Inference via low-dimensional couplings

We investigate the low-dimensional structure of deterministic transformations between random variables, i.e., transport maps between probability measures. In the context of statistics and machine learning, these transformations can be used to couple a tractable "reference" measure (e.g., a standard Gaussian) with a target measure of interest. Direct simulation from the desired measure can then be achieved by pushing forward reference samples through the map. Yet characterizing such a map---e.g., representing and evaluating it---grows challenging in high dimensions. The central contribution of this paper is to establish a link between the Markov properties of the target measure and the existence of low-dimensional couplings, induced by transport maps that are sparse and/or decomposable. Our analysis not only facilitates the construction of transformations in high-dimensional settings, but also suggests new inference methodologies for continuous non-Gaussian graphical models. For instance, in the context of nonlinear state-space models, we describe new variational algorithms for filtering, smoothing, and sequential parameter inference. These algorithms can be understood as the natural generalization---to the non-Gaussian case---of the square-root Rauch-Tung-Striebel Gaussian smoother.Comment: 78 pages, 25 figure

Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods

Parameter estimation in multidimensional diffusion models with only one coordinate observed is highly relevant in many biological applications, but a statistically difficult problem. In neuroscience, the membrane potential evolution in single neurons can be measured at high frequency, but biophysical realistic models have to include the unobserved dynamics of ion channels. One such model is the stochastic Morris-Lecar model, defined by a nonlinear two-dimensional stochastic differential equation. The coordinates are coupled, that is, the unobserved coordinate is nonautonomous, the model exhibits oscillations to mimic the spiking behavior, which means it is not of gradient-type, and the measurement noise from intracellular recordings is typically negligible. Therefore, the hidden Markov model framework is degenerate, and available methods break down. The main contributions of this paper are an approach to estimate in this ill-posed situation and nonasymptotic convergence results for the method. Specifically, we propose a sequential Monte Carlo particle filter algorithm to impute the unobserved coordinate, and then estimate parameters maximizing a pseudo-likelihood through a stochastic version of the Expectation-Maximization algorithm. It turns out that even the rate scaling parameter governing the opening and closing of ion channels of the unobserved coordinate can be reasonably estimated. An experimental data set of intracellular recordings of the membrane potential of a spinal motoneuron of a red-eared turtle is analyzed, and the performance is further evaluated in a simulation study.Comment: Published in at http://dx.doi.org/10.1214/14-AOAS729 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Sequential Monte Carlo samplers for semilinear inverse problems and application to magnetoencephalography

We discuss the use of a recent class of sequential Monte Carlo methods for solving inverse problems characterized by a semi-linear structure, i.e. where the data depend linearly on a subset of variables and nonlinearly on the remaining ones. In this type of problems, under proper Gaussian assumptions one can marginalize the linear variables. This means that the Monte Carlo procedure needs only to be applied to the nonlinear variables, while the linear ones can be treated analytically; as a result, the Monte Carlo variance and/or the computational cost decrease. We use this approach to solve the inverse problem of magnetoencephalography, with a multi-dipole model for the sources. Here, data depend nonlinearly on the number of sources and their locations, and depend linearly on their current vectors. The semi-analytic approach enables us to estimate the number of dipoles and their location from a whole time-series, rather than a single time point, while keeping a low computational cost.Comment: 26 pages, 6 figure

Sequential Monte Carlo for Graphical Models

We propose a new framework for how to use sequential Monte Carlo (SMC) algorithms for inference in probabilistic graphical models (PGM). Via a sequential decomposition of the PGM we find a sequence of auxiliary distributions defined on a monotonically increasing sequence of probability spaces. By targeting these auxiliary distributions using SMC we are able to approximate the full joint distribution defined by the PGM. One of the key merits of the SMC sampler is that it provides an unbiased estimate of the partition function of the model. We also show how it can be used within a particle Markov chain Monte Carlo framework in order to construct high-dimensional block-sampling algorithms for general PGMs