Penalized Likelihood and Bayesian Function Selection in Regression Models

Challenging research in various fields has driven a wide range of methodological advances in variable selection for regression models with high-dimensional predictors. In comparison, selection of nonlinear functions in models with additive predictors has been considered only more recently. Several competing suggestions have been developed at about the same time and often do not refer to each other. This article provides a state-of-the-art review on function selection, focusing on penalized likelihood and Bayesian concepts, relating various approaches to each other in a unified framework. In an empirical comparison, also including boosting, we evaluate several methods through applications to simulated and real data, thereby providing some guidance on their performance in practice

Regularization and Bayesian Learning in Dynamical Systems: Past, Present and Future

Regularization and Bayesian methods for system identification have been repopularized in the recent years, and proved to be competitive w.r.t. classical parametric approaches. In this paper we shall make an attempt to illustrate how the use of regularization in system identification has evolved over the years, starting from the early contributions both in the Automatic Control as well as Econometrics and Statistics literature. In particular we shall discuss some fundamental issues such as compound estimation problems and exchangeability which play and important role in regularization and Bayesian approaches, as also illustrated in early publications in Statistics. The historical and foundational issues will be given more emphasis (and space), at the expense of the more recent developments which are only briefly discussed. The main reason for such a choice is that, while the recent literature is readily available, and surveys have already been published on the subject, in the author's opinion a clear link with past work had not been completely clarified.Comment: Plenary Presentation at the IFAC SYSID 2015. Submitted to Annual Reviews in Contro

Semiparametric Bayesian models for human brain mapping

Functional magnetic resonance imaging (fMRI) has led to enormous progress in human brain mapping. Adequate analysis of the massive spatiotemporal data sets generated by this imaging technique, combining parametric and non-parametric components, imposes challenging problems in statistical modelling. Complex hierarchical Bayesian models in combination with computer-intensive Markov chain Monte Carlo inference are promising tools.The purpose of this paper is twofold. First, it provides a review of general semiparametric Bayesian models for the analysis of fMRI data. Most approaches focus on important but separate temporal or spatial aspects of the overall problem, or they proceed by stepwise procedures. Therefore, as a second aim, we suggest a complete spatiotemporal model for analysing fMRI data within a unified semiparametric Bayesian framework. An application to data from a visual stimulation experiment illustrates our approach and demonstrates its computational feasibility

A Joint 3D-2D based Method for Free Space Detection on Roads

In this paper, we address the problem of road segmentation and free space detection in the context of autonomous driving. Traditional methods either use 3-dimensional (3D) cues such as point clouds obtained from LIDAR, RADAR or stereo cameras or 2-dimensional (2D) cues such as lane markings, road boundaries and object detection. Typical 3D point clouds do not have enough resolution to detect fine differences in heights such as between road and pavement. Image based 2D cues fail when encountering uneven road textures such as due to shadows, potholes, lane markings or road restoration. We propose a novel free road space detection technique combining both 2D and 3D cues. In particular, we use CNN based road segmentation from 2D images and plane/box fitting on sparse depth data obtained from SLAM as priors to formulate an energy minimization using conditional random field (CRF), for road pixels classification. While the CNN learns the road texture and is unaffected by depth boundaries, the 3D information helps in overcoming texture based classification failures. Finally, we use the obtained road segmentation with the 3D depth data from monocular SLAM to detect the free space for the navigation purposes. Our experiments on KITTI odometry dataset, Camvid dataset, as well as videos captured by us, validate the superiority of the proposed approach over the state of the art.Comment: Accepted for publication at IEEE WACV 201

Maximum Entropy Vector Kernels for MIMO system identification

Recent contributions have framed linear system identification as a nonparametric regularized inverse problem. Relying on $\ell_2$-type regularization which accounts for the stability and smoothness of the impulse response to be estimated, these approaches have been shown to be competitive w.r.t classical parametric methods. In this paper, adopting Maximum Entropy arguments, we derive a new $\ell_2$ penalty deriving from a vector-valued kernel; to do so we exploit the structure of the Hankel matrix, thus controlling at the same time complexity, measured by the McMillan degree, stability and smoothness of the identified models. As a special case we recover the nuclear norm penalty on the squared block Hankel matrix. In contrast with previous literature on reweighted nuclear norm penalties, our kernel is described by a small number of hyper-parameters, which are iteratively updated through marginal likelihood maximization; constraining the structure of the kernel acts as a (hyper)regularizer which helps controlling the effective degrees of freedom of our estimator. To optimize the marginal likelihood we adapt a Scaled Gradient Projection (SGP) algorithm which is proved to be significantly computationally cheaper than other first and second order off-the-shelf optimization methods. The paper also contains an extensive comparison with many state-of-the-art methods on several Monte-Carlo studies, which confirms the effectiveness of our procedure

Image Reconstruction in Optical Interferometry

This tutorial paper describes the problem of image reconstruction from interferometric data with a particular focus on the specific problems encountered at optical (visible/IR) wavelengths. The challenging issues in image reconstruction from interferometric data are introduced in the general framework of inverse problem approach. This framework is then used to describe existing image reconstruction algorithms in radio interferometry and the new methods specifically developed for optical interferometry.Comment: accepted for publication in IEEE Signal Processing Magazin