9,174 research outputs found
Dynamics and sparsity in latent threshold factor models: A study in multivariate EEG signal processing
We discuss Bayesian analysis of multivariate time series with dynamic factor
models that exploit time-adaptive sparsity in model parametrizations via the
latent threshold approach. One central focus is on the transfer responses of
multiple interrelated series to underlying, dynamic latent factor processes.
Structured priors on model hyper-parameters are key to the efficacy of dynamic
latent thresholding, and MCMC-based computation enables model fitting and
analysis. A detailed case study of electroencephalographic (EEG) data from
experimental psychiatry highlights the use of latent threshold extensions of
time-varying vector autoregressive and factor models. This study explores a
class of dynamic transfer response factor models, extending prior Bayesian
modeling of multiple EEG series and highlighting the practical utility of the
latent thresholding concept in multivariate, non-stationary time series
analysis.Comment: 27 pages, 13 figures, link to external web site for supplementary
animated figure
Robot Introspection with Bayesian Nonparametric Vector Autoregressive Hidden Markov Models
Robot introspection, as opposed to anomaly detection typical in process
monitoring, helps a robot understand what it is doing at all times. A robot
should be able to identify its actions not only when failure or novelty occurs,
but also as it executes any number of sub-tasks. As robots continue their quest
of functioning in unstructured environments, it is imperative they understand
what is it that they are actually doing to render them more robust. This work
investigates the modeling ability of Bayesian nonparametric techniques on
Markov Switching Process to learn complex dynamics typical in robot contact
tasks. We study whether the Markov switching process, together with Bayesian
priors can outperform the modeling ability of its counterparts: an HMM with
Bayesian priors and without. The work was tested in a snap assembly task
characterized by high elastic forces. The task consists of an insertion subtask
with very complex dynamics. Our approach showed a stronger ability to
generalize and was able to better model the subtask with complex dynamics in a
computationally efficient way. The modeling technique is also used to learn a
growing library of robot skills, one that when integrated with low-level
control allows for robot online decision making.Comment: final version submitted to humanoids 201
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
Particle Learning for General Mixtures
This paper develops particle learning (PL) methods for the estimation of general mixture models. The approach is distinguished from alternative particle filtering methods in two major ways. First, each iteration begins by resampling particles according to posterior predictive probability, leading to a more efficient set for propagation. Second, each particle tracks only the "essential state vector" thus leading to reduced dimensional inference. In addition, we describe how the approach will apply to more general mixture models of current interest in the literature; it is hoped that this will inspire a greater number of researchers to adopt sequential Monte Carlo methods for fitting their sophisticated mixture based models. Finally, we show that PL leads to straight forward tools for marginal likelihood calculation and posterior cluster allocation.Business Administratio
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