Gaussian Process training with input noise

In standard Gaussian Process regression input locations are assumed to be noise free. We present a simple yet effective GP model for training on input points corrupted by i.i.d. Gaussian noise. To make computations tractable we use a local linear expansion about each input point. This allows the input noise to be recast as output noise proportional to the squared gradient of the GP posterior mean. The input noise variances are inferred from the data as extra hyperparameters. They are trained alongside other hyperparameters by the usual method of maximisation of the marginal likelihood. Training uses an iterative scheme, which alternates between optimising the hyperparameters and calculating the posterior gradient. Analytic predictive moments can then be found for Gaussian distributed test points. We compare our model to others over a range of different regression problems and show that it improves over current methods.

Outage probability of the gaussian MIMO free-space optical channel with PPM

Atmospheric effects can significantly degrade the reliability of free-space optical communications. One such effect is scintillation, caused by atmospheric turbulence, refers to random fluctuations in the irradiance and phase of the received laser beam. In this paper we inv stigate the use of multiple lasers and multiple apertures to mitigate scintillation. Since the scintillation process is slow, we adopt a block fading channel model and study the outage probability under the assumptions of orthogonal pulse-position modulation and non-ideal photodetection. Assuming perfect receiver channel state information (CSI), we derive the signal-to-noise ratio (SNR) exponents for the cases when the scintillation is lognormal, exponential and gammagamma distributed, which cover a wide range of atmospheric turbulence conditions. Furthermore, when CSI is also available at the transmitter, we illustrate very large gains in SNR are possible (in some cases larger than 15 dB) by adapting the transmitted power. Under a long-term power constraint, we outline fundamental design criteria via a simple expression that relates the required number of lasers and apertures for a given code rate and number of codeword blocks to completely remove system outages. Copyright © 2009 IEEE.

State-space inference and learning with Gaussian processes

State-space inference and learning with Gaussian processes (GPs) is an unsolved problem. We propose a new, general methodology for inference and learning in nonlinear state-space models that are described probabilistically by non-parametric GP models. We apply the expectation maximization algorithm to iterate between inference in the latent state-space and learning the parameters of the underlying GP dynamics model. Copyright 2010 by the authors.

Robust filtering and smoothing with gaussian processes

We propose a principled algorithm for robust Bayesian filtering and smoothing in nonlinear stochastic dynamic systems when both the transition function and the measurement function are described by non-parametric Gaussian process (GP) models. GPs are gaining increasing importance in signal processing, machine learning, robotics, and control for representing unknown system functions by posterior probability distributions. This modern way of system identification is more robust than finding point estimates of a parametric function representation. Our principled filtering/smoothing approach for GP dynamic systems is based on analytic moment matching in the context of the forward-backward algorithm. Our numerical evaluations demonstrate the robustness of the proposed approach in situations where other state-of-the-art Gaussian filters and smoothers can fail. © 2011 IEEE.

The Gaussian mixture MCMC particle algorithm for dynamic cluster tracking

We present a novel filtering algorithm for tracking multiple clusters of coordinated objects. Based on a Markov chain Monte Carlo (MCMC) mechanism, the new algorithm propagates a discrete approximation of the underlying filtering density. A dynamic Gaussian mixture model is utilized for representing the time-varying clustering structure. This involves point process formulations of typical behavioral moves such as birth and death of clusters as well as merging and splitting. For handling complex, possibly large scale scenarios, the sampling efficiency of the basic MCMC scheme is enhanced via the use of a Metropolis within Gibbs particle refinement step. As the proposed methodology essentially involves random set representations, a new type of estimator, termed the probability hypothesis density surface (PHDS), is derived for computing point estimates. It is further proved that this estimator is optimal in the sense of the mean relative entropy. Finally, the algorithm's performance is assessed and demonstrated in both synthetic and realistic tracking scenarios. © 2012 Elsevier Ltd. All rights reserved.

Flux pumping, fluctuations and climbing fields

This paper describes the behaviour of bulk superconductors when subjected to a varying magnetic field. A magnetic model is described together with experimental results which explain and describe the behaviour of superconducting bulks when subjected to varying magnetic fields. We demonstrate how the behaviour is dependent on the magnitude and period of the perturbations in the fields. The model which we use has been implemented using the Comsol™pde solver. It is a fully integrated model which uses a variable heat source to regulate the magnetic circuit and thereby to achieve flux pumping. Comsol™is used for post solution visualization and the model is presented alongside experimental results which support and confirm the conclusions from the model. © 2012 IOP Publishing Ltd.

Precise description of the different far fields encountered in the problem of diffraction of acoustic waves by a quarter-plane

This paper provides a review of important results concerning the Geometrical Theory of Diffraction and Geometrical Optics. It also reviews the properties of the existing solution for the problem of diffraction of a time harmonic plane wave by a half-plane. New mathematical expressions are derived for the wave fields involved in the problem of diffraction of a time harmonic plane wave by a quarter-plane, including the secondary radiated waves. This leads to a precise representation of the diffraction coefficient describing the diffraction occurring at the corner of the quarter-plane. Our results for the secondary radiated waves are an important step towards finding a formula giving the corner diffraction coefficient everywhere. © 2012 The authors.

A backward-simulation based Rao-Blackwellized particle smoother for conditionally linear Gaussian models

In this article, we develop a new Rao-Blackwellized Monte Carlo smoothing algorithm for conditionally linear Gaussian models. The algorithm is based on the forward-filtering backward-simulation Monte Carlo smoother concept and performs the backward simulation directly in the marginal space of the non-Gaussian state component while treating the linear part analytically. Unlike the previously proposed backward-simulation based Rao-Blackwellized smoothing approaches, it does not require sampling of the Gaussian state component and is also able to overcome certain normalization problems of two-filter smoother based approaches. The performance of the algorithm is illustrated in a simulated application. © 2012 IFAC.

Linear gaussian computations for near-exact Bayesian Monte Carlo inference in skewed alpha-stable time series models

In this paper we study parameter estimation for time series with asymmetric α-stable innovations. The proposed methods use a Poisson sum series representation (PSSR) for the asymmetric α-stable noise to express the process in a conditionally Gaussian framework. That allows us to implement Bayesian parameter estimation using Markov chain Monte Carlo (MCMC) methods. We further enhance the series representation by introducing a novel approximation of the series residual terms in which we are able to characterise the mean and variance of the approximation. Simulations illustrate the proposed framework applied to linear time series, estimating the model parameter values and model order P for an autoregressive (AR(P)) model driven by asymmetric α-stable innovations. © 2012 IEEE.

Sensor data scheduling for linear quadratic Gaussian control with full state feedback

Networked control systems (NCSs) have attracted much attention in the past decade due to their many advantages and growing number of applications. Different than classic control systems, resources in NCSs, such as network bandwidth and communication energy, are often limited, which degrade the closed-loop system performance and may even cause the system to become unstable. Seeking a desired trade-off between the closed-loop system performance and the limited resources is thus one heated area of research. In this paper, we analyze the trade-off between the sensor-to-controller communication rate and the closed-loop system performance indexed by the conventional LQG control cost. We present and compare several sensor data schedules, and demonstrate that two event-based sensor data schedules provide better trade-off than an optimal offline schedule. Simulation examples are provided to illustrate the theories developed in the paper. © 2012 AACC American Automatic Control Council).

Bayesian non-parametrics and the probabilistic approach to modelling.

Modelling is fundamental to many fields of science and engineering. A model can be thought of as a representation of possible data one could predict from a system. The probabilistic approach to modelling uses probability theory to express all aspects of uncertainty in the model. The probabilistic approach is synonymous with Bayesian modelling, which simply uses the rules of probability theory in order to make predictions, compare alternative models, and learn model parameters and structure from data. This simple and elegant framework is most powerful when coupled with flexible probabilistic models. Flexibility is achieved through the use of Bayesian non-parametrics. This article provides an overview of probabilistic modelling and an accessible survey of some of the main tools in Bayesian non-parametrics. The survey covers the use of Bayesian non-parametrics for modelling unknown functions, density estimation, clustering, time-series modelling, and representing sparsity, hierarchies, and covariance structure. More specifically, it gives brief non-technical overviews of Gaussian processes, Dirichlet processes, infinite hidden Markov models, Indian buffet processes, Kingman's coalescent, Dirichlet diffusion trees and Wishart processes.

Gaussian Approximation Potential: an interatomic potential derived from first principles Quantum Mechanics

Simulation of materials at the atomistic level is an important tool in studying microscopic structure and processes. The atomic interactions necessary for the simulation are correctly described by Quantum Mechanics. However, the computational resources required to solve the quantum mechanical equations limits the use of Quantum Mechanics at most to a few hundreds of atoms and only to a small fraction of the available configurational space. This thesis presents the results of my research on the development of a new interatomic potential generation scheme, which we refer to as Gaussian Approximation Potentials. In our framework, the quantum mechanical potential energy surface is interpolated between a set of predetermined values at different points in atomic configurational space by a non-linear, non-parametric regression method, the Gaussian Process. To perform the fitting, we represent the atomic environments by the bispectrum, which is invariant to permutations of the atoms in the neighbourhood and to global rotations. The result is a general scheme, that allows one to generate interatomic potentials based on arbitrary quantum mechanical data. We built a series of Gaussian Approximation Potentials using data obtained from Density Functional Theory and tested the capabilities of the method. We showed that our models reproduce the quantum mechanical potential energy surface remarkably well for the group IV semiconductors, iron and gallium nitride. Our potentials, while maintaining quantum mechanical accuracy, are several orders of magnitude faster than Quantum Mechanical methods.