Bibliographic Review on Distributed Kalman Filtering

In recent years, a compelling need has arisen to understand the effects of distributed information structures on estimation and filtering. In this paper, a bibliographical review on distributed Kalman filtering (DKF) is provided.\ud The paper contains a classification of different approaches and methods involved to DKF. The applications of DKF are also discussed and explained separately. A comparison of different approaches is briefly carried out. Focuses on the contemporary research are also addressed with emphasis on the practical applications of the techniques. An exhaustive list of publications, linked directly or indirectly to DKF in the open literature, is compiled to provide an overall picture of different developing aspects of this area

Chebyshev and Conjugate Gradient Filters for Graph Image Denoising

In 3D image/video acquisition, different views are often captured with varying noise levels across the views. In this paper, we propose a graph-based image enhancement technique that uses a higher quality view to enhance a degraded view. A depth map is utilized as auxiliary information to match the perspectives of the two views. Our method performs graph-based filtering of the noisy image by directly computing a projection of the image to be filtered onto a lower dimensional Krylov subspace of the graph Laplacian. We discuss two graph spectral denoising methods: first using Chebyshev polynomials, and second using iterations of the conjugate gradient algorithm. Our framework generalizes previously known polynomial graph filters, and we demonstrate through numerical simulations that our proposed technique produces subjectively cleaner images with about 1-3 dB improvement in PSNR over existing polynomial graph filters.Comment: 6 pages, 6 figures, accepted to 2014 IEEE International Conference on Multimedia and Expo Workshops (ICMEW

The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models

We consider Particle Gibbs (PG) as a tool for Bayesian analysis of non-linear non-Gaussian state-space models. PG is a Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the Gibbs procedure to update the latent and potentially high-dimensional state trajectories. We propose to combine PG with a generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially improve the mixing and the efficiency of the PG draws from the posterior of the states and the parameters relative to existing PG implementations. The efficiency gains achieved by PEIS are illustrated in PG applications to a univariate stochastic volatility model for asset returns, a non-Gaussian nonlinear local-level model for interest rates, and a multivariate stochastic volatility model for the realized covariance matrix of asset returns

Dynare: Reference Manual Version 4

Dynare is a software platform for handling a wide class of economic models, in particular dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models. The models solved by Dynare include those relying on the rational expectations hypothesis, wherein agents form their expectations about the future in a way consistent with the model. But Dynare is also able to handle models where expectations are formed differently: on one extreme, models where agents perfectly anticipate the future; on the other extreme, models where agents have limited rationality or imperfect knowledge of the state of the economy and, hence, form their expectations through a learning process. Dynare offers a user-friendly and intuitive way of describing these models. It is able to perform simulations of the model given a calibration of the model parameters and is also able to estimate these parameters given a dataset. Dynare is a free software, which means that it can be downloaded free of charge, that its source code is freely available, and that it can be used for both non-profit and for-profit purposes.Dynare; Numerical methods; Perturbation; Rational expectations

Adaptive initial step size selection for simultaneous perturbation stochastic approximation

A difficulty in using Simultaneous Perturbation Stochastics Approximation (SPSA) is its performance sensitivity to the step sizes chosen at the initial stage of the iteration. If the step size is too large, the solution estimate may fail to converge. The proposed adaptive stepping method automatically reduces the initial step size of the SPSA so that reduction of the objective function value occurs more reliably. Ten mathematical functions each with three different noise levels were used to empirically show the effectiveness of the proposed idea. A parameter estimation example of a nonlinear dynamical system is also included

Doubly Robust Smoothing of Dynamical Processes via Outlier Sparsity Constraints

Coping with outliers contaminating dynamical processes is of major importance in various applications because mismatches from nominal models are not uncommon in practice. In this context, the present paper develops novel fixed-lag and fixed-interval smoothing algorithms that are robust to outliers simultaneously present in the measurements {\it and} in the state dynamics. Outliers are handled through auxiliary unknown variables that are jointly estimated along with the state based on the least-squares criterion that is regularized with the $\ell_1$-norm of the outliers in order to effect sparsity control. The resultant iterative estimators rely on coordinate descent and the alternating direction method of multipliers, are expressed in closed form per iteration, and are provably convergent. Additional attractive features of the novel doubly robust smoother include: i) ability to handle both types of outliers; ii) universality to unknown nominal noise and outlier distributions; iii) flexibility to encompass maximum a posteriori optimal estimators with reliable performance under nominal conditions; and iv) improved performance relative to competing alternatives at comparable complexity, as corroborated via simulated tests.Comment: Submitted to IEEE Trans. on Signal Processin

Scalable Facility Location for Massive Graphs on Pregel-like Systems

We propose a new scalable algorithm for facility location. Facility location is a classic problem, where the goal is to select a subset of facilities to open, from a set of candidate facilities F , in order to serve a set of clients C. The objective is to minimize the total cost of opening facilities plus the cost of serving each client from the facility it is assigned to. In this work, we are interested in the graph setting, where the cost of serving a client from a facility is represented by the shortest-path distance on the graph. This setting allows to model natural problems arising in the Web and in social media applications. It also allows to leverage the inherent sparsity of such graphs, as the input is much smaller than the full pairwise distances between all vertices. To obtain truly scalable performance, we design a parallel algorithm that operates on clusters of shared-nothing machines. In particular, we target modern Pregel-like architectures, and we implement our algorithm on Apache Giraph. Our solution makes use of a recent result to build sketches for massive graphs, and of a fast parallel algorithm to find maximal independent sets, as building blocks. In so doing, we show how these problems can be solved on a Pregel-like architecture, and we investigate the properties of these algorithms. Extensive experimental results show that our algorithm scales gracefully to graphs with billions of edges, while obtaining values of the objective function that are competitive with a state-of-the-art sequential algorithm