Modelling Multi-Object Activity by Gaussian Processes 1
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Multivariate Poisson Hidden Markov Models for Analysis of Spatial Counts
View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by University of Saskatchewan's Research Archive MULTIVARIATE POISSON HIDDEN MARKOV MODELS FOR ANALYSIS OF SPATIAL COUNTS A Thesis Submitted to the Faculty of Graduate Studies and Research in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy in the Department of Mathematics and Statistics University of Saskatchewan, Saskatoon, SK, Canada by Chandima Piyadharshani Karunanayake @Copyright Chandima Piyadharshani Karunanayake, June 2007. All rights Reserved. PERMISSION TO USE The author has agreed that the libraries of this University may provide the thesis freely available for inspection. Moreover, the author has agreed that permission for copying of the thesis in any manner, entirely or in part, for scholarly purposes may be granted by the Professor or Professors who supervised my thesis work or in their absence, by the Head of the Department of Mathematics and Statistics or the Dean of the College in which the thesis work was done. It is understood that any copying or publication or use of the thesis or parts thereof for finanancial gain shall not be allowed without my written permission. It is also understood that due recognition shall be given to the author and to the University of Saskatchewan in any scholarly use which may be made of any material in this thesis. Requests for permission to copy or to make other use of any material in the thesis should be addressed to: Head Department of Mathematics and Statistics University of Saskatchewan 106, Wiggins Road Saskatoon, Saskatchewan Canada, S7N 5E6 i ABSTRACT Multivariate count data are found in a variety of fields. -
Scalable Nonparametric Bayesian Inference on Point Processes with Gaussian Processes
Scalable Nonparametric Bayesian Inference on Point Processes with Gaussian Processes Yves-Laurent Kom Samo [email protected] Stephen Roberts [email protected] Deparment of Engineering Science and Oxford-Man Institute, University of Oxford Abstract 2. Related Work In this paper we propose an efficient, scalable Non-parametric inference on point processes has been ex- non-parametric Gaussian process model for in- tensively studied in the literature. Rathbum & Cressie ference on Poisson point processes. Our model (1994) and Moeller et al. (1998) used a finite-dimensional does not resort to gridding the domain or to intro- piecewise constant log-Gaussian for the intensity function. ducing latent thinning points. Unlike competing Such approximations are limited in that the choice of the 3 models that scale as O(n ) over n data points, grid on which to represent the intensity function is arbitrary 2 our model has a complexity O(nk ) where k and one has to trade-off precision with computational com- n. We propose a MCMC sampler and show that plexity and numerical accuracy, with the complexity being the model obtained is faster, more accurate and cubic in the precision and exponential in the dimension of generates less correlated samples than competing the input space. Kottas (2006) and Kottas & Sanso (2007) approaches on both synthetic and real-life data. used a Dirichlet process mixture of Beta distributions as Finally, we show that our model easily handles prior for the normalised intensity function of a Poisson data sizes not considered thus far by alternate ap- process. Cunningham et al. -
Regime Heteroskedasticity in Bitcoin: a Comparison of Markov Switching Models
Munich Personal RePEc Archive Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models Chappell, Daniel Birkbeck College, University of London 28 September 2018 Online at https://mpra.ub.uni-muenchen.de/90682/ MPRA Paper No. 90682, posted 24 Dec 2018 06:38 UTC Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models Daniel R. Chappell Department of Economics, Mathematics and Statistics Birkbeck College, University of London [email protected] 28th September 2018 Abstract Markov regime-switching (MRS) models, also known as hidden Markov models (HMM), are used extensively to account for regime heteroskedasticity within the returns of financial assets. However, we believe this paper to be one of the first to apply such methodology to the time series of cryptocurrencies. In light of Moln´arand Thies (2018) demonstrating that the price data of Bitcoin contained seven distinct volatility regimes, we will fit a sample of Bitcoin returns with six m-state MRS estimations, with m ∈ {2,..., 7}. Our aim is to identify the optimal number of states for modelling the regime heteroskedasticity in the price data of Bitcoin. Goodness-of-fit will be judged using three information criteria, namely: Bayesian (BIC); Hannan-Quinn (HQ); and Akaike (AIC). We determined that the restricted 5-state model generated the optimal estima- tion for the sample. In addition, we found evidence of volatility clustering, volatility jumps and asymmetric volatility transitions whilst also inferring the persistence of shocks in the price data of Bitcoin. Keywords Bitcoin; Markov regime-switching; regime heteroskedasticity; volatility transitions. 1 2 List of Tables Table 1. Summary statistics for Bitcoin (23rd April 2014 to 31st May 2018) . -
12 : Conditional Random Fields 1 Hidden Markov Model
10-708: Probabilistic Graphical Models 10-708, Spring 2014 12 : Conditional Random Fields Lecturer: Eric P. Xing Scribes: Qin Gao, Siheng Chen 1 Hidden Markov Model 1.1 General parametric form In hidden Markov model (HMM), we have three sets of parameters, j i transition probability matrix A : p(yt = 1jyt−1 = 1) = ai;j; initialprobabilities : p(y1) ∼ Multinomial(π1; π2; :::; πM ); i emission probabilities : p(xtjyt) ∼ Multinomial(bi;1; bi;2; :::; bi;K ): 1.2 Inference k k The inference can be done with forward algorithm which computes αt ≡ µt−1!t(k) = P (x1; :::; xt−1; xt; yt = 1) recursively by k k X i αt = p(xtjyt = 1) αt−1ai;k; (1) i k k and the backward algorithm which computes βt ≡ µt t+1(k) = P (xt+1; :::; xT jyt = 1) recursively by k X i i βt = ak;ip(xt+1jyt+1 = 1)βt+1: (2) i Another key quantity is the conditional probability of any hidden state given the entire sequence, which can be computed by the dot product of forward message and backward message by, i i i i X i;j γt = p(yt = 1jx1:T ) / αtβt = ξt ; (3) j where we define, i;j i j ξt = p(yt = 1; yt−1 = 1; x1:T ); i j / µt−1!t(yt = 1)µt t+1(yt+1 = 1)p(xt+1jyt+1)p(yt+1jyt); i j i = αtβt+1ai;jp(xt+1jyt+1 = 1): The implementation in Matlab can be vectorized by using, i Bt(i) = p(xtjyt = 1); j i A(i; j) = p(yt+1 = 1jyt = 1): 1 2 12 : Conditional Random Fields The relation of those quantities can be simply written in pseudocode as, T αt = (A αt−1): ∗ Bt; βt = A(βt+1: ∗ Bt+1); T ξt = (αt(βt+1: ∗ Bt+1) ): ∗ A; γt = αt: ∗ βt: 1.3 Learning 1.3.1 Supervised Learning The supervised learning is trivial if only we know the true state path. -
Deep Neural Networks As Gaussian Processes
Published as a conference paper at ICLR 2018 DEEP NEURAL NETWORKS AS GAUSSIAN PROCESSES Jaehoon Lee∗y, Yasaman Bahri∗y, Roman Novak , Samuel S. Schoenholz, Jeffrey Pennington, Jascha Sohl-Dickstein Google Brain fjaehlee, yasamanb, romann, schsam, jpennin, [email protected] ABSTRACT It has long been known that a single-layer fully-connected neural network with an i.i.d. prior over its parameters is equivalent to a Gaussian process (GP), in the limit of infinite network width. This correspondence enables exact Bayesian inference for infinite width neural networks on regression tasks by means of evaluating the corresponding GP. Recently, kernel functions which mimic multi-layer random neural networks have been developed, but only outside of a Bayesian framework. As such, previous work has not identified that these kernels can be used as co- variance functions for GPs and allow fully Bayesian prediction with a deep neural network. In this work, we derive the exact equivalence between infinitely wide deep net- works and GPs. We further develop a computationally efficient pipeline to com- pute the covariance function for these GPs. We then use the resulting GPs to per- form Bayesian inference for wide deep neural networks on MNIST and CIFAR- 10. We observe that trained neural network accuracy approaches that of the corre- sponding GP with increasing layer width, and that the GP uncertainty is strongly correlated with trained network prediction error. We further find that test perfor- mance increases as finite-width trained networks are made wider and more similar to a GP, and thus that GP predictions typically outperform those of finite-width networks. -
Ergodicity, Decisions, and Partial Information
Ergodicity, Decisions, and Partial Information Ramon van Handel Abstract In the simplest sequential decision problem for an ergodic stochastic pro- cess X, at each time n a decision un is made as a function of past observations X0,...,Xn 1, and a loss l(un,Xn) is incurred. In this setting, it is known that one may choose− (under a mild integrability assumption) a decision strategy whose path- wise time-average loss is asymptotically smaller than that of any other strategy. The corresponding problem in the case of partial information proves to be much more delicate, however: if the process X is not observable, but decisions must be based on the observation of a different process Y, the existence of pathwise optimal strategies is not guaranteed. The aim of this paper is to exhibit connections between pathwise optimal strategies and notions from ergodic theory. The sequential decision problem is developed in the general setting of an ergodic dynamical system (Ω,B,P,T) with partial information Y B. The existence of pathwise optimal strategies grounded in ⊆ two basic properties: the conditional ergodic theory of the dynamical system, and the complexity of the loss function. When the loss function is not too complex, a gen- eral sufficient condition for the existence of pathwise optimal strategies is that the dynamical system is a conditional K-automorphism relative to the past observations n n 0 T Y. If the conditional ergodicity assumption is strengthened, the complexity assumption≥ can be weakened. Several examples demonstrate the interplay between complexity and ergodicity, which does not arise in the case of full information. -
Particle Gibbs for Infinite Hidden Markov Models
Particle Gibbs for Infinite Hidden Markov Models Nilesh Tripuraneni* Shixiang Gu* Hong Ge University of Cambridge University of Cambridge University of Cambridge [email protected] MPI for Intelligent Systems [email protected] [email protected] Zoubin Ghahramani University of Cambridge [email protected] Abstract Infinite Hidden Markov Models (iHMM’s) are an attractive, nonparametric gener- alization of the classical Hidden Markov Model which can automatically infer the number of hidden states in the system. However, due to the infinite-dimensional nature of the transition dynamics, performing inference in the iHMM is difficult. In this paper, we present an infinite-state Particle Gibbs (PG) algorithm to re- sample state trajectories for the iHMM. The proposed algorithm uses an efficient proposal optimized for iHMMs and leverages ancestor sampling to improve the mixing of the standard PG algorithm. Our algorithm demonstrates significant con- vergence improvements on synthetic and real world data sets. 1 Introduction Hidden Markov Models (HMM’s) are among the most widely adopted latent-variable models used to model time-series datasets in the statistics and machine learning communities. They have also been successfully applied in a variety of domains including genomics, language, and finance where sequential data naturally arises [Rabiner, 1989; Bishop, 2006]. One possible disadvantage of the finite-state space HMM framework is that one must a-priori spec- ify the number of latent states K. Standard model selection techniques can be applied to the fi- nite state-space HMM but bear a high computational overhead since they require the repetitive trainingexploration of many HMM’s of different sizes. -
Hidden Markov Models (Particle Filtering)
CSE 473: Artificial Intelligence Spring 2014 Hidden Markov Models & Particle Filtering Hanna Hajishirzi Many slides adapted from Dan Weld, Pieter Abbeel, Dan Klein, Stuart Russell, Andrew Moore & Luke Zettlemoyer 1 Outline § Probabilistic sequence models (and inference) § Probability and Uncertainty – Preview § Markov Chains § Hidden Markov Models § Exact Inference § Particle Filters § Applications Example § A robot move in a discrete grid § May fail to move in the desired direction with some probability § Observation from noisy sensor at each time § Is a function of robot position § Goal: Find the robot position (probability that a robot is at a specific position) § Cannot always compute this probability exactly è Approximation methods Here: Approximate a distribution by sampling 3 Hidden Markov Model § State Space Model § Hidden states: Modeled as a Markov Process P(x0), P(xk | xk-1) § Observations: ek P(ek | xk) Position of the robot P(x1|x0) x x x 0 1 … n Observed position from P(e |x ) 0 0 the sensor y0 y1 yn 4 Exact Solution: Forward Algorithm § Filtering is the inference process of finding a distribution over XT given e1 through eT : P( XT | e1:t ) § We first compute P( X1 | e1 ): § For each t from 2 to T, we have P( Xt-1 | e1:t-1 ) § Elapse time: compute P( Xt | e1:t-1 ) § Observe: compute P(Xt | e1:t-1 , et) = P( Xt | e1:t ) Approximate Inference: § Sometimes |X| is too big for exact inference § |X| may be too big to even store B(X) § E.g. when X is continuous § |X|2 may be too big to do updates § Solution: approximate inference by sampling § How robot localization works in practice 6 What is Sampling? § Goal: Approximate the original distribution: § Approximate with Gaussian distribution § Draw samples from a distribution close enough to the original distribution § Here: A general framework for a sampling method 7 Approximate Solution: Perfect Sampling Robot path till time n 1 Time 1 Time n Assume we can sample Particle 1 x0:n from the original distribution . -
Gaussian Process Dynamical Models for Human Motion
IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE, VOL. 30, NO. 2, FEBRUARY 2008 283 Gaussian Process Dynamical Models for Human Motion Jack M. Wang, David J. Fleet, Senior Member, IEEE, and Aaron Hertzmann, Member, IEEE Abstract—We introduce Gaussian process dynamical models (GPDMs) for nonlinear time series analysis, with applications to learning models of human pose and motion from high-dimensional motion capture data. A GPDM is a latent variable model. It comprises a low- dimensional latent space with associated dynamics, as well as a map from the latent space to an observation space. We marginalize out the model parameters in closed form by using Gaussian process priors for both the dynamical and the observation mappings. This results in a nonparametric model for dynamical systems that accounts for uncertainty in the model. We demonstrate the approach and compare four learning algorithms on human motion capture data, in which each pose is 50-dimensional. Despite the use of small data sets, the GPDM learns an effective representation of the nonlinear dynamics in these spaces. Index Terms—Machine learning, motion, tracking, animation, stochastic processes, time series analysis. Ç 1INTRODUCTION OOD statistical models for human motion are important models such as hidden Markov model (HMM) and linear Gfor many applications in vision and graphics, notably dynamical systems (LDS) are efficient and easily learned visual tracking, activity recognition, and computer anima- but limited in their expressiveness for complex motions. tion. It is well known in computer vision that the estimation More expressive models such as switching linear dynamical of 3D human motion from a monocular video sequence is systems (SLDS) and nonlinear dynamical systems (NLDS), highly ambiguous. -
Hierarchical Dirichlet Process Hidden Markov Model for Unsupervised Bioacoustic Analysis
Hierarchical Dirichlet Process Hidden Markov Model for Unsupervised Bioacoustic Analysis Marius Bartcus, Faicel Chamroukhi, Herve Glotin Abstract-Hidden Markov Models (HMMs) are one of the the standard HDP-HMM Gibbs sampling has the limitation most popular and successful models in statistics and machine of an inadequate modeling of the temporal persistence of learning for modeling sequential data. However, one main issue states [9]. This problem has been addressed in [9] by relying in HMMs is the one of choosing the number of hidden states. on a sticky extension which allows a more robust learning. The Hierarchical Dirichlet Process (HDP)-HMM is a Bayesian Other solutions for the inference of the hidden Markov non-parametric alternative for standard HMMs that offers a model in this infinite state space models are using the Beam principled way to tackle this challenging problem by relying sampling [lO] rather than Gibbs sampling. on a Hierarchical Dirichlet Process (HDP) prior. We investigate the HDP-HMM in a challenging problem of unsupervised We investigate the BNP formulation for the HMM, that is learning from bioacoustic data by using Markov-Chain Monte the HDP-HMM into a challenging problem of unsupervised Carlo (MCMC) sampling techniques, namely the Gibbs sampler. learning from bioacoustic data. The problem consists of We consider a real problem of fully unsupervised humpback extracting and classifying, in a fully unsupervised way, whale song decomposition. It consists in simultaneously finding the structure of hidden whale song units, and automatically unknown number of whale song units. We use the Gibbs inferring the unknown number of the hidden units from the Mel sampler to infer the HDP-HMM from the bioacoustic data. -
Financial Time Series Volatility Analysis Using Gaussian Process State-Space Models
Financial Time Series Volatility Analysis Using Gaussian Process State-Space Models by Jianan Han Bachelor of Engineering, Hebei Normal University, China, 2010 A thesis presented to Ryerson University in partial fulfillment of the requirements for the degree of Master of Applied Science in the Program of Electrical and Computer Engineering Toronto, Ontario, Canada, 2015 c Jianan Han 2015 AUTHOR'S DECLARATION FOR ELECTRONIC SUBMISSION OF A THESIS I hereby declare that I am the sole author of this thesis. This is a true copy of the thesis, including any required final revisions, as accepted by my examiners. I authorize Ryerson University to lend this thesis to other institutions or individuals for the purpose of scholarly research. I further authorize Ryerson University to reproduce this thesis by photocopying or by other means, in total or in part, at the request of other institutions or individuals for the purpose of scholarly research. I understand that my dissertation may be made electronically available to the public. ii Financial Time Series Volatility Analysis Using Gaussian Process State-Space Models Master of Applied Science 2015 Jianan Han Electrical and Computer Engineering Ryerson University Abstract In this thesis, we propose a novel nonparametric modeling framework for financial time series data analysis, and we apply the framework to the problem of time varying volatility modeling. Existing parametric models have a rigid transition function form and they often have over-fitting problems when model parameters are estimated using maximum likelihood methods. These drawbacks effect the models' forecast performance. To solve this problem, we take Bayesian nonparametric modeling approach. -
Gaussian-Random-Process.Pdf
The Gaussian Random Process Perhaps the most important continuous state-space random process in communications systems in the Gaussian random process, which, we shall see is very similar to, and shares many properties with the jointly Gaussian random variable that we studied previously (see lecture notes and chapter-4). X(t); t 2 T is a Gaussian r.p., if, for any positive integer n, any choice of coefficients ak; 1 k n; and any choice ≤ ≤ of sample time tk ; 1 k n; the random variable given by the following weighted sum of random variables is Gaussian:2 T ≤ ≤ X(t) = a1X(t1) + a2X(t2) + ::: + anX(tn) using vector notation we can express this as follows: X(t) = [X(t1);X(t2);:::;X(tn)] which, according to our study of jointly Gaussian r.v.s is an n-dimensional Gaussian r.v.. Hence, its pdf is known since we know the pdf of a jointly Gaussian random variable. For the random process, however, there is also the nasty little parameter t to worry about!! The best way to see the connection to the Gaussian random variable and understand the pdf of a random process is by example: Example: Determining the Distribution of a Gaussian Process Consider a continuous time random variable X(t); t with continuous state-space (in this case amplitude) defined by the following expression: 2 R X(t) = Y1 + tY2 where, Y1 and Y2 are independent Gaussian distributed random variables with zero mean and variance 2 2 σ : Y1;Y2 N(0; σ ). The problem is to find the one and two dimensional probability density functions of the random! process X(t): The one-dimensional distribution of a random process, also known as the univariate distribution is denoted by the notation FX;1(u; t) and defined as: P r X(t) u .