Bayesian Estimation of Noise

In mathematical modeling the estimation of the model parameters is one of the most common problems. The goal is to seek parameters that fit to the measurements as well as possible. There is always error in the measurements which implies uncertainty to the model estimates. In Bayesian statistics all the unknown quantities are presented as probability distributions. If there is knowledge about parameters beforehand, it can be formulated as a prior distribution. The Bays’ rule combines the prior and the measurements to posterior distribution. Mathematical models are typically nonlinear, to produce statistics for them requires efficient sampling algorithms. In this thesis both Metropolis-Hastings (MH), Adaptive Metropolis (AM) algorithms and Gibbs sampling are introduced. In the thesis different ways to present prior distributions are introduced. The main issue is in the measurement error estimation and how to obtain prior knowledge for variance or covariance. Variance and covariance sampling is combined with the algorithms above. The examples of the hyperprior models are applied to estimation of model parameters and error in an outlier case.

Efficient image mosaicing for multi-robot visual underwater mapping

Robotic platforms have advanced greatly in terms of their remote sensing capabilities, including obtaining optical information using cameras. Alongside these advances, visual mapping has become a very active research area, which facilitates the mapping of areas inaccessible to humans. This requires the efficient processing of data to increase the final mosaic quality and computational efficiency. In this paper, we propose an efficient image mosaicing algorithm for large area visual mapping in underwater environments using multiple underwater robots. Our method identifies overlapping image pairs in the trajectories carried out by the different robots during the topology estimation process, being this a cornerstone for efficiently mapping large areas of the seafloor. We present comparative results based on challenging real underwater datasets, which simulated multi-robot mapping

Bayesian methods for estimation, optimization and experimental design

Mathematical models often contain parameters that need to be calibrated from measured data. The emergence of efficient Markov Chain Monte Carlo (MCMC) methods has made the Bayesian approach a standard tool in quantifying the uncertainty in the parameters. With MCMC, the parameter estimation problem can be solved in a fully statistical manner, and the whole distribution of the parameters can be explored, instead of obtaining point estimates and using, e.g., Gaussian approximations. In this thesis, MCMC methods are applied to parameter estimation problems in chemical reaction engineering, population ecology, and climate modeling. Motivated by the climate model experiments, the methods are developed further to make them more suitable for problems where the model is computationally intensive. After the parameters are estimated, one can start to use the model for various tasks. Two such tasks are studied in this thesis: optimal design of experiments, where the task is to design the next measurements so that the parameter uncertainty is minimized, and model-based optimization, where a model-based quantity, such as the product yield in a chemical reaction model, is optimized. In this thesis, novel ways to perform these tasks are developed, based on the output of MCMC parameter estimation. A separate topic is dynamical state estimation, where the task is to estimate the dynamically changing model state, instead of static parameters. For example, in numerical weather prediction, an estimate of the state of the atmosphere must constantly be updated based on the recently obtained measurements. In this thesis, a novel hybrid state estimation method is developed, which combines elements from deterministic and random sampling methods.

Kernel-Based Ranking. Methods for Learning and Performance Estimation

Machine learning provides tools for automated construction of predictive models in data intensive areas of engineering and science. The family of regularized kernel methods have in the recent years become one of the mainstream approaches to machine learning, due to a number of advantages the methods share. The approach provides theoretically well-founded solutions to the problems of under- and overfitting, allows learning from structured data, and has been empirically demonstrated to yield high predictive performance on a wide range of application domains. Historically, the problems of classification and regression have gained the majority of attention in the field. In this thesis we focus on another type of learning problem, that of learning to rank. In learning to rank, the aim is from a set of past observations to learn a ranking function that can order new objects according to how well they match some underlying criterion of goodness. As an important special case of the setting, we can recover the bipartite ranking problem, corresponding to maximizing the area under the ROC curve (AUC) in binary classification. Ranking applications appear in a large variety of settings, examples encountered in this thesis include document retrieval in web search, recommender systems, information extraction and automated parsing of natural language. We consider the pairwise approach to learning to rank, where ranking models are learned by minimizing the expected probability of ranking any two randomly drawn test examples incorrectly. The development of computationally efficient kernel methods, based on this approach, has in the past proven to be challenging. Moreover, it is not clear what techniques for estimating the predictive performance of learned models are the most reliable in the ranking setting, and how the techniques can be implemented efficiently. The contributions of this thesis are as follows. First, we develop RankRLS, a computationally efficient kernel method for learning to rank, that is based on minimizing a regularized pairwise least-squares loss. In addition to training methods, we introduce a variety of algorithms for tasks such as model selection, multi-output learning, and cross-validation, based on computational shortcuts from matrix algebra. Second, we improve the fastest known training method for the linear version of the RankSVM algorithm, which is one of the most well established methods for learning to rank. Third, we study the combination of the empirical kernel map and reduced set approximation, which allows the large-scale training of kernel machines using linear solvers, and propose computationally efficient solutions to cross-validation when using the approach. Next, we explore the problem of reliable cross-validation when using AUC as a performance criterion, through an extensive simulation study. We demonstrate that the proposed leave-pair-out cross-validation approach leads to more reliable performance estimation than commonly used alternative approaches. Finally, we present a case study on applying machine learning to information extraction from biomedical literature, which combines several of the approaches considered in the thesis. The thesis is divided into two parts. Part I provides the background for the research work and summarizes the most central results, Part II consists of the five original research articles that are the main contribution of this thesis.

Estimation methods of reference evapotranspiration (ETo) for Uberlândia -MG

One approach to verify the adequacy of estimation methods of reference evapotranspiration is the comparison with the Penman-Monteith method, recommended by the United Nations of Food and Agriculture Organization - FAO, as the standard method for estimating ET0. This study aimed to compare methods for estimating ET0, Makkink (MK), Hargreaves (HG) and Solar Radiation (RS), with Penman-Monteith (PM). For this purpose, we used daily data of global solar radiation, air temperature, relative humidity and wind speed for the year 2010, obtained through the automatic meteorological station, with latitude 18° 91' 66" S, longitude 48° 25' 05" W and altitude of 869m, at the National Institute of Meteorology situated in the Campus of Federal University of Uberlandia - MG, Brazil. Analysis of results for the period were carried out in daily basis, using regression analysis and considering the linear model y = ax, where the dependent variable was the method of Penman-Monteith and the independent, the estimation of ET0 by evaluated methods. Methodology was used to check the influence of standard deviation of daily ET0 in comparison of methods. The evaluation indicated that methods of Solar Radiation and Penman-Monteith cannot be compared, yet the method of Hargreaves indicates the most efficient adjustment to estimate ETo.

Modeling and Parameter Estimation of Double-Star Permanent Magnet Synchronous Machines

The power rating of wind turbines is constantly increasing; however, keeping the voltage rating at the low-voltage level results in high kilo-ampere currents. An alternative for increasing the power levels without raising the voltage level is provided by multiphase machines. Multiphase machines are used for instance in ship propulsion systems, aerospace applications, electric vehicles, and in other high-power applications including wind energy conversion systems. A machine model in an appropriate reference frame is required in order to design an efficient control for the electric drive. Modeling of multiphase machines poses a challenge because of the mutual couplings between the phases. Mutual couplings degrade the drive performance unless they are properly considered. In certain multiphase machines there is also a problem of high current harmonics, which are easily generated because of the small current path impedance of the harmonic components. However, multiphase machines provide special characteristics compared with the three-phase counterparts: Multiphase machines have a better fault tolerance, and are thus more robust. In addition, the controlled power can be divided among more inverter legs by increasing the number of phases. Moreover, the torque pulsation can be decreased and the harmonic frequency of the torque ripple increased by an appropriate multiphase configuration. By increasing the number of phases it is also possible to obtain more torque per RMS ampere for the same volume, and thus, increase the power density. In this doctoral thesis, a decoupled d–q model of double-star permanent-magnet (PM) synchronous machines is derived based on the inductance matrix diagonalization. The double-star machine is a special type of multiphase machines. Its armature consists of two three-phase winding sets, which are commonly displaced by 30 electrical degrees. In this study, the displacement angle between the sets is considered a parameter. The diagonalization of the inductance matrix results in a simplified model structure, in which the mutual couplings between the reference frames are eliminated. Moreover, the current harmonics are mapped into a reference frame, in which they can be easily controlled. The work also presents methods to determine the machine inductances by a finite-element analysis and by voltage-source inverters on-site. The derived model is validated by experimental results obtained with an example double-star interior PM (IPM) synchronous machine having the sets displaced by 30 electrical degrees. The derived transformation, and consequently, the decoupled d–q machine model, are shown to model the behavior of an actual machine with an acceptable accuracy. Thus, the proposed model is suitable to be used for the model-based control design of electric drives consisting of double-star IPM synchronous machines.

Energy-efficient control strategies for variable speed driven parallel pumping systems based on pump operation point monitoring with frequency converters

The pumping processes requiring wide range of flow are often equipped with parallelconnected centrifugal pumps. In parallel pumping systems, the use of variable speed control allows that the required output for the process can be delivered with a varying number of operated pump units and selected rotational speed references. However, the optimization of the parallel-connected rotational speed controlled pump units often requires adaptive modelling of both parallel pump characteristics and the surrounding system in varying operation conditions. The available information required for the system modelling in typical parallel pumping applications such as waste water treatment and various cooling and water delivery pumping tasks can be limited, and the lack of real-time operation point monitoring often sets limits for accurate energy efficiency optimization. Hence, alternatives for easily implementable control strategies which can be adopted with minimum system data are necessary. This doctoral thesis concentrates on the methods that allow the energy efficient use of variable speed controlled parallel pumps in system scenarios in which the parallel pump units consist of a centrifugal pump, an electric motor, and a frequency converter. Firstly, the suitable operation conditions for variable speed controlled parallel pumps are studied. Secondly, methods for determining the output of each parallel pump unit using characteristic curve-based operation point estimation with frequency converter are discussed. Thirdly, the implementation of the control strategy based on real-time pump operation point estimation and sub-optimization of each parallel pump unit is studied. The findings of the thesis support the idea that the energy efficiency of the pumping can be increased without the installation of new, more efficient components in the systems by simply adopting suitable control strategies. An easily implementable and adaptive control strategy for variable speed controlled parallel pumping systems can be created by utilizing the pump operation point estimation available in modern frequency converters. Hence, additional real-time flow metering, start-up measurements, and detailed system model are unnecessary, and the pumping task can be fulfilled by determining a speed reference for each parallel-pump unit which suggests the energy efficient operation of the pumping system.

Efficient Optimization Algorithms for Nonlinear Data Analysis

Identification of low-dimensional structures and main sources of variation from multivariate data are fundamental tasks in data analysis. Many methods aimed at these tasks involve solution of an optimization problem. Thus, the objective of this thesis is to develop computationally efficient and theoretically justified methods for solving such problems. Most of the thesis is based on a statistical model, where ridges of the density estimated from the data are considered as relevant features. Finding ridges, that are generalized maxima, necessitates development of advanced optimization methods. An efficient and convergent trust region Newton method for projecting a point onto a ridge of the underlying density is developed for this purpose. The method is utilized in a differential equation-based approach for tracing ridges and computing projection coordinates along them. The density estimation is done nonparametrically by using Gaussian kernels. This allows application of ridge-based methods with only mild assumptions on the underlying structure of the data. The statistical model and the ridge finding methods are adapted to two different applications. The first one is extraction of curvilinear structures from noisy data mixed with background clutter. The second one is a novel nonlinear generalization of principal component analysis (PCA) and its extension to time series data. The methods have a wide range of potential applications, where most of the earlier approaches are inadequate. Examples include identification of faults from seismic data and identification of filaments from cosmological data. Applicability of the nonlinear PCA to climate analysis and reconstruction of periodic patterns from noisy time series data are also demonstrated. Other contributions of the thesis include development of an efficient semidefinite optimization method for embedding graphs into the Euclidean space. The method produces structure-preserving embeddings that maximize interpoint distances. It is primarily developed for dimensionality reduction, but has also potential applications in graph theory and various areas of physics, chemistry and engineering. Asymptotic behaviour of ridges and maxima of Gaussian kernel densities is also investigated when the kernel bandwidth approaches infinity. The results are applied to the nonlinear PCA and to finding significant maxima of such densities, which is a typical problem in visual object tracking.

GLS Detrending, Efficient Unit Root Tests and Structural Change

We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg and Stock (1996) (ERS). Following Perron (1989), we consider two models : one allowing for a change in slope and the other for both a change in intercept and slope. We derive the asymptotic distribution of the tests as well as that of the feasible point optimal tests PT(GLS) suggested by ERS. The asymptotic critical values of the tests are tabulated. Also, we compute the non-centrality parameter used for the local GLS detrending that permits the tests to have 50% asymptotic power at that value. We show that the M(GLS) and PT(GLS) tests have an asymptotic power function close to the power envelope. An extensive simulation study analyzes the size and power in finite samples under various methods to select the truncation lag for the autoregressive spectral density estimator. An empirical application is also provided.

Estimation of State Space Models and Stochastic Volatility

Ma thèse est composée de trois chapitres reliés à l'estimation des modèles espace-état et volatilité stochastique. Dans le première article, nous développons une procédure de lissage de l'état, avec efficacité computationnelle, dans un modèle espace-état linéaire et gaussien. Nous montrons comment exploiter la structure particulière des modèles espace-état pour tirer les états latents efficacement. Nous analysons l'efficacité computationnelle des méthodes basées sur le filtre de Kalman, l'algorithme facteur de Cholesky et notre nouvelle méthode utilisant le compte d'opérations et d'expériences de calcul. Nous montrons que pour de nombreux cas importants, notre méthode est plus efficace. Les gains sont particulièrement grands pour les cas où la dimension des variables observées est grande ou dans les cas où il faut faire des tirages répétés des états pour les mêmes valeurs de paramètres. Comme application, on considère un modèle multivarié de Poisson avec le temps des intensités variables, lequel est utilisé pour analyser le compte de données des transactions sur les marchés financières. Dans le deuxième chapitre, nous proposons une nouvelle technique pour analyser des modèles multivariés à volatilité stochastique. La méthode proposée est basée sur le tirage efficace de la volatilité de son densité conditionnelle sachant les paramètres et les données. Notre méthodologie s'applique aux modèles avec plusieurs types de dépendance dans la coupe transversale. Nous pouvons modeler des matrices de corrélation conditionnelles variant dans le temps en incorporant des facteurs dans l'équation de rendements, où les facteurs sont des processus de volatilité stochastique indépendants. Nous pouvons incorporer des copules pour permettre la dépendance conditionnelle des rendements sachant la volatilité, permettant avoir différent lois marginaux de Student avec des degrés de liberté spécifiques pour capturer l'hétérogénéité des rendements. On tire la volatilité comme un bloc dans la dimension du temps et un à la fois dans la dimension de la coupe transversale. Nous appliquons la méthode introduite par McCausland (2012) pour obtenir une bonne approximation de la distribution conditionnelle à posteriori de la volatilité d'un rendement sachant les volatilités d'autres rendements, les paramètres et les corrélations dynamiques. Le modèle est évalué en utilisant des données réelles pour dix taux de change. Nous rapportons des résultats pour des modèles univariés de volatilité stochastique et deux modèles multivariés. Dans le troisième chapitre, nous évaluons l'information contribuée par des variations de volatilite réalisée à l'évaluation et prévision de la volatilité quand des prix sont mesurés avec et sans erreur. Nous utilisons de modèles de volatilité stochastique. Nous considérons le point de vue d'un investisseur pour qui la volatilité est une variable latent inconnu et la volatilité réalisée est une quantité d'échantillon qui contient des informations sur lui. Nous employons des méthodes bayésiennes de Monte Carlo par chaîne de Markov pour estimer les modèles, qui permettent la formulation, non seulement des densités a posteriori de la volatilité, mais aussi les densités prédictives de la volatilité future. Nous comparons les prévisions de volatilité et les taux de succès des prévisions qui emploient et n'emploient pas l'information contenue dans la volatilité réalisée. Cette approche se distingue de celles existantes dans la littérature empirique en ce sens que ces dernières se limitent le plus souvent à documenter la capacité de la volatilité réalisée à se prévoir à elle-même. Nous présentons des applications empiriques en utilisant les rendements journaliers des indices et de taux de change. Les différents modèles concurrents sont appliqués à la seconde moitié de 2008, une période marquante dans la récente crise financière.

Revisiting optimization algorithms for maximum likelihood estimation

Parmi les méthodes d’estimation de paramètres de loi de probabilité en statistique, le maximum de vraisemblance est une des techniques les plus populaires, comme, sous des conditions l´egères, les estimateurs ainsi produits sont consistants et asymptotiquement efficaces. Les problèmes de maximum de vraisemblance peuvent être traités comme des problèmes de programmation non linéaires, éventuellement non convexe, pour lesquels deux grandes classes de méthodes de résolution sont les techniques de région de confiance et les méthodes de recherche linéaire. En outre, il est possible d’exploiter la structure de ces problèmes pour tenter d’accélerer la convergence de ces méthodes, sous certaines hypothèses. Dans ce travail, nous revisitons certaines approches classiques ou récemment d´eveloppées en optimisation non linéaire, dans le contexte particulier de l’estimation de maximum de vraisemblance. Nous développons également de nouveaux algorithmes pour résoudre ce problème, reconsidérant différentes techniques d’approximation de hessiens, et proposons de nouvelles méthodes de calcul de pas, en particulier dans le cadre des algorithmes de recherche linéaire. Il s’agit notamment d’algorithmes nous permettant de changer d’approximation de hessien et d’adapter la longueur du pas dans une direction de recherche fixée. Finalement, nous évaluons l’efficacité numérique des méthodes proposées dans le cadre de l’estimation de modèles de choix discrets, en particulier les modèles logit mélangés.

Essays on numerically efficient inference in nonlinear and non-Gaussian state space models, and commodity market analysis.

The first two articles build procedures to simulate vector of univariate states and estimate parameters in nonlinear and non Gaussian state space models. We propose state space speci fications that offer more flexibility in modeling dynamic relationship with latent variables. Our procedures are extension of the HESSIAN method of McCausland[2012]. Thus, they use approximation of the posterior density of the vector of states that allow to : simulate directly from the state vector posterior distribution, to simulate the states vector in one bloc and jointly with the vector of parameters, and to not allow data augmentation. These properties allow to build posterior simulators with very high relative numerical efficiency. Generic, they open a new path in nonlinear and non Gaussian state space analysis with limited contribution of the modeler. The third article is an essay in commodity market analysis. Private firms coexist with farmers' cooperatives in commodity markets in subsaharan african countries. The private firms have the biggest market share while some theoretical models predict they disappearance once confronted to farmers cooperatives. Elsewhere, some empirical studies and observations link cooperative incidence in a region with interpersonal trust, and thus to farmers trust toward cooperatives. We propose a model that sustain these empirical facts. A model where the cooperative reputation is a leading factor determining the market equilibrium of a price competition between a cooperative and a private firm

Parameter Estimation in Chaotic Systems

This report examines how to estimate the parameters of a chaotic system given noisy observations of the state behavior of the system. Investigating parameter estimation for chaotic systems is interesting because of possible applications for high-precision measurement and for use in other signal processing, communication, and control applications involving chaotic systems. In this report, we examine theoretical issues regarding parameter estimation in chaotic systems and develop an efficient algorithm to perform parameter estimation. We discover two properties that are helpful for performing parameter estimation on non-structurally stable systems. First, it turns out that most data in a time series of state observations contribute very little information about the underlying parameters of a system, while a few sections of data may be extraordinarily sensitive to parameter changes. Second, for one-parameter families of systems, we demonstrate that there is often a preferred direction in parameter space governing how easily trajectories of one system can "shadow'" trajectories of nearby systems. This asymmetry of shadowing behavior in parameter space is proved for certain families of maps of the interval. Numerical evidence indicates that similar results may be true for a wide variety of other systems. Using the two properties cited above, we devise an algorithm for performing parameter estimation. Standard parameter estimation techniques such as the extended Kalman filter perform poorly on chaotic systems because of divergence problems. The proposed algorithm achieves accuracies several orders of magnitude better than the Kalman filter and has good convergence properties for large data sets.

Efficient mining of discriminative molecular fragments

Frequent pattern discovery in structured data is receiving an increasing attention in many application areas of sciences. However, the computational complexity and the large amount of data to be explored often make the sequential algorithms unsuitable. In this context high performance distributed computing becomes a very interesting and promising approach. In this paper we present a parallel formulation of the frequent subgraph mining problem to discover interesting patterns in molecular compounds. The application is characterized by a highly irregular tree-structured computation. No estimation is available for task workloads, which show a power-law distribution in a wide range. The proposed approach allows dynamic resource aggregation and provides fault and latency tolerance. These features make the distributed application suitable for multi-domain heterogeneous environments, such as computational Grids. The distributed application has been evaluated on the well known National Cancer Institute’s HIV-screening dataset.

Likelihood-based estimation of microsatellite mutation rates

Microsatellites are widely used in genetic analyses, many of which require reliable estimates of microsatellite mutation rates, yet the factors determining mutation rates are uncertain. The most straightforward and conclusive method by which to study mutation is direct observation of allele transmissions in parent-child pairs, and studies of this type suggest a positive, possibly exponential, relationship between mutation rate and allele size, together with a bias toward length increase. Except for microsatellites on the Y chromosome, however, previous analyses have not made full use of available data and may have introduced bias: mutations have been identified only where child genotypes could not be generated by transmission from parents' genotypes, so that the probability that a mutation is detected depends on the distribution of allele lengths and varies with allele length. We introduce a likelihood-based approach that has two key advantages over existing methods. First, we can make formal comparisons between competing models of microsatellite evolution; second, we obtain asymptotically unbiased and efficient parameter estimates. Application to data composed of 118,866 parent-offspring transmissions of AC microsatellites supports the hypothesis that mutation rate increases exponentially with microsatellite length, with a suggestion that contractions become more likely than expansions as length increases. This would lead to a stationary distribution for allele length maintained by mutational balance. There is no evidence that contractions and expansions differ in their step size distributions.