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.

Time-frequency spectral estimation of speech

In recent years there has been a growing interest amongst the speech research community into the use of spectral estimators which circumvent the traditional quasi-stationary assumption and provide greater time-frequency (t-f) resolution than conventional spectral estimators, such as the short time Fourier power spectrum (STFPS). One distribution in particular, the Wigner distribution (WD), has attracted considerable interest. However, experimental studies have indicated that, despite its improved t-f resolution, employing the WD as the front end of speech recognition system actually reduces recognition performance; only by explicitly re-introducing t-f smoothing into the WD are recognition rates improved. In this paper we provide an explanation for these findings. By treating the spectral estimation problem as one of optimization of a bias variance trade off, we show why additional t-f smoothing improves recognition rates, despite reducing the t-f resolution of the spectral estimator. A practical adaptive smoothing algorithm is presented, whicy attempts to match the degree of smoothing introduced into the WD with the time varying quasi-stationary regions within the speech waveform. The recognition performance of the resulting adaptively smoothed estimator is found to be comparable to that of conventional filterbank estimators, yet the average temporal sampling rate of the resulting spectral vectors is reduced by around a factor of 10. © 1992.

Learning the dynamics of the external world: Brain inspired learning for robotic applications

Humans have exceptional abilities to learn new skills, manipulate tools and objects, and interact with our environment. In order to be successful at these tasks, our brain has become exceptionally well adapted to learning to deal not only with the complex dynamics of our own limbs but also with novel dynamics in the external world. While learning of these dynamics includes learning the complex time-varying forces at the end of limbs through the updating of internal models, it must also include learning the appropriate mechanical impedance in order to stabilize both the limb and any objects contacted in the environment. This article reviews the field of human learning by examining recent experimental evidence about adaptation to novel unstable dynamics and explores how this knowledge about the brain and neuro-muscular system can expand the learning capabilities of robotics and prosthetics. © 2006.

Decentralised minimal-time dynamic consensus

This paper considers a group of agents that aim to reach an agreement on individually received time-varying signals by local communication. In contrast to static network averaging problem, the consensus considered in this paper is reached in a dynamic sense. A discrete-time dynamic average consensus protocol can be designed to allow all the agents tracking the average of their reference inputs asymptotically. We propose a minimal-time dynamic consensus algorithm, which only utilises a minimal number of local observations of a randomly picked node in a network to compute the final consensus signal. Our results illustrate that with memory and computational ability, the running time of distributed averaging algorithms can be indeed improved dramatically as suggested by Olshevsky and Tsitsiklis. © 2012 AACC American Automatic Control Council).

A dependent partition-valued process for multitask clustering and time evolving network modelling

The fundamental aim of clustering algorithms is to partition data points. We consider tasks where the discovered partition is allowed to vary with some covariate such as space or time. One approach would be to use fragmentation-coagulation processes, but these, being Markov processes, are restricted to linear or tree structured covariate spaces. We define a partition-valued process on an arbitrary covariate space using Gaussian processes. We use the process to construct a multitask clustering model which partitions datapoints in a similar way across multiple data sources, and a time series model of network data which allows cluster assignments to vary over time. We describe sampling algorithms for inference and apply our method to defining cancer subtypes based on different types of cellular characteristics, finding regulatory modules from gene expression data from multiple human populations, and discovering time varying community structure in a social network.

Delayed decision-making in bistable models

Switching between two modes of operation is a common property of biological systems. In continuous-time differential equation models, this is often realised by bistability, i.e. the existence of two asymptotically stable steadystates. Several biological models are shown to exhibit delayed switching, with a pronounced transient phase, in particular for near-threshold perturbations. This study shows that this delay in switching from one mode to the other in response to a transient input is reflected in local properties of an unstable saddle point, which has a one dimensional unstable manifold with a significantly slower eigenvalue than the stable ones. Thus, the trajectories first approximatively converge to the saddle point, then linger along the saddle's unstable manifold before quickly approaching one of the stable equilibria. ©2010 IEEE.

Synchronization in networks of identical linear systems

The paper investigates the synchronization of a network of identical linear state-space models under a possibly time-varying and directed interconnection structure. The main result is the construction of a dynamic output feedback coupling that achieves synchronization if the decoupled systems have no exponentially unstable mode and if the communication graph is uniformly connected. The result can be interpreted as a generalization of classical consensus algorithms. Stronger conditions are shown to be sufficient-but to some extent, also necessary-to ensure synchronization with the diffusive static output coupling often considered in the literature. © 2009 Elsevier Ltd. All rights reserved.

Synchronization in networks of identical linear systems

The paper investigates the synchronization of a network of identical linear time-invariant state-space models under a possibly time-varying and directed interconnection structure. The main result is the construction of a dynamic output feedback coupling that achieves synchronization if the decoupled systems have no exponentially unstable mode and if the communication graph is uniformly connected. Stronger conditions are shown to be sufficient - but to some extent, also necessary - to ensure synchronization with the diffusive static output coupling often considered in the literature. © 2008 IEEE.

Synchronization and balancing on the N-torus

In this paper, we study the behavior of a network of N agents, each evolving on the circle. We propose a novel algorithm that achieves synchronization or balancing in phase models under mild connectedness assumptions on the (possibly time-varying and unidirectional) communication graphs. The global convergence analysis on the N-torus is a distinctive feature of the present work with respect to previous results that have focused on convergence in the Euclidean space. © 2006 Elsevier B.V. All rights reserved.

Collective optimization over average quantities

This paper addresses the design of algorithms for the collective optimization of a cost function defined over average quantities in the presence of limited communication. We argue that several meaningful collective optimization problems can be formulated in this way. As an application of the proposed approach, we propose a novel algorithm that achieves synchronization or balancing in phase models of coupled oscillators under mild connectedness assumptions on the (possibly time-varying and unidirectional) communication graphs. © 2006 IEEE.

Time-Frequency Representations for Speech Signals

This work addresses two related questions. The first question is what joint time-frequency energy representations are most appropriate for auditory signals, in particular, for speech signals in sonorant regions. The quadratic transforms of the signal are examined, a large class that includes, for example, the spectrograms and the Wigner distribution. Quasi-stationarity is not assumed, since this would neglect dynamic regions. A set of desired properties is proposed for the representation: (1) shift-invariance, (2) positivity, (3) superposition, (4) locality, and (5) smoothness. Several relations among these properties are proved: shift-invariance and positivity imply the transform is a superposition of spectrograms; positivity and superposition are equivalent conditions when the transform is real; positivity limits the simultaneous time and frequency resolution (locality) possible for the transform, defining an uncertainty relation for joint time-frequency energy representations; and locality and smoothness tradeoff by the 2-D generalization of the classical uncertainty relation. The transform that best meets these criteria is derived, which consists of two-dimensionally smoothed Wigner distributions with (possibly oriented) 2-D guassian kernels. These transforms are then related to time-frequency filtering, a method for estimating the time-varying 'transfer function' of the vocal tract, which is somewhat analogous to ceptstral filtering generalized to the time-varying case. Natural speech examples are provided. The second question addressed is how to obtain a rich, symbolic description of the phonetically relevant features in these time-frequency energy surfaces, the so-called schematic spectrogram. Time-frequency ridges, the 2-D analog of spectral peaks, are one feature that is proposed. If non-oriented kernels are used for the energy representation, then the ridge tops can be identified, with zero-crossings in the inner product of the gradient vector and the direction of greatest downward curvature. If oriented kernels are used, the method can be generalized to give better orientation selectivity (e.g., at intersecting ridges) at the cost of poorer time-frequency locality. Many speech examples are given showing the performance for some traditionally difficult cases: semi-vowels and glides, nasalized vowels, consonant-vowel transitions, female speech, and imperfect transmission channels.

Nonlinear Acoustics in Underwater and Biomedical Applications: Array Performance Degradation and Time Reversal Invariance

This dissertation describes a model for acoustic propagation in inhomogeneous flu- ids, and explores the focusing by arrays onto targets under various conditions. The work explores the use of arrays, in particular the time reversal array, for underwater and biomedical applications. Aspects of propagation and phasing which can lead to reduced focusing effectiveness are described. An acoustic wave equation was derived for the propagation of finite-amplitude waves in lossy time-varying inhomogeneous fluid media. The equation was solved numerically in both Cartesian and cylindrical geometries using the finite-difference time-domain (FDTD) method. It was found that time reversal arrays are sensitive to several debilitating factors. Focusing ability was determined to be adequate in the presence of temporal jitter in the time reversed signal only up to about one-sixth of a period. Thermoviscous absorption also had a debilitating effect on focal pressure for both linear and nonlinear propagation. It was also found that nonlinearity leads to degradation of focal pressure through amplification of the received signal at the array, and enhanced absorption in the shocked waveforms. This dissertation also examined the heating effects of focused ultrasound in a tissue-like medium. The application considered is therapeutic heating for hyperther- mia. The acoustic model and a thermal model for tissue were coupled to solve for transient and steady temperature profiles in tissue-like media. The Pennes bioheat equation was solved using the FDTD method to calculate the temperature fields in tissue-like media from focused acoustic sources. It was found that the temperature-dependence of the medium's background prop- erties can play an important role in the temperature predictions. Finite-amplitude effects contributed excess heat when source conditions were provided for nonlinear ef- fects to manifest themselves. The effect of medium heterogeneity was also found to be important in redistributing the acoustic and temperature fields, creating regions with hotter and colder temperatures than the mean by local scattering and lensing action. These temperature excursions from the mean were found to increase monotonically with increasing contrast in the medium's properties.

Resource Management for Responsive Web Computing

The exploding demand for services like the World Wide Web reflects the potential that is presented by globally distributed information systems. The number of WWW servers world-wide has doubled every 3 to 5 months since 1993, outstripping even the growth of the Internet. At each of these self-managed sites, the Common Gateway Interface (CGI) and Hypertext Transfer Protocol (HTTP) already constitute a rudimentary basis for contributing local resources to remote collaborations. However, the Web has serious deficiencies that make it unsuited for use as a true medium for metacomputing --- the process of bringing hardware, software, and expertise from many geographically dispersed sources to bear on large scale problems. These deficiencies are, paradoxically, the direct result of the very simple design principles that enabled its exponential growth. There are many symptoms of the problems exhibited by the Web: disk and network resources are consumed extravagantly; information search and discovery are difficult; protocols are aimed at data movement rather than task migration, and ignore the potential for distributing computation. However, all of these can be seen as aspects of a single problem: as a distributed system for metacomputing, the Web offers unpredictable performance and unreliable results. The goal of our project is to use the Web as a medium (within either the global Internet or an enterprise intranet) for metacomputing in a reliable way with performance guarantees. We attack this problem one four levels: (1) Resource Management Services: Globally distributed computing allows novel approaches to the old problems of performance guarantees and reliability. Our first set of ideas involve setting up a family of real-time resource management models organized by the Web Computing Framework with a standard Resource Management Interface (RMI), a Resource Registry, a Task Registry, and resource management protocols to allow resource needs and availability information be collected and disseminated so that a family of algorithms with varying computational precision and accuracy of representations can be chosen to meet realtime and reliability constraints. (2) Middleware Services: Complementary to techniques for allocating and scheduling available resources to serve application needs under realtime and reliability constraints, the second set of ideas aim at reduce communication latency, traffic congestion, server work load, etc. We develop customizable middleware services to exploit application characteristics in traffic analysis to drive new server/browser design strategies (e.g., exploit self-similarity of Web traffic), derive document access patterns via multiserver cooperation, and use them in speculative prefetching, document caching, and aggressive replication to reduce server load and bandwidth requirements. (3) Communication Infrastructure: Finally, to achieve any guarantee of quality of service or performance, one must get at the network layer that can provide the basic guarantees of bandwidth, latency, and reliability. Therefore, the third area is a set of new techniques in network service and protocol designs. (4) Object-Oriented Web Computing Framework A useful resource management system must deal with job priority, fault-tolerance, quality of service, complex resources such as ATM channels, probabilistic models, etc., and models must be tailored to represent the best tradeoff for a particular setting. This requires a family of models, organized within an object-oriented framework, because no one-size-fits-all approach is appropriate. This presents a software engineering challenge requiring integration of solutions at all levels: algorithms, models, protocols, and profiling and monitoring tools. The framework captures the abstract class interfaces of the collection of cooperating components, but allows the concretization of each component to be driven by the requirements of a specific approach and environment.

Spatiotemporal Gesture Segmentation

Spotting patterns of interest in an input signal is a very useful task in many different fields including medicine, bioinformatics, economics, speech recognition and computer vision. Example instances of this problem include spotting an object of interest in an image (e.g., a tumor), a pattern of interest in a time-varying signal (e.g., audio analysis), or an object of interest moving in a specific way (e.g., a human's body gesture). Traditional spotting methods, which are based on Dynamic Time Warping or hidden Markov models, use some variant of dynamic programming to register the pattern and the input while accounting for temporal variation between them. At the same time, those methods often suffer from several shortcomings: they may give meaningless solutions when input observations are unreliable or ambiguous, they require a high complexity search across the whole input signal, and they may give incorrect solutions if some patterns appear as smaller parts within other patterns. In this thesis, we develop a framework that addresses these three problems, and evaluate the framework's performance in spotting and recognizing hand gestures in video. The first contribution is a spatiotemporal matching algorithm that extends the dynamic programming formulation to accommodate multiple candidate hand detections in every video frame. The algorithm finds the best alignment between the gesture model and the input, and simultaneously locates the best candidate hand detection in every frame. This allows for a gesture to be recognized even when the hand location is highly ambiguous. The second contribution is a pruning method that uses model-specific classifiers to reject dynamic programming hypotheses with a poor match between the input and model. Pruning improves the efficiency of the spatiotemporal matching algorithm, and in some cases may improve the recognition accuracy. The pruning classifiers are learned from training data, and cross-validation is used to reduce the chance of overpruning. The third contribution is a subgesture reasoning process that models the fact that some gesture models can falsely match parts of other, longer gestures. By integrating subgesture reasoning the spotting algorithm can avoid the premature detection of a subgesture when the longer gesture is actually being performed. Subgesture relations between pairs of gestures are automatically learned from training data. The performance of the approach is evaluated on two challenging video datasets: hand-signed digits gestured by users wearing short sleeved shirts, in front of a cluttered background, and American Sign Language (ASL) utterances gestured by ASL native signers. The experiments demonstrate that the proposed method is more accurate and efficient than competing approaches. The proposed approach can be generally applied to alignment or search problems with multiple input observations, that use dynamic programming to find a solution.

Sequential anomaly detection in the presence of noise and limited feedback

This paper describes a methodology for detecting anomalies from sequentially observed and potentially noisy data. The proposed approach consists of two main elements: 1) filtering, or assigning a belief or likelihood to each successive measurement based upon our ability to predict it from previous noisy observations and 2) hedging, or flagging potential anomalies by comparing the current belief against a time-varying and data-adaptive threshold. The threshold is adjusted based on the available feedback from an end user. Our algorithms, which combine universal prediction with recent work on online convex programming, do not require computing posterior distributions given all current observations and involve simple primal-dual parameter updates. At the heart of the proposed approach lie exponential-family models which can be used in a wide variety of contexts and applications, and which yield methods that achieve sublinear per-round regret against both static and slowly varying product distributions with marginals drawn from the same exponential family. Moreover, the regret against static distributions coincides with the minimax value of the corresponding online strongly convex game. We also prove bounds on the number of mistakes made during the hedging step relative to the best offline choice of the threshold with access to all estimated beliefs and feedback signals. We validate the theory on synthetic data drawn from a time-varying distribution over binary vectors of high dimensionality, as well as on the Enron email dataset. © 1963-2012 IEEE.