Computational Intelligence Sequential Monte Carlos for Recursive Bayesian Estimation

Recursive Bayesian estimation using sequential Monte Carlos methods is a powerful numerical technique to understand latent dynamics of non-linear non-Gaussian dynamical systems. Classical sequential Monte Carlos suffer from weight degeneracy which is where the number of distinct particles collapse. Traditionally this is addressed by resampling, which effectively replaces high weight particles with many particles with high inter-particle correlation. Frequent resampling, however, leads to a lack of diversity amongst the particle set in a problem known as sample impoverishment. Traditional sequential Monte Carlo methods attempt to resolve this correlated problem however introduce further data processing issues leading to minimal to comparable performance improvements over the sequential Monte Carlo particle filter. A new method, the adaptive path particle filter, is proposed for recursive Bayesian estimation of non-linear non-Gaussian dynamical systems. Our method addresses the weight degeneracy and sample impoverishment problem by embedding a computational intelligence step of adaptive path switching between generations based on maximal likelihood as a fitness function. Preliminary tests on a scalar estimation problem with non-linear non-Gaussian dynamics and a non-stationary observation model and the traditional univariate stochastic volatility problem are presented. Building on these preliminary results, we evaluate our adaptive path particle filter on the stochastic volatility estimation problem. We calibrate the Heston stochastic volatility model employing a Markov chain Monte Carlo on six securities. Finally, we investigate the efficacy of sequential Monte Carlos for recursive Bayesian estimation of astrophysical time series. We posit latent dynamics for both regularized and irregular astrophysical time series, calibrating fifty-five quasar time series using the CAR(1) model. We find the adaptive path particle filter to statistically significantly outperform the standard sequential importance resampling particle filter, the Markov chain Monte Carlo particle filter and, upon Heston model estimation, the particle learning algorithm particle filter. In addition, from our quasar MCMC calibration we find the characteristic timescale τ to be first-order stable in contradiction to the literature though indicative of a unified underlying structure. We offer detailed analysis throughout, and conclude with a discussion and suggestions for future work

Metaheuristic Optimization Techniques for Articulated Human Tracking

Four adaptive metaheuristic optimization algorithms are proposed and demonstrated: Adaptive Parameter Particle Swarm Optimization (AP-PSO), Modified Artificial Bat (MAB), Differential Mutated Artificial Immune System (DM-AIS) and hybrid Particle Swarm Accelerated Artificial Immune System (PSO-AIS). The algorithms adapt their search parameters on the basis of the fitness of obtained solutions such that a good fitness value favors local search, while a poor fitness value favors global search. This efficient feedback of the solution quality, imparts excellent global and local search characteristic to the proposed algorithms. The algorithms are tested on the challenging Articulated Human Tracking (AHT) problem whose objective is to infer human pose, expressed in terms of joint angles, from a continuous video stream. The Particle Filter (PF) algorithms, widely applied in generative model based AHT, suffer from the 'curse of dimensionality' and 'degeneracy' challenges. The four proposed algorithms show stable performance throughout the course of numerical experiments. DM-AIS performs best among the proposed algorithms followed in order by PSO-AIS, AP-PSO, and MBA in terms of Most Appropriate Pose (MAP) tracking error. The MAP tracking error of the proposed algorithms is compared with four heuristic approaches: generic PF, Annealed Particle Filter (APF), Partitioned Sampled Annealed Particle Filter (PSAPF) and Hierarchical Particle Swarm Optimization (HPSO). They are found to outperform generic PF with a confidence level of 95%, PSAPF and HPSO with a confidence level of 85%. While DM-AIS and PSO-AIS outperform APF with a confidence level of 80%. Further, it is noted that the proposed algorithms outperform PSAPF and HPSO using a significantly lower number of function evaluations, 2500 versus 7200. The proposed algorithms demonstrate reduced particle requirements, hence improving computational efficiency and helping to alleviate the 'curse of dimensionality'. The adaptive nature of the algorithms is found to guide the whole swarm towards the optimal solution by sharing information and exploring a wider solution space which resolves the 'degeneracy' challenge. Furthermore, the decentralized structure of the algorithms renders them insensitive to accumulation of error and allows them to recover from catastrophic failures due to loss of image data, sudden change in motion pattern or discrete instances of algorithmic failure. The performance enhancements demonstrated by the proposed algorithms, attributed to their balanced local and global search capabilities, makes real-time AHT applications feasible. Finally, the utility of the proposed algorithms in low-dimensional system identification problems as well as high-dimensional AHT problems demonstrates their applicability in various problem domains

Application of data and information fusion

Ph.DDOCTOR OF PHILOSOPH

Flood Forecasting Using Machine Learning Methods

This book is a printed edition of the Special Issue Flood Forecasting Using Machine Learning Methods that was published in Wate

Holographic Fourier domain diffuse correlation spectroscopy

Diffuse correlation spectroscopy (DCS) is a non-invasive optical modality which can be used to measure cerebral blood flow (CBF) in real-time. It has important potential applications in clinical monitoring, as well as in neuroscience and the development of a non-invasive brain-computer interface. However, a trade-off exists between the signal-to-noise ratio (SNR) and imaging depth, and thus CBF sensitivity, of this technique. Additionally, as DCS is a diffuse optical technique, it is limited by a lack of inherent depth discrimination within the illuminated region of each source-detector pair, and the CBF signal is therefore also prone to contamination by the extracerebral tissues which the light traverses. Placing a particular emphasis on scalability, affordability, and robustness to ambient light, in this work I demonstrate a novel approach which fuses the fields of digital holography and DCS: holographic Fourier domain DCS (FD-DCS). The mathematical formalism of FD-DCS is derived and validated, followed by the construction and validation (for both in vitro and in vivo experiments) of a holographic FD-DCS instrument. By undertaking a systematic SNR performance assessment and developing a novel multispeckle denoising algorithm, I demonstrate the highest SNR gain reported in the DCS literature to date, achieved using scalable and low-cost camera-based detection. With a view to generating a forward model for holographic FD-DCS, in this thesis I propose a novel framework to simulate statistically accurate time-integrated dynamic speckle patterns in biomedical optics. The solution that I propose to this previously unsolved problem is based on the Karhunen-Loève expansion of the electric field, and I validate this technique against novel expressions for speckle contrast for different forms of homogeneous field. I also show that this method can readily be extended to cases with spatially varying sample properties, and that it can also be used to model optical and acoustic parameters

Book of Abstracts

no abstrac

Development of an unsupervised remote sensing methodology of detect surface leakage from terrestrial CO2 storage sites

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