Dynamic learning with the EM algorithm for neural networks

In this paper, we derive an EM algorithm for nonlinear state space models. We use it to estimate jointly the neural network weights, the model uncertainty and the noise in the data. In the E-step we apply a forwardbackward Rauch-Tung-Striebel smoother to compute the network weights. For the M-step, we derive expressions to compute the model uncertainty and the measurement noise. We find that the method is intrinsically very powerful, simple and stable.

Dynamic centrifuge tests on shallow tunnel models in dry sand

In the framework of the Italian research project ReLUIS-DPC, a set of centrifuge tests were carried out at the Schofield Centre in Cambridge (UK) to investigate the seismic behaviour of tunnels. Four samples of dry sand were prepared at different densities, in which a small scale model of circular tunnel was inserted, instrumented with gauges measuring hoop and bending strains. Arrays of accelerometers in the soil and on the box allowed the amplification of ground motion to be evaluated; LVDTs measured the soil surface settlement. This paper describes the main results of this research, showing among others the evolution of the internal forces during the model earthquakes at significant locations along the tunnel lining. © 2010 Taylor & Francis Group, London.

Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Efficient numerical models for investigating the statistics of random dynamic systems

The study of random dynamic systems usually requires the definition of an ensemble of structures and the solution of the eigenproblem for each member of the ensemble. If the process is carried out using a conventional numerical approach, the computational cost becomes prohibitive for complex systems. In this work, an alternative numerical method is proposed. The results for the response statistics are compared with values obtained from a detailed stochastic FE analysis of plates. The proposed method seems to capture the statistical behaviour of the response with a reduced computational cost.

Rao-Blackwellized particle smoothers for mixed linear/nonlinear state-space models

We consider the smoothing problem for a class of conditionally linear Gaussian state-space (CLGSS) models, referred to as mixed linear/nonlinear models. In contrast to the better studied hierarchical CLGSS models, these allow for an intricate cross dependence between the linear and the nonlinear parts of the state vector. We derive a Rao-Blackwellized particle smoother (RBPS) for this model class by exploiting its tractable substructure. The smoother is of the forward filtering/backward simulation type. A key feature of the proposed method is that, unlike existing RBPS for this model class, the linear part of the state vector is marginalized out in both the forward direction and in the backward direction. © 2013 IEEE.

A dynamic view of the spread and intracellular distribution of Salmonella enterica.

The events that determine the dynamics of proliferation, spread and distribution of microbial pathogens within their hosts are surprisingly heterogeneous and poorly understood. We contend that understanding these phenomena at a sophisticated level with the help of mathematical models is a prerequisite for the development of truly novel, targeted preventative measures and drug regimes. We describe here recent studies of Salmonella enterica infections in mice which suggest that bacteria resist the antimicrobial environment inside host cells and spread to new sites, where infection foci develop, and thus avoid local escalation of the adaptive immune response. We further describe implications for our understanding of the pathogenic mechanism inside the host.

Models and algorithms for tracking of maneuvering objects using variable rate particle filters

Standard algorithms in tracking and other state-space models assume identical and synchronous sampling rates for the state and measurement processes. However, real trajectories of objects are typically characterized by prolonged smooth sections, with sharp, but infrequent, changes. Thus, a more parsimonious representation of a target trajectory may be obtained by direct modeling of maneuver times in the state process, independently from the observation times. This is achieved by assuming the state arrival times to follow a random process, typically specified as Markovian, so that state points may be allocated along the trajectory according to the degree of variation observed. The resulting variable dimension state inference problem is solved by developing an efficient variable rate particle filtering algorithm to recursively update the posterior distribution of the state sequence as new data becomes available. The methodology is quite general and can be applied across many models where dynamic model uncertainty occurs on-line. Specific models are proposed for the dynamics of a moving object under internal forcing, expressed in terms of the intrinsic dynamics of the object. The performance of the algorithms with these dynamical models is demonstrated on several challenging maneuvering target tracking problems in clutter. © 2006 IEEE.

Modelling nonlinear vehicle dynamics with neural networks

The nonlinear modelling ability of neural networks has been widely recognised as an effective tool to identify and control dynamic systems, with applications including nonlinear vehicle dynamics which this paper focuses on using multi-layer perceptron networks. Existing neural network literature does not detail some of the factors which effect neural network nonlinear modelling ability. This paper investigates into and concludes on required network size, structure and initial weights, considering results for networks of converged weights. The paper also presents an online training method and an error measure representing the network's parallel modelling ability over a range of operating conditions. Copyright © 2010 Inderscience Enterprises Ltd.

Sequential decision making in general state space models

Many problems in control and signal processing can be formulated as sequential decision problems for general state space models. However, except for some simple models one cannot obtain analytical solutions and has to resort to approximation. In this thesis, we have investigated problems where Sequential Monte Carlo (SMC) methods can be combined with a gradient based search to provide solutions to online optimisation problems. We summarise the main contributions of the thesis as follows. Chapter 4 focuses on solving the sensor scheduling problem when cast as a controlled Hidden Markov Model. We consider the case in which the state, observation and action spaces are continuous. This general case is important as it is the natural framework for many applications. In sensor scheduling, our aim is to minimise the variance of the estimation error of the hidden state with respect to the action sequence. We present a novel SMC method that uses a stochastic gradient algorithm to find optimal actions. This is in contrast to existing works in the literature that only solve approximations to the original problem. In Chapter 5 we presented how an SMC can be used to solve a risk sensitive control problem. We adopt the use of the Feynman-Kac representation of a controlled Markov chain flow and exploit the properties of the logarithmic Lyapunov exponent, which lead to a policy gradient solution for the parameterised problem. The resulting SMC algorithm follows a similar structure with the Recursive Maximum Likelihood(RML) algorithm for online parameter estimation. In Chapters 6, 7 and 8, dynamic Graphical models were combined with with state space models for the purpose of online decentralised inference. We have concentrated more on the distributed parameter estimation problem using two Maximum Likelihood techniques, namely Recursive Maximum Likelihood (RML) and Expectation Maximization (EM). The resulting algorithms can be interpreted as an extension of the Belief Propagation (BP) algorithm to compute likelihood gradients. In order to design an SMC algorithm, in Chapter 8 uses a nonparametric approximations for Belief Propagation. The algorithms were successfully applied to solve the sensor localisation problem for sensor networks of small and medium size.

An overview of sequential Monte Carlo methods for parameter estimation in general state-space models

Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, are numerical techniques based on Importance Sampling for solving the optimal state estimation problem. The task of calibrating the state-space model is an important problem frequently faced by practitioners and the observed data may be used to estimate the parameters of the model. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed for this task accompanied with a discussion of their advantages and limitations.