Generalised Wishart Processes

We introduce a stochastic process with Wishart marginals: the generalised Wishart process (GWP). It is a collection of positive semi-definite random matrices indexed by any arbitrary dependent variable. We use it to model dynamic (e.g. time varying) covariance matrices. Unlike existing models, it can capture a diverse class of covariance structures, it can easily handle missing data, the dependent variable can readily include covariates other than time, and it scales well with dimension; there is no need for free parameters, and optional parameters are easy to interpret. We describe how to construct the GWP, introduce general procedures for inference and predictions, and show that it outperforms its main competitor, multivariate GARCH, even on financial data that especially suits GARCH. We also show how to predict the mean of a multivariate process while accounting for dynamic correlations.

The estimation of stochastic context-free grammars using the Inside-Outside algorithm

Using an entropy argument, it is shown that stochastic context-free grammars (SCFG's) can model sources with hidden branching processes more efficiently than stochastic regular grammars (or equivalently HMM's). However, the automatic estimation of SCFG's using the Inside-Outside algorithm is limited in practice by its O(n3) complexity. In this paper, a novel pre-training algorithm is described which can give significant computational savings. Also, the need for controlling the way that non-terminals are allocated to hidden processes is discussed and a solution is presented in the form of a grammar minimization procedure. © 1990.

Applications of stochastic context-free grammars using the Inside-Outside algorithm

This paper describes two applications in speech recognition of the use of stochastic context-free grammars (SCFGs) trained automatically via the Inside-Outside Algorithm. First, SCFGs are used to model VQ encoded speech for isolated word recognition and are compared directly to HMMs used for the same task. It is shown that SCFGs can model this low-level VQ data accurately and that a regular grammar based pre-training algorithm is effective both for reducing training time and obtaining robust solutions. Second, an SCFG is inferred from a transcription of the speech used to train a phoneme-based recognizer in an attempt to model phonotactic constraints. When used as a language model, this SCFG gives improved performance over a comparable regular grammar or bigram. © 1991.

Triggering in a thermoacoustic system with stochastic noise

This paper explores the mechanism of triggering in a simple thermoacoustic system, the Rijke tube. It is demonstrated that additive stochastic perturbations can cause triggering before the linear stability limit of a thermoacoustic system. When triggering from low noise amplitudes, the system is seen to evolve to self-sustained oscillations via an unstable periodic solution of the governing equations. Practical stability is introduced as a measure of the stability of a linearly stable state when finite perturbations are present. The concept of a stochastic stability map is used to demonstrate the change in practical stability limits for a system with a subcritical bifurcation, once stochastic terms are included. The practical stability limits are found to be strongly dependent on the strength of noise.

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.

The analysis of stochastic EMC problems using the concept of diffuse field reciprocity

There has been much progress in recent years in the analysis of complex random vibro-acoustic systems, and general analysis methods have been developed which are based on the properties of diffuse wave fields. It is shown in the present paper that such methods can also be applied to high frequency EMC problems, avoiding the need for costly full wave solutions to Maxwell's equations in complex cavities. The theory behind the approach is outlined and then applied to the relatively simple case of a wiring system which is subject to reverberant electromagnetic wave excitation. © 2011 IEEE.

Moment asymptotic stability of stochastic hybrid delay systems

in this paper we investigate the moment asymptotic stability for the nonlinear stochastic hybrid delay systems. Sufficient criteria on the stabilization and robust stability are also established for linear stochastic hybrid delay systems. Copyright © 2005 IFAC.