Mixture of Bilateral-Projection Two-dimensional Probabilistic Principal Component Analysis

The probabilistic principal component analysis (PPCA) is built upon a global linear mapping, with which it is insufficient to model complex data variation. This paper proposes a mixture of bilateral-projection probabilistic principal component analysis model (mixB2DPPCA) on 2D data. With multi-components in the mixture, this model can be seen as a soft cluster algorithm and has capability of modeling data with complex structures. A Bayesian inference scheme has been proposed based on the variational EM (Expectation-Maximization) approach for learning model parameters. Experiments on some publicly available databases show that the performance of mixB2DPPCA has been largely improved, resulting in more accurate reconstruction errors and recognition rates than the existing PCA-based algorithms

Linear system identification using stable spline kernels and PLQ penalties

The classical approach to linear system identification is given by parametric Prediction Error Methods (PEM). In this context, model complexity is often unknown so that a model order selection step is needed to suitably trade-off bias and variance. Recently, a different approach to linear system identification has been introduced, where model order determination is avoided by using a regularized least squares framework. In particular, the penalty term on the impulse response is defined by so called stable spline kernels. They embed information on regularity and BIBO stability, and depend on a small number of parameters which can be estimated from data. In this paper, we provide new nonsmooth formulations of the stable spline estimator. In particular, we consider linear system identification problems in a very broad context, where regularization functionals and data misfits can come from a rich set of piecewise linear quadratic functions. Moreover, our anal- ysis includes polyhedral inequality constraints on the unknown impulse response. For any formulation in this class, we show that interior point methods can be used to solve the system identification problem, with complexity O(n3)+O(mn2) in each iteration, where n and m are the number of impulse response coefficients and measurements, respectively. The usefulness of the framework is illustrated via a numerical experiment where output measurements are contaminated by outliers.Comment: 8 pages, 2 figure

A variational Bayesian method for inverse problems with impulsive noise

We propose a novel numerical method for solving inverse problems subject to impulsive noises which possibly contain a large number of outliers. The approach is of Bayesian type, and it exploits a heavy-tailed t distribution for data noise to achieve robustness with respect to outliers. A hierarchical model with all hyper-parameters automatically determined from the given data is described. An algorithm of variational type by minimizing the Kullback-Leibler divergence between the true posteriori distribution and a separable approximation is developed. The numerical method is illustrated on several one- and two-dimensional linear and nonlinear inverse problems arising from heat conduction, including estimating boundary temperature, heat flux and heat transfer coefficient. The results show its robustness to outliers and the fast and steady convergence of the algorithm.Comment: 20 pages, to appear in J. Comput. Phy

Expectation Propagation for Nonlinear Inverse Problems -- with an Application to Electrical Impedance Tomography

In this paper, we study a fast approximate inference method based on expectation propagation for exploring the posterior probability distribution arising from the Bayesian formulation of nonlinear inverse problems. It is capable of efficiently delivering reliable estimates of the posterior mean and covariance, thereby providing an inverse solution together with quantified uncertainties. Some theoretical properties of the iterative algorithm are discussed, and the efficient implementation for an important class of problems of projection type is described. The method is illustrated with one typical nonlinear inverse problem, electrical impedance tomography with complete electrode model, under sparsity constraints. Numerical results for real experimental data are presented, and compared with that by Markov chain Monte Carlo. The results indicate that the method is accurate and computationally very efficient.Comment: Journal of Computational Physics, to appea

Optimization viewpoint on Kalman smoothing, with applications to robust and sparse estimation

In this paper, we present the optimization formulation of the Kalman filtering and smoothing problems, and use this perspective to develop a variety of extensions and applications. We first formulate classic Kalman smoothing as a least squares problem, highlight special structure, and show that the classic filtering and smoothing algorithms are equivalent to a particular algorithm for solving this problem. Once this equivalence is established, we present extensions of Kalman smoothing to systems with nonlinear process and measurement models, systems with linear and nonlinear inequality constraints, systems with outliers in the measurements or sudden changes in the state, and systems where the sparsity of the state sequence must be accounted for. All extensions preserve the computational efficiency of the classic algorithms, and most of the extensions are illustrated with numerical examples, which are part of an open source Kalman smoothing Matlab/Octave package.Comment: 46 pages, 11 figure