Filtering Random Graph Processes Over Random Time-Varying Graphs

Graph filters play a key role in processing the graph spectra of signals supported on the vertices of a graph. However, despite their widespread use, graph filters have been analyzed only in the deterministic setting, ignoring the impact of stochastic- ity in both the graph topology as well as the signal itself. To bridge this gap, we examine the statistical behavior of the two key filter types, finite impulse response (FIR) and autoregressive moving average (ARMA) graph filters, when operating on random time- varying graph signals (or random graph processes) over random time-varying graphs. Our analysis shows that (i) in expectation, the filters behave as the same deterministic filters operating on a deterministic graph, being the expected graph, having as input signal a deterministic signal, being the expected signal, and (ii) there are meaningful upper bounds for the variance of the filter output. We conclude the paper by proposing two novel ways of exploiting randomness to improve (joint graph-time) noise cancellation, as well as to reduce the computational complexity of graph filtering. As demonstrated by numerical results, these methods outperform the disjoint average and denoise algorithm, and yield a (up to) four times complexity redution, with very little difference from the optimal solution

Ecological non-linear state space model selection via adaptive particle Markov chain Monte Carlo (AdPMCMC)

We develop a novel advanced Particle Markov chain Monte Carlo algorithm that is capable of sampling from the posterior distribution of non-linear state space models for both the unobserved latent states and the unknown model parameters. We apply this novel methodology to five population growth models, including models with strong and weak Allee effects, and test if it can efficiently sample from the complex likelihood surface that is often associated with these models. Utilising real and also synthetically generated data sets we examine the extent to which observation noise and process error may frustrate efforts to choose between these models. Our novel algorithm involves an Adaptive Metropolis proposal combined with an SIR Particle MCMC algorithm (AdPMCMC). We show that the AdPMCMC algorithm samples complex, high-dimensional spaces efficiently, and is therefore superior to standard Gibbs or Metropolis Hastings algorithms that are known to converge very slowly when applied to the non-linear state space ecological models considered in this paper. Additionally, we show how the AdPMCMC algorithm can be used to recursively estimate the Bayesian Cram\'er-Rao Lower Bound of Tichavsk\'y (1998). We derive expressions for these Cram\'er-Rao Bounds and estimate them for the models considered. Our results demonstrate a number of important features of common population growth models, most notably their multi-modal posterior surfaces and dependence between the static and dynamic parameters. We conclude by sampling from the posterior distribution of each of the models, and use Bayes factors to highlight how observation noise significantly diminishes our ability to select among some of the models, particularly those that are designed to reproduce an Allee effect

Stochastic Behavior Analysis of the Gaussian Kernel Least-Mean-Square Algorithm

The kernel least-mean-square (KLMS) algorithm is a popular algorithm in nonlinear adaptive filtering due to its simplicity and robustness. In kernel adaptive filters, the statistics of the input to the linear filter depends on the parameters of the kernel employed. Moreover, practical implementations require a finite nonlinearity model order. A Gaussian KLMS has two design parameters, the step size and the Gaussian kernel bandwidth. Thus, its design requires analytical models for the algorithm behavior as a function of these two parameters. This paper studies the steady-state behavior and the transient behavior of the Gaussian KLMS algorithm for Gaussian inputs and a finite order nonlinearity model. In particular, we derive recursive expressions for the mean-weight-error vector and the mean-square-error. The model predictions show excellent agreement with Monte Carlo simulations in transient and steady state. This allows the explicit analytical determination of stability limits, and gives opportunity to choose the algorithm parameters a priori in order to achieve prescribed convergence speed and quality of the estimate. Design examples are presented which validate the theoretical analysis and illustrates its application

The instanton method and its numerical implementation in fluid mechanics

A precise characterization of structures occurring in turbulent fluid flows at high Reynolds numbers is one of the last open problems of classical physics. In this review we discuss recent developments related to the application of instanton methods to turbulence. Instantons are saddle point configurations of the underlying path integrals. They are equivalent to minimizers of the related Freidlin-Wentzell action and known to be able to characterize rare events in such systems. While there is an impressive body of work concerning their analytical description, this review focuses on the question on how to compute these minimizers numerically. In a short introduction we present the relevant mathematical and physical background before we discuss the stochastic Burgers equation in detail. We present algorithms to compute instantons numerically by an efficient solution of the corresponding Euler-Lagrange equations. A second focus is the discussion of a recently developed numerical filtering technique that allows to extract instantons from direct numerical simulations. In the following we present modifications of the algorithms to make them efficient when applied to two- or three-dimensional fluid dynamical problems. We illustrate these ideas using the two-dimensional Burgers equation and the three-dimensional Navier-Stokes equations

On line power spectra identification and whitening for the noise in interferometric gravitational wave detectors

In this paper we address both to the problem of identifying the noise Power Spectral Density of interferometric detectors by parametric techniques and to the problem of the whitening procedure of the sequence of data. We will concentrate the study on a Power Spectral Density like the one of the Italian-French detector VIRGO and we show that with a reasonable finite number of parameters we succeed in modeling a spectrum like the theoretical one of VIRGO, reproducing all its features. We propose also the use of adaptive techniques to identify and to whiten on line the data of interferometric detectors. We analyze the behavior of the adaptive techniques in the field of stochastic gradient and in the Least Squares ones.Comment: 28 pages, 21 figures, uses iopart.cls accepted for pubblication on Classical and Quantum Gravit