11 research outputs found
Particle-filtering approaches for nonlinear Bayesian decoding of neuronal spike trains
The number of neurons that can be simultaneously recorded doubles every seven
years. This ever increasing number of recorded neurons opens up the possibility
to address new questions and extract higher dimensional stimuli from the
recordings. Modeling neural spike trains as point processes, this task of
extracting dynamical signals from spike trains is commonly set in the context
of nonlinear filtering theory. Particle filter methods relying on importance
weights are generic algorithms that solve the filtering task numerically, but
exhibit a serious drawback when the problem dimensionality is high: they are
known to suffer from the 'curse of dimensionality' (COD), i.e. the number of
particles required for a certain performance scales exponentially with the
observable dimensions. Here, we first briefly review the theory on filtering
with point process observations in continuous time. Based on this theory, we
investigate both analytically and numerically the reason for the COD of
weighted particle filtering approaches: Similarly to particle filtering with
continuous-time observations, the COD with point-process observations is due to
the decay of effective number of particles, an effect that is stronger when the
number of observable dimensions increases. Given the success of unweighted
particle filtering approaches in overcoming the COD for continuous- time
observations, we introduce an unweighted particle filter for point-process
observations, the spike-based Neural Particle Filter (sNPF), and show that it
exhibits a similar favorable scaling as the number of dimensions grows.
Further, we derive rules for the parameters of the sNPF from a maximum
likelihood approach learning. We finally employ a simple decoding task to
illustrate the capabilities of the sNPF and to highlight one possible future
application of our inference and learning algorithm
The Hitchhiker's Guide to Nonlinear Filtering
Nonlinear filtering is the problem of online estimation of a dynamic hidden
variable from incoming data and has vast applications in different fields,
ranging from engineering, machine learning, economic science and natural
sciences. We start our review of the theory on nonlinear filtering from the
simplest `filtering' task we can think of, namely static Bayesian inference.
From there we continue our journey through discrete-time models, which is
usually encountered in machine learning, and generalize to and further
emphasize continuous-time filtering theory. The idea of changing the
probability measure connects and elucidates several aspects of the theory, such
as the parallels between the discrete- and continuous-time problems and between
different observation models. Furthermore, it gives insight into the
construction of particle filtering algorithms. This tutorial is targeted at
scientists and engineers and should serve as an introduction to the main ideas
of nonlinear filtering, and as a segway to more advanced and specialized
literature.Comment: 64 page
The Neural Particle Filter
The robust estimation of dynamically changing features, such as the position
of prey, is one of the hallmarks of perception. On an abstract, algorithmic
level, nonlinear Bayesian filtering, i.e. the estimation of temporally changing
signals based on the history of observations, provides a mathematical framework
for dynamic perception in real time. Since the general, nonlinear filtering
problem is analytically intractable, particle filters are considered among the
most powerful approaches to approximating the solution numerically. Yet, these
algorithms prevalently rely on importance weights, and thus it remains an
unresolved question how the brain could implement such an inference strategy
with a neuronal population. Here, we propose the Neural Particle Filter (NPF),
a weight-less particle filter that can be interpreted as the neuronal dynamics
of a recurrently connected neural network that receives feed-forward input from
sensory neurons and represents the posterior probability distribution in terms
of samples. Specifically, this algorithm bridges the gap between the
computational task of online state estimation and an implementation that allows
networks of neurons in the brain to perform nonlinear Bayesian filtering. The
model captures not only the properties of temporal and multisensory integration
according to Bayesian statistics, but also allows online learning with a
maximum likelihood approach. With an example from multisensory integration, we
demonstrate that the numerical performance of the model is adequate to account
for both filtering and identification problems. Due to the weightless approach,
our algorithm alleviates the 'curse of dimensionality' and thus outperforms
conventional, weighted particle filters in higher dimensions for a limited
number of particles
How to avoid the curse of dimensionality: scalability of particle filters with and without importance weights
Particle filters are a popular and flexible class of numerical algorithms to solve a large class of nonlinear filtering problems. However, standard particle filters with importance weights have been shown to require a sample size that increases exponentially with the dimension D of the state space in order to achieve a certain performance, which precludes their use in very high-dimensional filtering problems. Here, we focus on the dynamic aspect of this curse of dimensionality (COD) in continuous time filtering, which is caused by the degeneracy of importance weights over time. We show that the degeneracy occurs on a time-scale that decreases with increasing D. In order to soften the effects of weight degeneracy, most particle filters use particle resampling and improved proposal functions for the particle motion. We explain why neither of the two can prevent the COD in general. In order to address this fundamental problem, we investigate an existing filtering algorithm based on optimal feedback control that sidesteps the use of importance weights. We use numerical experiments to show that this Feedback Particle Filter (FPF) by Yang et al. (2013) does not exhibit a COD
Particle-filtering approaches for nonlinear Bayesian decoding of neuronal spike trains
The number of neurons that can be simultaneously recorded doubles every seven years. This ever increasing number of recorded neurons opens up the possibility to address new questions and extract higher dimensional stimuli from the recordings. Modeling neural spike trains as point processes, this task of extracting dynamical signals from spike trains is commonly set in the context of nonlinear filtering theory. Particle filter methods relying on importance weights are generic algorithms that solve the filtering task numerically, but exhibit a serious drawback when the problem dimensionality is high: they are known to suffer from the 'curse of dimensionality' (COD), i.e. the number of particles required for a certain performance scales exponentially with the observable dimensions. Here, we first briefly review the theory on filtering with point process observations in continuous time. Based on this theory, we investigate both analytically and numerically the reason for the COD of weighted particle filtering approaches: Similarly to particle filtering with continuous-time observations, the COD with point-process observations is due to the decay of effective number of particles, an effect that is stronger when the number of observable dimensions increases. Given the success of unweighted particle filtering approaches in overcoming the COD for continuous- time observations, we introduce an unweighted particle filter for point-process observations, the spike-based Neural Particle Filter (sNPF), and show that it exhibits a similar favorable scaling as the number of dimensions grows. Further, we derive rules for the parameters of the sNPF from a maximum likelihood approach learning. We finally employ a simple decoding task to illustrate the capabilities of the sNPF and to highlight one possible future application of our inference and learning algorithm
The Hitchhiker's guide to nonlinear filtering
ISSN:0022-249
How to Avoid the Curse of Dimensionality: Scalability of Particle Filters with and without Importance Weights
Particle filters are a popular and flexible class of numerical algorithms to solve a large class of nonlinear filtering problems. However, standard particle filters with importance weights have been shown to require a sample size that increases exponentially with the dimension of the state space in order to achieve a certain performance, which precludes their use in very high-dimensional filtering problems. Here, we focus on the dynamic aspect of this “curse of dimensionality” (COD) in continuous-time filtering, which is caused by the degeneracy of importance weights over time. We show that the degeneracy occurs on a time scale that decreases with increasing . In order to soften the effects of weight degeneracy, most particle filters use particle resampling and improved proposal functions for the particle motion. We explain why neither of the two can prevent the COD in general. In order to address this fundamental problem, we investigate an existing filtering algorithm based on optimal feedback control that sidesteps the use of importance weights. We use numerical experiments to show that this feedback particle filter (FPF) by [T. Yang, P. G. Mehta, and S. P. Meyn, IEEE Trans. Automat. Control, 58 (2013), pp. 2465--2480] does not exhibit a COD.ISSN:0036-1445ISSN:1095-720
Asymptotically exact unweighted particle filter for manifold-valued hidden states and point process observations
The filtering of a Markov diffusion process on a manifold from counting process observations leads to ‘large’ changes in the conditional distribution upon an observed event, corresponding to a multiplication of the density by the intensity function of the observation process. If that distribution is represented by unweighted samples or particles, they need to be jointly transformed such that they sample from the modified distribution. In previous work, this transformation has been approximated by a translation of all the particles by a common vector. However, such an operation is ill-defined on a manifold, and on a vector space, a constant gain can lead to a wrong estimate of the uncertainty over the hidden state. Here, taking inspiration from the feedback particle filter (FPF), we derive an asymptotically exact filter (called ppFPF) for point process observations, whose particles evolve according to intrinsic (i.e., parametrization-invariant) dynamics that are composed of the dynamics of the hidden state plus additional control terms. While not sharing the gain-times-error structure of the FPF, the optimal control terms are expressed as solutions to partial differential equations analogous to the weighted Poisson equation for the gain of the FPF. The proposed filter can therefore make use of existing approximation algorithms for solutions of weighted Poisson equations.ISSN:2475-145
Nonlinear Bayesian filtering and learning: a neuronal dynamics for perception
The robust estimation of dynamical hidden features, such as the position of prey, based on sensory inputs is one of the hallmarks of perception. This dynamical estimation can be rigorously formulated by nonlinear Bayesian filtering theory. Recent experimental and behavioral studies have shown that animals’ performance in many tasks is consistent with such a Bayesian statistical interpretation. However, it is presently unclear how a nonlinear Bayesian filter can be efficiently implemented in a network of neurons that satisfies some minimum constraints of biological plausibility. Here, we propose the Neural Particle Filter (NPF), a sampling-based nonlinear Bayesian filter, which does not rely on importance weights. We show that this filter can be interpreted as the neuronal dynamics of a recurrently connected rate-based neural network receiving feed-forward input from sensory neurons. Further, it captures properties of temporal and multi-sensory integration that are crucial for perception, and it allows for online parameter learning with a maximum likelihood approach. The NPF holds the promise to avoid the ‘curse of dimensionality’, and we demonstrate numerically its capability to outperform weighted particle filters in higher dimensions and when the number of particles is limited.ISSN:2045-232