12,249 research outputs found
A posteriori noise estimation in variable data sets
Most physical data sets contain a stochastic contribution produced by
measurement noise or other random sources along with the signal. Usually,
neither the signal nor the noise are accurately known prior to the measurement
so that both have to be estimated a posteriori. We have studied a procedure to
estimate the standard deviation of the stochastic contribution assuming
normality and independence, requiring a sufficiently well-sampled data set to
yield reliable results. This procedure is based on estimating the standard
deviation in a sample of weighted sums of arbitrarily sampled data points and
is identical to the so-called DER_SNR algorithm for specific parameter
settings. To demonstrate the applicability of our procedure, we present
applications to synthetic data, high-resolution spectra, and a large sample of
space-based light curves and, finally, give guidelines to apply the procedure
in situation not explicitly considered here to promote its adoption in data
analysis.Comment: Accepted for publication in A&
Pairwise MRF Calibration by Perturbation of the Bethe Reference Point
We investigate different ways of generating approximate solutions to the
pairwise Markov random field (MRF) selection problem. We focus mainly on the
inverse Ising problem, but discuss also the somewhat related inverse Gaussian
problem because both types of MRF are suitable for inference tasks with the
belief propagation algorithm (BP) under certain conditions. Our approach
consists in to take a Bethe mean-field solution obtained with a maximum
spanning tree (MST) of pairwise mutual information, referred to as the
\emph{Bethe reference point}, for further perturbation procedures. We consider
three different ways following this idea: in the first one, we select and
calibrate iteratively the optimal links to be added starting from the Bethe
reference point; the second one is based on the observation that the natural
gradient can be computed analytically at the Bethe point; in the third one,
assuming no local field and using low temperature expansion we develop a dual
loop joint model based on a well chosen fundamental cycle basis. We indeed
identify a subclass of planar models, which we refer to as \emph{Bethe-dual
graph models}, having possibly many loops, but characterized by a singly
connected dual factor graph, for which the partition function and the linear
response can be computed exactly in respectively O(N) and operations,
thanks to a dual weight propagation (DWP) message passing procedure that we set
up. When restricted to this subclass of models, the inverse Ising problem being
convex, becomes tractable at any temperature. Experimental tests on various
datasets with refined or regularization procedures indicate that
these approaches may be competitive and useful alternatives to existing ones.Comment: 54 pages, 8 figure. section 5 and refs added in V
Covariance matrix estimation with heterogeneous samples
We consider the problem of estimating the covariance matrix Mp of an observation vector, using heterogeneous training samples, i.e., samples whose covariance matrices are not exactly Mp. More precisely, we assume that the training samples can be clustered into K groups, each one containing Lk, snapshots sharing the same covariance matrix Mk. Furthermore, a Bayesian approach is proposed in which the matrices Mk. are assumed to be random with some prior distribution. We consider two different assumptions for Mp. In a fully Bayesian framework, Mp is assumed to be random with a given prior distribution. Under this assumption, we derive the minimum mean-square error (MMSE) estimator of Mp which is implemented using a Gibbs-sampling strategy. Moreover, a simpler scheme based on a weighted sample covariance matrix (SCM) is also considered. The weights minimizing the mean square error (MSE) of the estimated covariance matrix are derived. Furthermore, we consider estimators based on colored or diagonal loading of the weighted SCM, and we determine theoretically the optimal level of loading. Finally, in order to relax the a priori assumptions about the covariance matrix Mp, the second part of the paper assumes that this matrix is deterministic and derives its maximum-likelihood estimator. Numerical simulations are presented to illustrate the performance of the different estimation schemes
Convergence Analysis of Mixed Timescale Cross-Layer Stochastic Optimization
This paper considers a cross-layer optimization problem driven by
multi-timescale stochastic exogenous processes in wireless communication
networks. Due to the hierarchical information structure in a wireless network,
a mixed timescale stochastic iterative algorithm is proposed to track the
time-varying optimal solution of the cross-layer optimization problem, where
the variables are partitioned into short-term controls updated in a faster
timescale, and long-term controls updated in a slower timescale. We focus on
establishing a convergence analysis framework for such multi-timescale
algorithms, which is difficult due to the timescale separation of the algorithm
and the time-varying nature of the exogenous processes. To cope with this
challenge, we model the algorithm dynamics using stochastic differential
equations (SDEs) and show that the study of the algorithm convergence is
equivalent to the study of the stochastic stability of a virtual stochastic
dynamic system (VSDS). Leveraging the techniques of Lyapunov stability, we
derive a sufficient condition for the algorithm stability and a tracking error
bound in terms of the parameters of the multi-timescale exogenous processes.
Based on these results, an adaptive compensation algorithm is proposed to
enhance the tracking performance. Finally, we illustrate the framework by an
application example in wireless heterogeneous network
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