111 research outputs found
What is the correct cost functional for variational data assimilation?
Variational approaches to data assimilation, and weakly constrained four dimensional variation (WC-4DVar) in particular, are important in the geosciences but also in other communities (often under different names). The cost functions and the resulting optimal trajectories may have a probabilistic interpretation, for instance by linking data assimilation with maximum aposteriori (MAP) estimation. This is possible in particular if the unknown trajectory is modelled as the solution of a stochastic differential equation (SDE), as is increasingly the case in weather forecasting and climate modelling. In this situation, the MAP estimator (or “most probable path” of the SDE) is obtained by minimising the Onsager–Machlup functional. Although this fact is well known, there seems to be some confusion in the literature, with the energy (or “least squares”) functional sometimes been claimed to yield the most probable path. The first aim of this paper is to address this confusion and show that the energy functional does not, in general, provide the most probable path. The second aim is to discuss the implications in practice. Although the mentioned results pertain to stochastic models in continuous time, they do have consequences in practice where SDE’s are approximated by discrete time schemes. It turns out that using an approximation to the SDE and calculating its most probable path does not necessarily yield a good approximation to the most probable path of the SDE proper. This suggest that even in discrete time, a version of the Onsager–Machlup functional should be used, rather than the energy functional, at least if the solution is to be interpreted as a MAP estimator
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Effect of embedded unbiasedness on discrete-time optimal FIR filtering estimates
Unbiased estimation is an efficient alternative to optimal estimation when the noise statistics are not fully known and/or the model undergoes temporary uncertainties. In this paper, we investigate the effect of embedded unbiasedness (EU) on optimal finite impulse response (OFIR) filtering estimates of linear discrete time-invariant state-space models. A new OFIR-EU filter is derived by minimizing the mean square error (MSE) subject to the unbiasedness constraint. We show that the OFIR-UE filter is equivalent to the minimum variance unbiased FIR (UFIR) filter. Unlike the OFIR filter, the OFIR-EU filter does not require the initial conditions. In terms of accuracy, the OFIR-EU filter occupies an intermediate place between the UFIR and OFIR filters. Contrary to the UFIR filter which MSE is minimized by the optimal horizon of N opt points, the MSEs in the OFIR-EU and OFIR filters diminish with N and these filters are thus full-horizon. Based upon several examples, we show that the OFIR-UE filter has higher immunity against errors in the noise statistics and better robustness against temporary model uncertainties than the OFIR and Kalman filters
A Stochastic Differential Equation Inventory Model
© 2018, The Author(s). Inventory for an item is being replenished at a constant rate whilst simultaneously being depleted by demand growing randomly and in relation to the inventory level. A stochastic differential equation is put forward to model this situation with solutions to it derived when analytically possible. Probabilities of reaching designated a priori inventory levels from some initial level are considered. Finally, the existence of stable inventory states is investigated by solving the Fokker–Planck equation for the diffusion process at the steady state. Investigation of the stability properties of the Fokker–Planck equation reveals that a judicious choice of control strategy allows the inventory level to remain in a stable regime
Recognizing recurrent neural networks (rRNN): Bayesian inference for recurrent neural networks
Recurrent neural networks (RNNs) are widely used in computational
neuroscience and machine learning applications. In an RNN, each neuron computes
its output as a nonlinear function of its integrated input. While the
importance of RNNs, especially as models of brain processing, is undisputed, it
is also widely acknowledged that the computations in standard RNN models may be
an over-simplification of what real neuronal networks compute. Here, we suggest
that the RNN approach may be made both neurobiologically more plausible and
computationally more powerful by its fusion with Bayesian inference techniques
for nonlinear dynamical systems. In this scheme, we use an RNN as a generative
model of dynamic input caused by the environment, e.g. of speech or kinematics.
Given this generative RNN model, we derive Bayesian update equations that can
decode its output. Critically, these updates define a 'recognizing RNN' (rRNN),
in which neurons compute and exchange prediction and prediction error messages.
The rRNN has several desirable features that a conventional RNN does not have,
for example, fast decoding of dynamic stimuli and robustness to initial
conditions and noise. Furthermore, it implements a predictive coding scheme for
dynamic inputs. We suggest that the Bayesian inversion of recurrent neural
networks may be useful both as a model of brain function and as a machine
learning tool. We illustrate the use of the rRNN by an application to the
online decoding (i.e. recognition) of human kinematics
Dimension reduction for systems with slow relaxation
We develop reduced, stochastic models for high dimensional, dissipative
dynamical systems that relax very slowly to equilibrium and can encode long
term memory. We present a variety of empirical and first principles approaches
for model reduction, and build a mathematical framework for analyzing the
reduced models. We introduce the notions of universal and asymptotic filters to
characterize `optimal' model reductions for sloppy linear models. We illustrate
our methods by applying them to the practically important problem of modeling
evaporation in oil spills.Comment: 48 Pages, 13 figures. Paper dedicated to the memory of Leo Kadanof
A probabilistic interpretation of PID controllers using active inference
In the past few decades, probabilistic interpretations of brain functions have become widespread in cognitive science and neuroscience. The Bayesian brain hypothesis, predictive coding, the free energy principle and active inference are increasingly popular theories of cognitive functions that claim to unify understandings of life and cognition within general mathematical frameworks derived from information and control theory, statistical physics and machine learning. The connections between information and control theory have been discussed since the 1950’s by scientists like Shannon and Kalman and have recently risen to prominence in modern stochastic optimal control theory. However, the implications of the confluence of these two theoretical frameworks for the biological sciences have been slow to emerge. Here we argue that if the active inference proposal is to be taken as a general process theory for biological systems, we need to consider how existing control theoretical approaches to biological systems relate to it. In this work we will focus on PID (Proportional-Integral-Derivative) controllers, one of the most common types of regulators employed in engineering and more recently used to explain behaviour in biological systems, e.g. chemotaxis in bacteria and amoebae or robust adaptation in biochemical networks. Using active inference, we derive a probabilistic interpretation of PID controllers, showing how they can fit a more general theory of life and cognition under the principle of (variational) free energy minimisation under simple linear generative models.most common types of regulators employed in engineering and more recently used to explain behaviour in biological systems, e.g. chemotaxis in bacteria and amoebae or robust adaptation in biochemical networks. Using active inference, we derive a probabilistic interpretation of PID controllers, showing how they can fit a more general theory of life and cognition under the principle of (variational) free energy minimisation under simple linear generative models
Hierarchical Models in the Brain
This paper describes a general model that subsumes many parametric models for
continuous data. The model comprises hidden layers of state-space or dynamic
causal models, arranged so that the output of one provides input to another. The
ensuing hierarchy furnishes a model for many types of data, of arbitrary
complexity. Special cases range from the general linear model for static data to
generalised convolution models, with system noise, for nonlinear time-series
analysis. Crucially, all of these models can be inverted using exactly the same
scheme, namely, dynamic expectation maximization. This means that a single model
and optimisation scheme can be used to invert a wide range of models. We present
the model and a brief review of its inversion to disclose the relationships
among, apparently, diverse generative models of empirical data. We then show
that this inversion can be formulated as a simple neural network and may provide
a useful metaphor for inference and learning in the brain
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