Fixed-lag blind equalization and sequence estimation in digital communications systems using sequential importance sampling

We present methods for fixed-lag smoothing using Sequential Importance sampling (SIS) on a discrete non-linear, non-Gaussian state space system with unknown parameters. Our particular application is in the field of digital communication systems. Each input data point is taken from a finite set of symbols. We represent transmission media as a fixed filter with a finite impulse response (FIR), hence a discrete state-space system is formed. Conventional Markov chain Monte Carlo (MCMC) techniques such as the Gibbs sampler are unsuitable for this task because they can only perform processing on a batch of data. Data arrives sequentially, so it would seem sensible to process it in this way. In addition, many communication systems are interactive, so there is a maximum level of latency that can be tolerated before a symbol is decoded. We will demonstrate this method by simulation and compare its performance to existing techniques.

The Gaussian mixture MCMC particle algorithm for dynamic cluster tracking

We present a novel filtering algorithm for tracking multiple clusters of coordinated objects. Based on a Markov chain Monte Carlo (MCMC) mechanism, the new algorithm propagates a discrete approximation of the underlying filtering density. A dynamic Gaussian mixture model is utilized for representing the time-varying clustering structure. This involves point process formulations of typical behavioral moves such as birth and death of clusters as well as merging and splitting. For handling complex, possibly large scale scenarios, the sampling efficiency of the basic MCMC scheme is enhanced via the use of a Metropolis within Gibbs particle refinement step. As the proposed methodology essentially involves random set representations, a new type of estimator, termed the probability hypothesis density surface (PHDS), is derived for computing point estimates. It is further proved that this estimator is optimal in the sense of the mean relative entropy. Finally, the algorithm's performance is assessed and demonstrated in both synthetic and realistic tracking scenarios. © 2012 Elsevier Ltd. All rights reserved.

Elliptical slice sampling

Many probabilistic models introduce strong dependencies between variables using a latent multivariate Gaussian distribution or a Gaussian process. We present a new Markov chain Monte Carlo algorithm for performing inference in models with multivariate Gaussian priors. Its key properties are: 1) it has simple, generic code applicable to many models, 2) it has no free parameters, 3) it works well for a variety of Gaussian process based models. These properties make our method ideal for use while model building, removing the need to spend time deriving and tuning updates for more complex algorithms.

Computer generated hologram from point cloud using graphics processor

Computer generated holography is an extremely demanding and complex task when it comes to providing realistic reconstructions with full parallax, occlusion, and shadowing. We present an algorithm designed for data-parallel computing on modern graphics processing units to alleviate the computational burden. We apply Gaussian interpolation to create a continuous surface representation from discrete input object points. The algorithm maintains a potential occluder list for each individual hologram plane sample to keep the number of visibility tests to a minimum.We experimented with two approximations that simplify and accelerate occlusion computation. It is observed that letting several neighboring hologramplane samples share visibility information on object points leads to significantly faster computation without causing noticeable artifacts in the reconstructed images. Computing a reduced sample set via nonuniform sampling is also found to be an effective acceleration technique. © 2009 Optical Society of America.

Asymptotic Recovery for Discrete-Time Systems

An asymptotic recovery design procedure is proposed for square, discrete-time, linear, time-invariant multivariable systems, which allows a state-feedback design to be approximately recovered by a dynamic output feedback scheme. Both the case of negligible processing time (compared to the sampling interval) and of significant processing time are discussed. In the former case, it is possible to obtain perfect. © 1985 IEEE.

A backward-simulation based Rao-Blackwellized particle smoother for conditionally linear Gaussian models

In this article, we develop a new Rao-Blackwellized Monte Carlo smoothing algorithm for conditionally linear Gaussian models. The algorithm is based on the forward-filtering backward-simulation Monte Carlo smoother concept and performs the backward simulation directly in the marginal space of the non-Gaussian state component while treating the linear part analytically. Unlike the previously proposed backward-simulation based Rao-Blackwellized smoothing approaches, it does not require sampling of the Gaussian state component and is also able to overcome certain normalization problems of two-filter smoother based approaches. The performance of the algorithm is illustrated in a simulated application. © 2012 IFAC.

Modelling and control of nonlinear systems using Gaussian processes with partial model information

Gaussian processes are gaining increasing popularity among the control community, in particular for the modelling of discrete time state space systems. However, it has not been clear how to incorporate model information, in the form of known state relationships, when using a Gaussian process as a predictive model. An obvious example of known prior information is position and velocity related states. Incorporation of such information would be beneficial both computationally and for faster dynamics learning. This paper introduces a method of achieving this, yielding faster dynamics learning and a reduction in computational effort from O(Dn2) to O((D - F)n2) in the prediction stage for a system with D states, F known state relationships and n observations. The effectiveness of the method is demonstrated through its inclusion in the PILCO learning algorithm with application to the swing-up and balance of a torque-limited pendulum and the balancing of a robotic unicycle in simulation. © 2012 IEEE.

Free energy surface reconstruction from umbrella samples using Gaussian process regression

We demonstrate how the Gaussian process regression approach can be used to efficiently reconstruct free energy surfaces from umbrella sampling simulations. By making a prior assumption of smoothness and taking account of the sampling noise in a consistent fashion, we achieve a significant improvement in accuracy over the state of the art in two or more dimensions or, equivalently, a significant cost reduction to obtain the free energy surface within a prescribed tolerance in both regimes of spatially sparse data and short sampling trajectories. Stemming from its Bayesian interpretation the method provides meaningful error bars without significant additional computation. A software implementation is made available on www.libatoms.org.

Free energy surface reconstruction from umbrella samples using Gaussian process regression II: Multiple collective variables

We demonstrate how a prior assumption of smoothness can be used to enhance the reconstruction of free energy profiles from multiple umbrella sampling simulations using the Bayesian Gaussian process regression approach. The method we derive allows the concurrent use of histograms and free energy gradients and can easily be extended to include further data. In Part I we review the necessary theory and test the method for one collective variable. We demonstrate improved performance with respect to the weighted histogram analysis method and obtain meaningful error bars without any significant additional computation. In Part II we consider the case of multiple collective variables and compare to a reconstruction using least squares fitting of radial basis functions. We find substantial improvements in the regimes of spatially sparse data or short sampling trajectories. A software implementation is made available on www.libatoms.org.

Adapting data processing to compare model and experiment accurately: A discrete element model and magnetic resonance measurements of a 3d cylindrical fluidized bed

Discrete element modeling is being used increasingly to simulate flow in fluidized beds. These models require complex measurement techniques to provide validation for the approximations inherent in the model. This paper introduces the idea of modeling the experiment to ensure that the validation is accurate. Specifically, a 3D, cylindrical gas-fluidized bed was simulated using a discrete element model (DEM) for particle motion coupled with computational fluid dynamics (CFD) to describe the flow of gas. The results for time-averaged, axial velocity during bubbling fluidization were compared with those from magnetic resonance (MR) experiments made on the bed. The DEM-CFD data were postprocessed with various methods to produce time-averaged velocity maps for comparison with the MR results, including a method which closely matched the pulse sequence and data processing procedure used in the MR experiments. The DEM-CFD results processed with the MR-type time-averaging closely matched experimental MR results, validating the DEM-CFD model. Analysis of different averaging procedures confirmed that MR time-averages of dynamic systems correspond to particle-weighted averaging, rather than frame-weighted averaging, and also demonstrated that the use of Gaussian slices in MR imaging of dynamic systems is valid. © 2013 American Chemical Society.

Student-t processes as alternatives to Gaussian processes

We investigate the Student-t process as an alternative to the Gaussian process as a non-parametric prior over functions. We derive closed form expressions for the marginal likelihood and predictive distribution of a Student-t process, by integrating away an inverse Wishart process prior over the co-variance kernel of a Gaussian process model. We show surprising equivalences between different hierarchical Gaussian process models leading to Student-t processes, and derive a new sampling scheme for the inverse Wishart process, which helps elucidate these equivalences. Overall, we show that a Student-t process can retain the attractive properties of a Gaussian process - a nonparamet-ric representation, analytic marginal and predictive distributions, and easy model selection through covariance kernels - but has enhanced flexibility, and predictive covariances that, unlike a Gaussian process, explicitly depend on the values of training observations. We verify empirically that a Student-t process is especially useful in situations where there are changes in covariance structure, or in applications such as Bayesian optimization, where accurate predictive covariances are critical for good performance. These advantages come at no additional computational cost over Gaussian processes.