Filtering via approximate Bayesian computation

Approximate Bayesian computation (ABC) has become a popular technique to facilitate Bayesian inference from complex models. In this article we present an ABC approximation designed to perform biased filtering for a Hidden Markov Model when the likelihood function is intractable. We use a sequential Monte Carlo (SMC) algorithm to both fit and sample from our ABC approximation of the target probability density. This approach is shown to, empirically, be more accurate w.r.t.~the original filter than competing methods. The theoretical bias of our method is investigated; it is shown that the bias goes to zero at the expense of increased computational effort. Our approach is illustrated on a constrained sequential lasso for portfolio allocation to 15 constituents of the FTSE 100 share index.

A Bayesian approach to tracking in single molecule fluorescence microscopy

Using fluorescence microscopy with single molecule sensitivity it is now possible to follow the movement of individual fluorophore tagged molecules such as proteins and lipids in the cell membrane with nanometer precision. These experiments are important as they allow many key biological processes on the cell membrane and in the cell, such as transcription, translation and DNA replication, to be studied at new levels of detail. Computerized microscopes generate sequences of images (in the order of tens to hundreds) of the molecules diffusing and one of the challenges is to track these molecules to obtain reliable statistics such as speed distributions, diffusion patterns, intracellular positioning, etc. The data set is challenging because the molecules are tagged with a single or small number of fluorophores, which makes it difficult to distinguish them from the background, the fluorophore bleaches irreversibly over time, the number of tagged molecules are unknown and there is occasional loss of signal from the tagged molecules. All these factors make accurate tracking over long trajectories difficult. Also the experiments are technically difficulty to conduct and thus there is a pressing need to develop better algorithms to extract the maximum information from the data. For this purpose we propose a Bayesian approach and apply our technique to synthetic and a real experimental data set.