17,458 research outputs found
Invertible Particle Flow-based Sequential MCMC with extension to Gaussian Mixture noise models
Sequential state estimation in non-linear and non-Gaussian state spaces has a
wide range of applications in statistics and signal processing. One of the most
effective non-linear filtering approaches, particle filtering, suffers from
weight degeneracy in high-dimensional filtering scenarios. Several avenues have
been pursued to address high-dimensionality. Among these, particle flow
particle filters construct effective proposal distributions by using invertible
flow to migrate particles continuously from the prior distribution to the
posterior, and sequential Markov chain Monte Carlo (SMCMC) methods use a
Metropolis-Hastings (MH) accept-reject approach to improve filtering
performance. In this paper, we propose to combine the strengths of invertible
particle flow and SMCMC by constructing a composite Metropolis-Hastings (MH)
kernel within the SMCMC framework using invertible particle flow. In addition,
we propose a Gaussian mixture model (GMM)-based particle flow algorithm to
construct effective MH kernels for multi-modal distributions. Simulation
results show that for high-dimensional state estimation example problems the
proposed kernels significantly increase the acceptance rate with minimal
additional computational overhead and improve estimation accuracy compared with
state-of-the-art filtering algorithms
Dynamic filtering of static dipoles in magnetoencephalography
We consider the problem of estimating neural activity from measurements
of the magnetic fields recorded by magnetoencephalography. We exploit
the temporal structure of the problem and model the neural current as a
collection of evolving current dipoles, which appear and disappear, but whose
locations are constant throughout their lifetime. This fully reflects the physiological
interpretation of the model.
In order to conduct inference under this proposed model, it was necessary
to develop an algorithm based around state-of-the-art sequential Monte
Carlo methods employing carefully designed importance distributions. Previous
work employed a bootstrap filter and an artificial dynamic structure
where dipoles performed a random walk in space, yielding nonphysical artefacts
in the reconstructions; such artefacts are not observed when using the
proposed model. The algorithm is validated with simulated data, in which
it provided an average localisation error which is approximately half that of
the bootstrap filter. An application to complex real data derived from a somatosensory
experiment is presented. Assessment of model fit via marginal
likelihood showed a clear preference for the proposed model and the associated
reconstructions show better localisation
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