## Particle Filters and Markov Chains for Learning of Dynamical Systems (2013)

Accelerating Monte Carlo methods for Bayesian inference in dynamical models

Making decisions and predictions from noisy observations are two important and challenging problems in many areas of society. Some examples of applications are recommendation systems for online shopping and streaming services, connecting genes with certain diseases and modelling climate change. In this thesis, we make use of Bayesian statistics to construct probabilistic models given prior information and historical data, which can be used for decision support and predictions. The main obstacle with this approach is that it often results in mathematical problems lacking analytical solutions. To cope with this, we make use of statistical simulation algorithms known as Monte Carlo methods to approximate the intractable solution. These methods enjoy well-understood statistical properties but are often computational prohibitive to employ. The main contribution of this thesis is the exploration of different strategies for accelerating inference methods based on sequential Monte Carlo ...

Dahlin, Johan — Linköping University

Estimation of Nonlinear Dynamic Systems: Theory and Applications

This thesis deals with estimation of states and parameters in nonlinear and non-Gaussian dynamic systems. Sequential Monte Carlo methods are mainly used to this end. These methods rely on models of the underlying system, motivating some developments of the model concept. One of the main reasons for the interest in nonlinear estimation is that problems of this kind arise naturally in many important applications. Several applications of nonlinear estimation are studied. The models most commonly used for estimation are based on stochastic difference equations, referred to as state-space models. This thesis is mainly concerned with models of this kind. However, there will be a brief digression from this, in the treatment of the mathematically more intricate differential-algebraic equations. Here, the purpose is to write these equations in a form suitable for statistical signal processing. The nonlinear state estimation problem is ...

Schon, Thomas — Linkopings Universitet

This dissertation is concerned with the development of Markov chain Monte Carlo (MCMC) methods for the Bayesian restoration of degraded audio signals. First, the Bayesian approach to time series modelling is reviewed, then established MCMC methods are introduced. The first problem to be addressed is that of model order uncertainty. A reversible-jump sampler is proposed which can move between models of different order. It is shown that faster convergence can be achieved by exploiting the analytic structure of the time series model. This approach to model order uncertainty is applied to the problem of noise reduction using the simulation smoother. The effects of incorrect autoregressive (AR) model orders are demonstrated, and a mixed model order MCMC noise reduction scheme is developed. Nonlinear time series models are surveyed, and the advantages of linear-in- the-parameters models explained. A nonlinear AR (NAR) model, ...

Troughton, Paul Thomas — University of Cambridge

The problem of signal separation is a very broad and fundamental one. A powerful paradigm within which signal separation can be achieved is the assumption that the signals/sources are statistically independent of one another. This is known as Independent Component Analysis (ICA). In this thesis, the theoretical aspects and derivation of ICA are examined, from which disparate approaches to signal separation are drawn together in a unifying framework. This is followed by a review of signal separation techniques based on ICA. Second order statistics based output decorrelation methods are employed to try to solve the challenging problem of separating convolutively mixed signals, in the context of mainly audio source separation and the Cocktail Party Problem. Various optimisation techniques are devised to implement second order signal separation of both artificially mixed signals and real mixtures. A study of the advantages and ...

Ahmed, Alijah — University of Cambridge

PARTICLE METHODS FOR BAYESIAN MULTI-OBJECT TRACKING AND PARAMETER ESTIMATION

In this thesis a number of improvements have been established for specific methods which utilize sequential Monte Carlo (SMC), aka. Particle filtering (PF) techniques. The first problem is the Bayesian multi-target tracking (MTT) problem for which we propose the use of non-parametric Bayesian models that are based on time varying extension of Dirichlet process (DP) models. The second problem studied in this thesis is an important application area for the proposed DP based MTT method; the tracking of vocal tract resonance frequencies of the speech signals. Lastly, we investigate SMC based parameter estimation problem of nonlinear non-Gaussian state space models in which we provide a performance improvement for the path density based methods by utilizing regularization techniques.

Ozkan, Emre — Middle East Technical University

Sequential Bayesian Modeling of non-stationary signals

are involved until the development of Sequential Monte Carlo techniques which are also known as the particle filters. In particle filtering, the problem is expressed in terms of state-space equations where the linearity and Gaussianity requirements of the Kalman filtering are generalized. Therefore, we need information about the functional form of the state variations. In this thesis, we bring a general solution for the cases where these variations are unknown and the process distributions cannot be expressed by any closed form probability density function. Here, we propose a novel modeling scheme which is as unified as possible to cover all these problems. Therefore we study the performance analysis of our unifying particle filtering methodology on non-stationary Alpha Stable process modeling. It is well known that the probability density functions of these processes cannot be expressed in closed form, except for ...

Gencaga, Deniz — Bogazici University

Bayesian Approaches in Image Source Seperation

In this thesis, a general solution to the component separation problem in images is introduced. Unlike most existing works, the spatial dependencies of images are modelled in the separation process with the use of Markov random fields (MRFs). In the MRFs model, Cauchy density is used for the gradient images. We provide a general Bayesian framework for the estimation of the parameters of this model. Due to the intractability of the problem we resort to numerical solutions for the joint maximization of the a posteriori distribution of the sources, the mixing matrix and the noise variances. For numerical solution, four different methods are proposed. In first method, the difficulty of working analytically with general Gibbs distributions of MRF is overcome by using an approximate density. In this approach, the Gibbs distribution is modelled by the product of directional Gaussians. The ...

Kayabol, Koray — Istanbul University

Generalised Bayesian Model Selection Using Reversible Jump Markov Chain Monte Carlo

The main objective of this thesis is to suggest a general Bayesian framework for model selection based on the reversible jump Markov chain Monte Carlo (RJMCMC) algorithm. In particular, we aim to reveal the undiscovered potentials of RJMCMC in model selection applications by exploiting the original formulation to explore spaces of di erent classes or structures and thus, to show that RJMCMC o ers a wider interpretation than just being a trans-dimensional model selection algorithm. The general practice is to use RJMCMC in a trans-dimensional framework e.g. in model estimation studies of linear time series, such as AR and ARMA and mixture processes, etc. In this thesis, we propose a new interpretation on RJMCMC which reveals the undiscovered potentials of the algorithm. This new interpretation, firstly, extends the classical trans-dimensional approach to a much wider meaning by exploring the spaces ...

Karakus, Oktay — Izmir Institute of Technology

Model Based Multiple Audio Sequence Alignment

It is increasingly more common that an occasion is recorded by multiple individuals with the proliferation of recording devices such as smart phones. When properly aligned, these recordings may provide several audio and visual perspectives to a scene which leads to several applications in restoring, remastering and remixing frameworks in various fields. In this study, we interpret the problem of aligning multiple unsynchronized audio sequences in a probabilistic framework. In this manner, we propose a novel, model based approach where we define a template generative model. We define 6 different generative models using this template covering basically all kinds of features (real valued, positive, binary and categorical). Proper scoring functions that evaluates the quality of an alignment are derived from each model where we are able to penalize non-overlapping alignments and alignment of a single sequence against a pre-aligned sequences. ...

Basaran, Dogac — Bogazici University

Robust Signal Processing in Distributed Sensor Networks

Statistical robustness and collaborative inference in a distributed sensor network are two challenging requirements posed on many modern signal processing applications. This dissertation aims at solving these tasks jointly by providing generic algorithms that are applicable to a wide variety of real-world problems. The first part of the thesis is concerned with sequential detection---a branch of detection theory that is focused on decision-making based on as few measurements as possible. After reviewing some fundamental concepts of statistical hypothesis testing, a general formulation of the Consensus+Innovations Sequential Probability Ratio Test for sequential binary hypothesis testing in distributed networks is derived. In a next step, multiple robust versions of the algorithm based on two different robustification paradigms are developed. The functionality of the proposed detectors is verified in simulations, and their performance is examined under different network conditions and outlier concentrations. Subsequently, ...

Leonard, Mark Ryan — Technische Universität Darmstadt

Bayesian Signal Processing Techniques for GNSS Receivers: from multipath mitigation to positioning

This dissertation deals with the design of satellite-based navigation receivers. The term Global Navigation Satellite Systems (GNSS) refers to those navigation systems based on a constellation of satellites, which emit ranging signals useful for positioning. Although the american GPS is probably the most popular, the european contribution (Galileo) will be operative soon. Other global and regional systems exist, all with the same objective: aid user's positioning. Initially, the thesis provides the state-of-the-art in GNSS: navigation signals structure and receiver architecture. The design of a GNSS receiver consists of a number of functional blocks. From the antenna to the fi nal position calculation, the design poses challenges in many research areas. Although the Radio Frequency chain of the receiver is commented in the thesis, the main objective of the dissertation is on the signal processing algorithms applied after signal digitation. These ...

Closas, Pau — Universitat Politecnica de Catalunya

Robust Signal Processing with Applications to Positioning and Imaging

This dissertation investigates robust signal processing and machine learning techniques, with the objective of improving the robustness of two applications against various threats, namely Global Navigation Satellite System (GNSS) based positioning and satellite imaging. GNSS technology is widely used in different fields, such as autonomous navigation, asset tracking, or smartphone positioning, while the satellite imaging plays a central role in monitoring, detecting and estimating the intensity of key natural phenomena, such as flooding prediction and earthquake detection. Considering the use of both GNSS positioning and satellite imaging in critical and safety-of-life applications, it is necessary to protect those two technologies from either intentional or unintentional threats. In the real world, the common threats to GNSS technology include multipath propagation and intentional/unintentional interferences. This thesis investigates methods to mitigate the influence of such sources of error, with the final objective of ...

Li, Haoqing — Northeastern University

In recent years, advances in signal processing have led the wireless sensor networks to be capable of mobility. The signal processing in a wireless sensor network differs from that of a traditional wireless network mainly in two important aspects. Unlike traditional wireless networks, in a sensor network the signal processing is performed in a fully distributed manner as the sensor measurements in a distributed fashion across the network collected. Additionally, due to the limited onboard resource of a sensor network it is essential to develop energy and bandwidth efficient signal processing algorithms. The thesis is devoted to discuss the state of the arte of algorithms commonly known as tracking algorithms. Although tracking algorithms have only been attracting research and development attention recently, already a wide literature and great variety of proposed approaches regarding the topic exist. The dissertation focus on ...

Arienzo, Loredana — University of Salerno

Bayesian Fusion of Multi-band Images: A Powerful Tool for Super-resolution

Hyperspectral (HS) imaging, which consists of acquiring a same scene in several hundreds of contiguous spectral bands (a three dimensional data cube), has opened a new range of relevant applications, such as target detection [MS02], classification [C.-03] and spectral unmixing [BDPD+12]. However, while HS sensors provide abundant spectral information, their spatial resolution is generally more limited. Thus, fusing the HS image with other highly resolved images of the same scene, such as multispectral (MS) or panchromatic (PAN) images is an interesting problem. The problem of fusing a high spectral and low spatial resolution image with an auxiliary image of higher spatial but lower spectral resolution, also known as multi-resolution image fusion, has been explored for many years [AMV+11]. From an application point of view, this problem is also important as motivated by recent national programs, e.g., the Japanese next-generation space-borne ...

Wei, Qi — University of Toulouse

Bayesian State-Space Modelling of Spatio-Temporal Non-Gaussian Radar Returns

Radar backscatter from an ocean surface is commonly referred to as sea clutter. Any radar backscatter not due to the scattering from an ocean surface constitutes a potential target. This thesis is concerned with the study of target detection techniques in the presence of high resolution sea clutter. In this dissertation, the high resolution sea clutter is treated as a compound process, where a fast oscillating speckle component is modulated in power by a slowly varying modulating component. While the short term temporal correlations of the clutter are associated with the speckle, the spatial correlations are largely associated with the modulating component. Due to the disparate statistical and correlation properties of the two components, a piecemeal approach is adopted throughout this thesis, whereby the spatial and the temporal correlations of high resolution sea clutter are treated independently. As an extension ...

Noga, Jacek Leszek — University of Cambridge

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