A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design

A computationally efficient sequential Monte Carlo algorithm is proposed for the sequential design of experiments for the collection of block data described by mixed effects models. The difficulty in applying a sequential Monte Carlo algorithm in such settings is the need to evaluate the observed data likelihood, which is typically intractable for all but linear Gaussian models. To overcome this difficulty, we propose to unbiasedly estimate the likelihood, and perform inference and make decisions based on an exact-approximate algorithm. Two estimates are proposed: using Quasi Monte Carlo methods and using the Laplace approximation with importance sampling. Both of these approaches can be computationally expensive, so we propose exploiting parallel computational architectures to ensure designs can be derived in a timely manner. We also extend our approach to allow for model uncertainty. This research is motivated by important pharmacological studies related to the treatment of critically ill patients.

The alpha method for solving differential algebraic inequality (DAI) systems

This paper describes an algorithm for ``direct numerical integration'' of the initial value Differential-Algebraic Inequalities (DAI) in a time stepping fashion using a sequential quadratic programming (SQP) method solver for detecting and satisfying active path constraints at each time step. The activation of a path constraint generally increases the condition number of the active discretized differential algebraic equation's (DAE) Jacobian and this difficulty is addressed by a regularization property of the alpha method. The algorithm is locally stable when index 1 and index 2 active path constraints and bounds are active. Subject to available regularization it is seen to be stable for active index 3 active path constraints in the numerical examples. For the high index active path constraints, the algorithm uses a user-selectable parameter to perturb the smaller singular values of the Jacobian with a view to reducing the condition number so that the simulation can proceed. The algorithm can be used as a relatively cheaper estimation tool for trajectory and control planning and in the context of model predictive control solutions. It can also be used to generate initial guess values of optimization variables used as input to inequality path constrained dynamic optimization problems. The method is illustrated with examples from space vehicle trajectory and robot path planning.

Filter design using radial basis function neural network and genetic algorithm for improved operational health monitoring

The problem of denoising damage indicator signals for improved operational health monitoring of systems is addressed by applying soft computing methods to design filters. Since measured data in operational settings is contaminated with noise and outliers, pattern recognition algorithms for fault detection and isolation can give false alarms. A direct approach to improving the fault detection and isolation is to remove noise and outliers from time series of measured data or damage indicators before performing fault detection and isolation. Many popular signal-processing approaches do not work well with damage indicator signals, which can contain sudden changes due to abrupt faults and non-Gaussian outliers. Signal-processing algorithms based on radial basis function (RBF) neural network and weighted recursive median (WRM) filters are explored for denoising simulated time series. The RBF neural network filter is developed using a K-means clustering algorithm and is much less computationally expensive to develop than feedforward neural networks trained using backpropagation. The nonlinear multimodal integer-programming problem of selecting optimal integer weights of the WRM filter is solved using genetic algorithm. Numerical results are obtained for helicopter rotor structural damage indicators based on simulated frequencies. Test signals consider low order polynomial growth of damage indicators with time to simulate gradual or incipient faults and step changes in the signal to simulate abrupt faults. Noise and outliers are added to the test signals. The WRM and RBF filters result in a noise reduction of 54 - 71 and 59 - 73% for the test signals considered in this study, respectively. Their performance is much better than the moving average FIR filter, which causes significant feature distortion and has poor outlier removal capabilities and shows the potential of soft computing methods for specific signal-processing applications.

Filter design using radial basis function neural network and genetic algorithm for improved operational health monitoring

The problem of denoising damage indicator signals for improved operational health monitoring of systems is addressed by applying soft computing methods to design filters. Since measured data in operational settings is contaminated with noise and outliers, pattern recognition algorithms for fault detection and isolation can give false alarms. A direct approach to improving the fault detection and isolation is to remove noise and outliers from time series of measured data or damage indicators before performing fault detection and isolation. Many popular signal-processing approaches do not work well with damage indicator signals, which can contain sudden changes due to abrupt faults and non-Gaussian outliers. Signal-processing algorithms based on radial basis function (RBF) neural network and weighted recursive median (WRM) filters are explored for denoising simulated time series. The RBF neural network filter is developed using a K-means clustering algorithm and is much less computationally expensive to develop than feedforward neural networks trained using backpropagation. The nonlinear multimodal integer-programming problem of selecting optimal integer weights of the WRM filter is solved using genetic algorithm. Numerical results are obtained for helicopter rotor structural damage indicators based on simulated frequencies. Test signals consider low order polynomial growth of damage indicators with time to simulate gradual or incipient faults and step changes in the signal to simulate abrupt faults. Noise and outliers are added to the test signals. The WRM and RBF filters result in a noise reduction of 54 - 71 and 59 - 73% for the test signals considered in this study, respectively. Their performance is much better than the moving average FIR filter, which causes significant feature distortion and has poor outlier removal capabilities and shows the potential of soft computing methods for specific signal-processing applications. (C) 2005 Elsevier B. V. All rights reserved.

Improved algorithm for optimum reactive power allocation

An improvised algorithm is presented for optimal VAr allocation in a large power system using a linear programming technique. The proposed method requires less computer memory than those algorithms currently available.

A hybrid RTS-BP algorithm for improved detection of large-MIMO M-QAM signals

Low-complexity near-optimal detection of large-MIMO signals has attracted recent research. Recently, we proposed a local neighborhood search algorithm, namely reactive tabu search (RTS) algorithm, as well as a factor-graph based belief propagation (BP) algorithm for low-complexity large-MIMO detection. The motivation for the present work arises from the following two observations on the above two algorithms: i) Although RTS achieved close to optimal performance for 4-QAM in large dimensions, significant performance improvement was still possible for higher-order QAM (e.g., 16-, 64-QAM). ii) BP also achieved near-optimal performance for large dimensions, but only for {±1} alphabet. In this paper, we improve the large-MIMO detection performance of higher-order QAM signals by using a hybrid algorithm that employs RTS and BP. In particular, motivated by the observation that when a detection error occurs at the RTS output, the least significant bits (LSB) of the symbols are mostly in error, we propose to first reconstruct and cancel the interference due to bits other than LSBs at the RTS output and feed the interference cancelled received signal to the BP algorithm to improve the reliability of the LSBs. The output of the BP is then fed back to RTS for the next iteration. Simulation results show that the proposed algorithm performs better than the RTS algorithm, and semi-definite relaxation (SDR) and Gaussian tree approximation (GTA) algorithms.

Random forest algorithm with derived geographical layers for improved classification of remote sensing data

Effective conservation and management of natural resources requires up-to-date information of the land cover (LC) types and their dynamics. The LC dynamics are being captured using multi-resolution remote sensing (RS) data with appropriate classification strategies. RS data with important environmental layers (either remotely acquired or derived from ground measurements) would however be more effective in addressing LC dynamics and associated changes. These ancillary layers provide additional information for delineating LC classes' decision boundaries compared to the conventional classification techniques. This communication ascertains the possibility of improved classification accuracy of RS data with ancillary and derived geographical layers such as vegetation index, temperature, digital elevation model (DEM), aspect, slope and texture. This has been implemented in three terrains of varying topography. The study would help in the selection of appropriate ancillary data depending on the terrain for better classified information.

A New Algorithm for Nonparametric Sequential Detection

We consider nonparametric sequential hypothesis testing problem when the distribution under the null hypothesis is fully known but the alternate hypothesis corresponds to a general family of distributions. We propose a simple algorithm to address the problem. Its performance is analysed and asymptotic properties are proved. The simulated and analysed performance of the algorithm is compared with an earlier algorithm addressing the same problem with similar assumptions. Finally, we provide a justification for our model motivated by a Cognitive Radio scenario and modify the algorithm for optimizing performance when information about the prior probabilities of occurrence of the two hypotheses is available.

An improved BP algorithm for pattern recognition

An improved BP algorithm for pattern recognition is proposed in this paper. By a function substitution for error measure, it resolves the inconsistency of BP algorithm for pattern recognition problems, i.e. the quadratic error is not sensitive to whether the training pattern is recognized correctly or not. Trained by this new method, the computer simulation result shows that the convergence speed is increased to treble and performance of the network is better than conventional BP algorithm with momentum and adaptive step size.

Finite mixture distributions, sequential likelihood and the EM algorithm

A popular way to account for unobserved heterogeneity is to assume that the data are drawn from a finite mixture distribution. A barrier to using finite mixture models is that parameters that could previously be estimated in stages must now be estimated jointly: using mixture distributions destroys any additive separability of the log-likelihood function. We show, however, that an extension of the EM algorithm reintroduces additive separability, thus allowing one to estimate parameters sequentially during each maximization step. In establishing this result, we develop a broad class of estimators for mixture models. Returning to the likelihood problem, we show that, relative to full information maximum likelihood, our sequential estimator can generate large computational savings with little loss of efficiency.

An improved approximation algorithm for the two-machine flow shop scheduling problem with an interstage transporter

We study the two-machine flow shop problem with an uncapacitated interstage transporter. The jobs have to be split into batches, and upon completion on the first machine, each batch has to be shipped to the second machine by a transporter. The best known heuristic for the problem is a –approximation algorithm that outputs a two-shipment schedule. We design a –approximation algorithm that finds schedules with at most three shipments, and this ratio cannot be improved, unless schedules with more shipments are created. This improvement is achieved due to a thorough analysis of schedules with two and three shipments by means of linear programming. We formulate problems of finding an optimal schedule with two or three shipments as integer linear programs and develop strongly polynomial algorithms that find solutions to their continuous relaxations with a small number of fractional variables