Monte Carlo approaches to nonlinear optimal control

This paper explores the use of Monte Carlo techniques in deterministic nonlinear optimal control. Inter-dimensional population Markov Chain Monte Carlo (MCMC) techniques are proposed to solve the nonlinear optimal control problem. The linear quadratic and Acrobot problems are studied to demonstrate the successful application of the relevant techniques.

Tree-Structured Stick Breaking Processes for Hierarchical Data

Many data are naturally modeled by an unobserved hierarchical structure. In this paper we propose a flexible nonparametric prior over unknown data hierarchies. The approach uses nested stick-breaking processes to allow for trees of unbounded width and depth, where data can live at any node and are infinitely exchangeable. One can view our model as providing infinite mixtures where the components have a dependency structure corresponding to an evolutionary diffusion down a tree. By using a stick-breaking approach, we can apply Markov chain Monte Carlo methods based on slice sampling to perform Bayesian inference and simulate from the posterior distribution on trees. We apply our method to hierarchical clustering of images and topic modeling of text data.

H∞ sampled-data synthesis and related numerical issues

In this paper we present a new, compact derivation of state-space formulae for the so-called discretisation-based solution of the H∞ sampled-data control problem. Our approach is based on the established technique of continuous time-lifting, which is used to isometrically map the continuous-time, linear, periodically time-varying, sampled-data problem to a discretetime, linear, time-invariant problem. State-space formulae are derived for the equivalent, discrete-time problem by solving a set of two-point, boundary-value problems. The formulae accommodate a direct feed-through term from the disturbance inputs to the controlled outputs of the original plant and are simple, requiring the computation of only a single matrix exponential. It is also shown that the resultant formulae can be easily re-structured to give a numerically robust algorithm for computing the state-space matrices. © 1997 Elsevier Science Ltd. All rights reserved.

Bayesian approach to signal modelling

In this paper, an introduction to Bayesian methods in signal processing will be given. The paper starts by considering the important issues of model selection and parameter estimation and derives analytic expressions for the model probabilities of two simple models. The idea of marginal estimation of certain model parameter is then introduced and expressions are derived for the marginal probability densities for frequencies in white Gaussian noise and a Bayesian approach to general changepoint analysis is given. Numerical integration methods are introduced based on Markov chain Monte Carlo techniques and the Gibbs sampler in particular.

The Bayesian Approach to Signal Modelling

In this paper, an introduction to Bayesian methods in signal processing will be given. The paper starts by considering the important issues of model selection and parameter estimation and derives analytic expressions for the model probabilities of two simple models. The idea of marginal estimation of certain model parameter is then introduced and expressions are derived for the marginal probabilitiy densities for frequencies in white Gaussian noise and a Bayesian approach to general changepoint analysis is given. Numerical integration methods are introduced based on Markov chain Monte Carlo techniques and the Gibbs sampler in particular.

Bayesian signal processing

The application of Bayes' Theorem to signal processing provides a consistent framework for proceeding from prior knowledge to a posterior inference conditioned on both the prior knowledge and the observed signal data. The first part of the lecture will illustrate how the Bayesian methodology can be applied to a variety of signal processing problems. The second part of the lecture will introduce the concept of Markov Chain Monte-Carlo (MCMC) methods which is an effective approach to overcoming many of the analytical and computational problems inherent in statistical inference. Such techniques are at the centre of the rapidly developing area of Bayesian signal processing which, with the continual increase in available computational power, is likely to provide the underlying framework for most signal processing applications.

Extended VTS for noise-robust speech recognition

Model compensation is a standard way of improving the robustness of speech recognition systems to noise. A number of popular schemes are based on vector Taylor series (VTS) compensation, which uses a linear approximation to represent the influence of noise on the clean speech. To compensate the dynamic parameters, the continuous time approximation is often used. This approximation uses a point estimate of the gradient, which fails to take into account that dynamic coefficients are a function of a number of consecutive static coefficients. In this paper, the accuracy of dynamic parameter compensation is improved by representing the dynamic features as a linear transformation of a window of static features. A modified version of VTS compensation is applied to the distribution of the window of static features and, importantly, their correlations. These compensated distributions are then transformed to distributions over standard static and dynamic features. With this improved approximation, it is also possible to obtain full-covariance corrupted speech distributions. This addresses the correlation changes that occur in noise. The proposed scheme outperformed the standard VTS scheme by 10% to 20% relative on a range of tasks. © 2006 IEEE.

Multiple object tracking using evolutionary MCMC-based particle algorithms

Algorithms are presented for detection and tracking of multiple clusters of co-ordinated targets. Based on a Markov chain Monte Carlo sampling mechanization, the new algorithms maintain a discrete approximation of the filtering density of the clusters' state. The filters' tracking efficiency is enhanced by incorporating various sampling improvement strategies into the basic Metropolis-Hastings scheme. Thus, an evolutionary stage consisting of two primary steps is introduced: 1) producing a population of different chain realizations, and 2) exchanging genetic material between samples in this population. The performance of the resulting evolutionary filtering algorithms is demonstrated in two different settings. In the first, both group and target properties are estimated whereas in the second, which consists of a very large number of targets, only the clustering structure is maintained. © 2009 IFAC.

Gaussian Process Regression Networks

We introduce a new regression framework, Gaussian process regression networks (GPRN), which combines the structural properties of Bayesian neural networks with the non-parametric flexibility of Gaussian processes. This model accommodates input dependent signal and noise correlations between multiple response variables, input dependent length-scales and amplitudes, and heavy-tailed predictive distributions. We derive both efficient Markov chain Monte Carlo and variational Bayes inference procedures for this model. We apply GPRN as a multiple output regression and multivariate volatility model, demonstrating substantially improved performance over eight popular multiple output (multi-task) Gaussian process models and three multivariate volatility models on benchmark datasets, including a 1000 dimensional gene expression dataset.

Air traffic control with an expected value criterion

in this contribution we discuss a stochastic framework for air traffic conflict resolution. The conflict resolution task is posed as the problem of optimizing an expected value criterion. Optimization is carried out by Monte Carlo Markov Chain (MCMC) simulation. A numerical example illustrates the proposed strategy. Copyright © 2005 IFAC.

MCMC-based tracking and identification of leaders in groups

We present a novel framework for identifying and tracking dominant agents in groups. Our proposed approach relies on a causality detection scheme that is capable of ranking agents with respect to their contribution in shaping the system's collective behaviour based exclusively on the agents' observed trajectories. Further, the reasoning paradigm is made robust to multiple emissions and clutter by employing a class of recently introduced Markov chain Monte Carlo-based group tracking methods. Examples are provided that demonstrate the strong potential of the proposed scheme in identifying actual leaders in swarms of interacting agents and moving crowds. © 2011 IEEE.

The Gaussian process density sampler

We present the Gaussian Process Density Sampler (GPDS), an exchangeable generative model for use in nonparametric Bayesian density estimation. Samples drawn from the GPDS are consistent with exact, independent samples from a fixed density function that is a transformation of a function drawn from a Gaussian process prior. Our formulation allows us to infer an unknown density from data using Markov chain Monte Carlo, which gives samples from the posterior distribution over density functions and from the predictive distribution on data space. We can also infer the hyperparameters of the Gaussian process. We compare this density modeling technique to several existing techniques on a toy problem and a skullreconstruction task.

Bayesian inference for multidimensional NMR image reconstruction

Reconstruction of an image from a set of projections has been adapted to generate multidimensional nuclear magnetic resonance (NMR) spectra, which have discrete features that are relatively sparsely distributed in space. For this reason, a reliable reconstruction can be made from a small number of projections. This new concept is called Projection Reconstruction NMR (PR-NMR). In this paper, multidimensional NMR spectra are reconstructed by Reversible Jump Markov Chain Monte Carlo (RJMCMC). This statistical method generates samples under the assumption that each peak consists of a small number of parameters: position of peak centres, peak amplitude, and peak width. In order to find the number of peaks and shape, RJMCMC has several moves: birth, death, merge, split, and invariant updating. The reconstruction schemes are tested on a set of six projections derived from the three-dimensional 700 MHz HNCO spectrum of a protein HasA.

Comparison of stochastic methods for control in air traffic management

This paper provides a direct comparison of two stochastic optimisation techniques (Markov Chain Monte Carlo and Sequential Monte Carlo) when applied to the problem of conflict resolution and aircraft trajectory control in air traffic management. The two methods are then also compared to another existing technique of Mixed-Integer Linear Programming which is also popular in distributed control. © 2011 IFAC.

Monte Carlo-Based Bayesian group object tracking and causal reasoning

We present algorithms for tracking and reasoning of local traits in the subsystem level based on the observed emergent behavior of multiple coordinated groups in potentially cluttered environments. Our proposed Bayesian inference schemes, which are primarily based on (Markov chain) Monte Carlo sequential methods, include: 1) an evolving network-based multiple object tracking algorithm that is capable of categorizing objects into groups, 2) a multiple cluster tracking algorithm for dealing with prohibitively large number of objects, and 3) a causality inference framework for identifying dominant agents based exclusively on their observed trajectories.We use these as building blocks for developing a unified tracking and behavioral reasoning paradigm. Both synthetic and realistic examples are provided for demonstrating the derived concepts. © 2013 Springer-Verlag Berlin Heidelberg.