Sequential quasi-Monte Carlo: Introduction for Non-Experts, Dimension Reduction, Application to Partly Observed Diffusion Processes

SMC (Sequential Monte Carlo) is a class of Monte Carlo algorithms for filtering and related sequential problems. Gerber and Chopin (2015) introduced SQMC (Sequential quasi-Monte Carlo), a QMC version of SMC. This paper has two objectives: (a) to introduce Sequential Monte Carlo to the QMC community, whose members are usually less familiar with state-space models and particle filtering; (b) to extend SQMC to the filtering of continuous-time state-space models, where the latent process is a diffusion. A recurring point in the paper will be the notion of dimension reduction, that is how to implement SQMC in such a way that it provides good performance despite the high dimension of the problem.Comment: To be published in the proceedings of MCMQMC 201

MCMC for Bayesian uncertainty quantification from time-series data

In computational neuroscience, Neural Population Models (NPMs) are mechanistic models that describe brain physiology in a range of different states. Within computational neuroscience there is growing interest in the inverse problem of inferring NPM parameters from recordings such as the EEG (Electroencephalogram). Uncertainty quantification is essential in this application area in order to infer the mechanistic effect of interventions such as anaesthesia. This paper presents Open image in new window software for Bayesian uncertainty quantification in the parameters of NPMs from approximately stationary data using Markov Chain Monte Carlo (MCMC). Modern MCMC methods require first order (and in some cases higher order) derivatives of the posterior density. The software presented offers two distinct methods of evaluating derivatives: finite differences and exact derivatives obtained through Algorithmic Differentiation (AD). For AD, two different implementations are used: the open source Stan Math Library and the commercially licenced Open image in new window tool distributed by NAG (Numerical Algorithms Group). The use of derivative information in MCMC sampling is demonstrated through a simple example, the noise-driven harmonic oscillator. And different methods for computing derivatives are compared. The software is written in a modular object-oriented way such that it can be extended to derivative based MCMC for other scientific domains

A practical approach for outdoors distributed target localization in wireless sensor networks

Wireless sensor networks are posed as the new communication paradigm where the use of small, low-complexity, and low-power devices is preferred over costly centralized systems. The spectra of potential applications of sensor networks is very wide, ranging from monitoring, surveillance, and localization, among others. Localization is a key application in sensor networks and the use of simple, efficient, and distributed algorithms is of paramount practical importance. Combining convex optimization tools with consensus algorithms we propose a distributed localization algorithm for scenarios where received signal strength indicator readings are used. We approach the localization problem by formulating an alternative problem that uses distance estimates locally computed at each node. The formulated problem is solved by a relaxed version using semidefinite relaxation technique. Conditions under which the relaxed problem yields to the same solution as the original problem are given and a distributed consensusbased implementation of the algorithm is proposed based on an augmented Lagrangian approach and primaldual decomposition methods. Although suboptimal, the proposed approach is very suitable for its implementation in real sensor networks, i.e., it is scalable, robust against node failures and requires only local communication among neighboring nodes. Simulation results show that running an additional local search around the found solution can yield performance close to the maximum likelihood estimate

Pattern Recognition in a Bimodal Aquifer Using the Normal-Score Ensemble Kalman Filter

The ensemble Kalman filter (EnKF) is now widely used in diverse disciplines to estimate model parameters and update model states by integrating observed data. The EnKF is known to perform optimally only for multi-Gaussian distributed states and parameters. A new approach, the normal-score EnKF (NS-EnKF), has been recently proposed to handle complex aquifers with non-Gaussian distributed parameters. In this work, we aim at investigating the capacity of the NS-EnKF to identify patterns in the spatial distribution of the model parameters (hydraulic conductivities) by assimilating dynamic observations in the absence of direct measurements of the parameters themselves. In some situations, hydraulic conductivity measurements (hard data) may not be available, which requires the estimation of conductivities from indirect observations, such as piezometric heads. We show how the NS-EnKF is capable of retrieving the bimodal nature of a synthetic aquifer solely from piezometric head data. By comparison with a more standard implementation of the EnKF, the NS-EnKF gives better results with regard to histogram preservation, uncertainty assessment, and transport predictions. © 2011 International Association for Mathematical Geosciences.The authors gratefully acknowledge the financial support by the Spanish Ministry of Science and Innovation through project CGL2011-23295. The first author appreciates the financial aid from China Scholarship Council (CSC No. [2007]3020).Zhou, H.; Li, L.; Hendricks Franssen, H.; Gómez-Hernández, JJ. (2012). Pattern Recognition in a Bimodal Aquifer Using the Normal-Score Ensemble Kalman Filter. Mathematical Geosciences. 44(2):169-185. https://doi.org/10.1007/s11004-011-9372-3S169185442Arulampalam MS, Maskell S, Gordon N, Clapp T (2002) A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking. 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A vision-based system to support tactical and physical analyses in futsal

This paper presents a vision-based system to support tactical and physical analyses of futsal teams. Most part of the current analyses in this sport are manually performed, while the existing solutions based on automatic approaches are frequently composed of costly and complex tools, developed for other kind of team sports, making it difficult their adoption by futsal teams. Our system, on the other hand, represents a simple yet efficient dedicated solution, which is based on the analyses of image sequences captured by a single stationary camera used to obtain top-view images of the entire court. We use adaptive background subtraction and blob analysis to detect players, as well as particle filters to track them in every video frame. The system determines the distance traveled by each player, his/her mean and maximum speeds, as well as generates heat maps that describe players’ occupancy during the match. To present the collected data, our system uses a specially developed mobile application. Experimental results with image sequences of an official match and a training match show that our system provides data with global mean tracking errors below 40 cm, demanding on 25 ms to process each frame and, thus, demonstrating its high application potential

Statistical Inference for Multi-Pathogen Systems

There is growing interest in understanding the nature and consequences of interactions among infectious agents. Pathogen interactions can be operational at different scales, either within a co-infected host or in host populations where they co-circulate, and can be either cooperative or competitive. The detection of interactions among pathogens has typically involved the study of synchrony in the oscillations of the protagonists, but as we show here, phase association provides an unreliable dynamical fingerprint for this task. We assess the capacity of a likelihood-based inference framework to accurately detect and quantify the presence and nature of pathogen interactions on the basis of realistic amounts and kinds of simulated data. We show that when epidemiological and demographic processes are well understood, noisy time series data can contain sufficient information to allow correct inference of interactions in multi-pathogen systems. The inference power is dependent on the strength and time-course of the underlying mechanism: stronger and longer-lasting interactions are more easily and more precisely quantified. We examine the limitations of our approach to stochastic temporal variation, under-reporting, and over-aggregation of data. We propose that likelihood shows promise as a basis for detection and quantification of the effects of pathogen interactions and the determination of their (competitive or cooperative) nature on the basis of population-level time-series data