An Online Expectation-Maximization Algorithm for Changepoint Models

Changepoint models are widely used to model the heterogeneity of sequential data. We present a novel sequential Monte Carlo (SMC) online Expectation-Maximization (EM) algorithm for estimating the static parameters of such models. The SMC online EM algorithm has a cost per time which is linear in the number of particles and could be particularly important when the data is representable as a long sequence of observations, since it drastically reduces the computational requirements for implementation. We present an asymptotic analysis for the stability of the SMC estimates used in the online EM algorithm and demonstrate the performance of this scheme using both simulated and real data originating from DNA analysis.

An Online Expectation-Maximization Algorithm for Changepoint Models

Changepoint models are widely used to model the heterogeneity of sequential data. We present a novel sequential Monte Carlo (SMC) online Expectation-Maximization (EM) algorithm for estimating the static parameters of such models. The SMC online EM algorithm has a cost per time which is linear in the number of particles and could be particularly important when the data is representable as a long sequence of observations, since it drastically reduces the computational requirements for implementation. We present an asymptotic analysis for the stability of the SMC estimates used in the online EM algorithm and demonstrate the performance of this scheme using both simulated and real data originating from DNA analysis.

Weighted least squares with expectation-maximization algorithm for burst detection in U.K. water distribution systems

Flow measurement data at the district meter area (DMA) level has the potential for burst detection in the water distribution systems. This work investigates using a polynomial function fitted to the historic flow measurements based on a weighted least-squares method for automatic burst detection in the U.K. water distribution networks. This approach, when used in conjunction with an expectationmaximization (EM) algorithm, can automatically select useful data from the historic flow measurements, which may contain normal and abnormal operating conditions in the distribution network, e.g., water burst. Thus, the model can estimate the normal water flow (nonburst condition), and hence the burst size on the water distribution system can be calculated from the difference between the measured flow and the estimated flow. The distinguishing feature of this method is that the burst detection is fully unsupervised, and the burst events that have occurred in the historic data do not affect the procedure and bias the burst detection algorithm. Experimental validation of the method has been carried out using a series of flushing events that simulate burst conditions to confirm that the simulated burst sizes are capable of being estimated correctly. This method was also applied to eight DMAs with known real burst events, and the results of burst detections are shown to relate to the water company's records of pipeline reparation work. © 2014 American Society of Civil Engineers.

String-averaging expectation-maximization for maximum likelihood estimation in emission tomography

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

An approach to operational modal analysis using the expectation maximization algorithm

This paper presents the Expectation Maximization algorithm (EM) applied to operational modal analysis of structures. The EM algorithm is a general-purpose method for maximum likelihood estimation (MLE) that in this work is used to estimate state space models. As it is well known, the MLE enjoys some optimal properties from a statistical point of view, which make it very attractive in practice. However, the EM algorithm has two main drawbacks: its slow convergence and the dependence of the solution on the initial values used. This paper proposes two different strategies to choose initial values for the EM algorithm when used for operational modal analysis: to begin with the parameters estimated by Stochastic Subspace Identification method (SSI) and to start using random points. The effectiveness of the proposed identification method has been evaluated through numerical simulation and measured vibration data in the context of a benchmark problem. Modal parameters (natural frequencies, damping ratios and mode shapes) of the benchmark structure have been estimated using SSI and the EM algorithm. On the whole, the results show that the application of the EM algorithm starting from the solution given by SSI is very useful to identify the vibration modes of a structure, discarding the spurious modes that appear in high order models and discovering other hidden modes. Similar results are obtained using random starting values, although this strategy allows us to analyze the solution of several starting points what overcome the dependence on the initial values used.

Maximum Likelihood Estimation of Modal Parameters in Structures Using the Expectation Maximization Algorithm

This paper presents a time-domain stochastic system identification method based on maximum likelihood estimation (MLE) with the expectation maximization (EM) algorithm. The effectiveness of this structural identification method is evaluated through numerical simulation in the context of the ASCE benchmark problem on structural health monitoring. The benchmark structure is a four-story, two-bay by two-bay steel-frame scale model structure built in the Earthquake Engineering Research Laboratory at the University of British Columbia, Canada. This paper focuses on Phase I of the analytical benchmark studies. A MATLAB-based finite element analysis code obtained from the IASC-ASCE SHM Task Group web site is used to calculate the dynamic response of the prototype structure. A number of 100 simulations have been made using this MATLAB-based finite element analysis code in order to evaluate the proposed identification method. There are several techniques to realize system identification. In this work, stochastic subspace identification (SSI)method has been used for comparison. SSI identification method is a well known method and computes accurate estimates of the modal parameters. The principles of the SSI identification method has been introduced in the paper and next the proposed MLE with EM algorithm has been explained in detail. The advantages of the proposed structural identification method can be summarized as follows: (i) the method is based on maximum likelihood, that implies minimum variance estimates; (ii) EM is a computational simpler estimation procedure than other optimization algorithms; (iii) estimate more parameters than SSI, and these estimates are accurate. On the contrary, the main disadvantages of the method are: (i) EM algorithm is an iterative procedure and it consumes time until convergence is reached; and (ii) this method needs starting values for the parameters. Modal parameters (eigenfrequencies, damping ratios and mode shapes) of the benchmark structure have been estimated using both the SSI method and the proposed MLE + EM method. The numerical results show that the proposed method identifies eigenfrequencies, damping ratios and mode shapes reasonably well even in the presence of 10% measurement noises. These modal parameters are more accurate than the SSI estimated modal parameters.

Operational Modal Analysis using Expectation Maximization Algorithm

This paper presents a time-domain stochastic system identification method based on Maximum Likelihood Estimation and the Expectation Maximization algorithm. The effectiveness of this structural identification method is evaluated through numerical simulation in the context of the ASCE benchmark problem on structural health monitoring. Modal parameters (eigenfrequencies, damping ratios and mode shapes) of the benchmark structure have been estimated applying the proposed identification method to a set of 100 simulated cases. The numerical results show that the proposed method estimates all the modal parameters reasonably well in the presence of 30% measurement noise even. Finally, advantages and disadvantages of the method have been discussed.

Remaining useful life prediction using elliptical basis function network and Markov Chain

This paper presents a novel method for remaining useful life prediction using the Elliptical Basis Function (EBF) network and a Markov chain. The EBF structure is trained by a modified Expectation-Maximization (EM) algorithm in order to take into account the missing covariate set. No explicit extrapolation is needed for internal covariates while a Markov chain is constructed to represent the evolution of external covariates in the study. The estimated external and the unknown internal covariates constitute an incomplete covariate set which are then used and analyzed by the EBF network to provide survival information of the asset. It is shown in the case study that the method slightly underestimates the remaining useful life of an asset which is a desirable result for early maintenance decision and resource planning.

A statistical framework for natural feature representation

This paper presents a robust stochastic framework for the incorporation of visual observations into conventional estimation, data fusion, navigation and control algorithms. The representation combines Isomap, a non-linear dimensionality reduction algorithm, with expectation maximization, a statistical learning scheme. The joint probability distribution of this representation is computed offline based on existing training data. The training phase of the algorithm results in a nonlinear and non-Gaussian likelihood model of natural features conditioned on the underlying visual states. This generative model can be used online to instantiate likelihoods corresponding to observed visual features in real-time. The instantiated likelihoods are expressed as a Gaussian mixture model and are conveniently integrated within existing non-linear filtering algorithms. Example applications based on real visual data from heterogenous, unstructured environments demonstrate the versatility of the generative models.

A stochastic model for natural feature representation

This paper presents a robust stochastic model for the incorporation of natural features within data fusion algorithms. The representation combines Isomap, a non-linear manifold learning algorithm, with Expectation Maximization, a statistical learning scheme. The representation is computed offline and results in a non-linear, non-Gaussian likelihood model relating visual observations such as color and texture to the underlying visual states. The likelihood model can be used online to instantiate likelihoods corresponding to observed visual features in real-time. The likelihoods are expressed as a Gaussian Mixture Model so as to permit convenient integration within existing nonlinear filtering algorithms. The resulting compactness of the representation is especially suitable to decentralized sensor networks. Real visual data consisting of natural imagery acquired from an Unmanned Aerial Vehicle is used to demonstrate the versatility of the feature representation.

Evaluation of public hospital performance in Khanh Hoa Province : Vietnam in connection with patient and staff satisfaction surveys

This research aimed to develop a framework for performance evaluation of public hospitals in Vietnam that is culturally, socially, and politically appropriate. The research included both qualitative and quantitative methods and identified and validated novel instruments to measure patient satisfaction and job satisfaction of hospital staff and to determine a set of hospital indicators that reflect the quality of hospital performance. New models for understanding the determinants of patient and staff satisfaction were developed along with a new performance indicator framework for hospital performance. These instruments will now be applied to the evaluation of hospital services in Khanh Hoa Province, permitting longer term evaluation of their effectiveness in changing system wide performance and satisfaction.

Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Uncoupling Protein 2 and 3 Gene Polymorphisms and Their Association with Type 2 Diabetes in Asian Indians

Background: This study examined the association of -866G/A, Ala55Val, 45bpI/D, and -55C/T polymorphisms at the uncoupling protein (UCP) 3-2 loci with type 2 diabetes in Asian Indians. Methods: A case-control study was performed among 1,406 unrelated subjects (487 with type 2 diabetes and 919 normal glucose-tolerant NGT]), chosen from the Chennai Urban Rural Epidemiology Study, an ongoing population-based study in Southern India. The polymorphisms were genotyped using polymerase chain reaction-restriction fragment length polymorphism and direct sequencing. Haplotype frequencies were estimated using an expectation-maximization algorithm. Linkage disequilibrium was estimated from the estimates of haplotypic frequencies. Results: The genotype (P = 0.00006) and the allele (P = 0.00007) frequencies of Ala55Val of the UCP2 gene showed a significant protective effect against the development of type 2 diabetes. The odds ratios (adjusted for age, sex, and body mass index) for diabetes for individuals carrying Ala/Val was 0.72, and that for individuals carrying Val/Val was 0.37. Homeostasis insulin resistance model assessment and 2-h plasma glucose were significantly lower among Val-allele carriers compared to the Ala/Ala genotype within the NGT group. The genotype (P = 0.02) and the allele (P = 0.002) frequencies of -55C/T of the UCP3 gene showed a significant protective effect against the development of diabetes. The odds ratio for diabetes for individuals carrying CT was 0.79, and that for individuals carrying TT was 0.61. The haplotype analyses further confirmed the association of Ala55Val with diabetes, where the haplotypes carrying the Ala allele were significantly higher in the cases compared to controls. Conclusions: Ala55Val and -55C/T polymorphisms at the UCP3-2 loci are associated with a significantly reduced risk of developing type 2 diabetes in Asian Indians.