Sequential Monte Carlo computation of the score and observed information matrix in state-space models with application to parameter estimation

Sequential Monte Carlo (SMC) methods are popular computational tools for Bayesian inference in non-linear non-Gaussian state-space models. For this class of models, we propose SMC algorithms to compute the score vector and observed information matrix recursively in time. We propose two different SMC implementations, one with computational complexity $\mathcal{O}(N)$ and the other with complexity $\mathcal{O}(N^{2})$ where $N$ is the number of importance sampling draws. Although cheaper, the performance of the $\mathcal{O}(N)$ method degrades quickly in time as it inherently relies on the SMC approximation of a sequence of probability distributions whose dimension is increasing linearly with time. In particular, even under strong \textit{mixing} assumptions, the variance of the estimates computed with the $\mathcal{O}(N)$ method increases at least quadratically in time. The $\mathcal{O}(N^{2})$ is a non-standard SMC implementation that does not suffer from this rapid degrade. We then show how both methods can be used to perform batch and recursive parameter estimation.

An online expectation-maximisation algorithm for nonnegative matrix factorisation models

In this paper we formulate the nonnegative matrix factorisation (NMF) problem as a maximum likelihood estimation problem for hidden Markov models and propose online expectation-maximisation (EM) algorithms to estimate the NMF and the other unknown static parameters. We also propose a sequential Monte Carlo approximation of our online EM algorithm. We show the performance of the proposed method with two numerical examples. © 2012 IFAC.

Microstructure, strain fields and flow stress in deformed metal matrix composites

An experimental study of local orientations around whiskers in deformed metal matrix composites has been used to determine the strain gradients existing in the material following tensile deformation. These strain fields have been represented as arrays of geometrically necessary dislocations, and the material flow stress predicted using a standard dislocation hardening model. Whilst the correlation between this and the measured flow stress is reasonable, the experimentally determined strain gradients are lower by a factor of 5-10 than values obtained in previous estimates made using continuum plasticity finite element models. The local orientations around the whiskers contain a large amount of detailed information about the strain patterns in the material, and a novel approach is made to representing some of this information and to correlating it with microstructural observations. © 1998 Acta Metallurgica Inc. Published by Elsevier Science Ltd. All rights reserved.

Models for acoustic propagation through turbofan exhaust flows-lined ducts

Turbomachinery noise radiating into the rearward arc is an important problem. This noise is scattered by the trailing edges of the nacelle and the jet exhaust, and interacts with the shear layers between the external flow, bypass stream and jet, en route to the far field. In the past a range of relevant model problems involving semi-infinite cylinders have been solved. However, one limitation of these previous solutions is that they do not allow for the jet nozzle protruding a finite distance beyond the end of the nacelle (or in certain configurations being buried a finite distance upstream). With this in mind, we have used the matrix Wiener-Hopf technique to allow precisely this finite nacelle-jet nozzle separation to be included. We have previously reported results for the case of hard-walled ducts, which requires factorisation of a 2 × 2 matrix. In this paper we extend this work by allowing one of the duct walls, in this case the outer wall of the jet pipe, to be acoustically lined. This results in the need to factorise a 3 × 3 matrix, which is completed by use of a combination of pole-removal and Pad́e approximant techniques. Sample results are presented, investigating in particular the effects of exit plane stagger and liner impedance. Here we take the mean flow to be zero, but extension to nonzero Mach numbers in the core and bypass flow has also been completed. Copyright © 2009 by Nigel Peake & Ben Veitch.

Nonparametric Bayesian sparse factor models with application to gene expression modeling

A nonparametric Bayesian extension of Factor Analysis (FA) is proposed where observed data $\mathbf{Y}$ is modeled as a linear superposition, $\mathbf{G}$, of a potentially infinite number of hidden factors, $\mathbf{X}$. The Indian Buffet Process (IBP) is used as a prior on $\mathbf{G}$ to incorporate sparsity and to allow the number of latent features to be inferred. The model's utility for modeling gene expression data is investigated using randomly generated data sets based on a known sparse connectivity matrix for E. Coli, and on three biological data sets of increasing complexity.

Ultra-structural defects cause low bone matrix stiffness despite high mineralization in osteogenesis imperfecta mice.

Bone is a complex material with a hierarchical multi-scale organization from the molecule to the organ scale. The genetic bone disease, osteogenesis imperfecta, is primarily caused by mutations in the collagen type I genes, resulting in bone fragility. Because the basis of the disease is molecular with ramifications at the whole bone level, it provides a platform for investigating the relationship between structure, composition, and mechanics throughout the hierarchy. Prior studies have individually shown that OI leads to: 1. increased bone mineralization, 2. decreased elastic modulus, and 3. smaller apatite crystal size. However, these have not been studied together and the mechanism for how mineral structure influences tissue mechanics has not been identified. This lack of understanding inhibits the development of more accurate models and therapies. To address this research gap, we used a mouse model of the disease (oim) to measure these outcomes together in order to propose an underlying mechanism for the changes in properties. Our main finding was that despite increased mineralization, oim bones have lower stiffness that may result from the poorly organized mineral matrix with significantly smaller, highly packed and disoriented apatite crystals. Using a composite framework, we interpret the lower oim bone matrix elasticity observed as the result of a change in the aspect ratio of apatite crystals and a disruption of the crystal connectivity.

Models for acoustic propagation through turbofan exhaust flows

Turbomachinery noise radiating into the rearward arc is an important problem. This noise is scattered by the trailing edges of the nacelle and the jet exhaust, and interacts with the shear layers between the external flow, bypass stream and jet, en route to the far field. In the past a range of relevant model problems involving semi-infinite cylinders have been solved. However, one limitation of previous solutions is that they do not allow for the jet nozzle to protrude a finite distance beyond the end of the nacelle (or in certain configurations being buried a finite distance upstream). In this paper we use the matrix Wiener-Hopf technique, which will allow precisely the finite nacelle-jet nozzle separation to be included. The crucial step in our work is to factorise a certain matrix as a product of terms analytic and invertible in the upper/lower halves of the complex plane. The way we do this matrix factorisation is quite different in the buried and protruding nozzle cases. In the buried case our solution method is the so-called pole-removal technique. In the technically more demanding protruding case, however, we must first use Pade approximants to generate a uniformly-valid, meromorphic representation of a certain function, before the same pole-removal method can be applied. Sample results are presented, investigating in particular the effects of exit plane stagger. © 2007 by B Veitch and N Peake.