brain to perform nonlinear Bayesian filtering. The model captures not only the properties of temporal and multisensory integration according to Bayesian statistics, but also allows online learning with a maximum likelihood approach. With an example from multisensory integration, we demonstrate that the numerical performance of the model is adequate to account for both filtering and identification problems. Due to the weightless approach, our algorithm alleviates the 'curse of dimensionality' and thus outperforms conventional, weighted particle filters in higher dimensions for a limited number of particles

A stochastic template placement algorithm for gravitational wave data analysis

This paper presents an algorithm for constructing matched-filter template banks in an arbitrary parameter space. The method places templates at random, then removes those which are "too close" together. The properties and optimality of stochastic template banks generated in this manner are investigated for some simple models. The effectiveness of these template banks for gravitational wave searches for binary inspiral waveforms is also examined. The properties of a stochastic template bank are then compared to the deterministically placed template banks that are currently used in gravitational wave data analysis.Comment: 14 pages, 11 figure