arXiv subjects

Fredrik Lindsten

Publications and source records attributed to Fredrik Lindsten.

At least 73 records · Page 4Linked to original sources

arXiv2017

Learning nonlinear state-space models using smooth particle-filter-based likelihood approximations

When classical particle filtering algorithms are used for maximum likelihood parameter estimation in nonlinear state-space models, a key challenge is that estimates of the likelihood function and its derivatives are inherently noisy. The key idea in this paper is to run a particle filter based on a current parameter estimate, but then use the output from this particle filter to re-evaluate the likelihood function approximation also for other parameter values. This results in a (local) deterministic approximation of the likelihood and any standard optimization routine can be applied to find the maximum of this local approximation. By iterating this procedure we eventually arrive at a final parameter estimate.

stat.CO↗

arXiv2017

Distributed, scalable and gossip-free consensus optimization with application to data analysis

Distributed algorithms for solving additive or consensus optimization problems commonly rely on first-order or proximal splitting methods. These algorithms generally come with restrictive assumptions and at best enjoy a linear convergence rate. Hence, they can require many iterations or communications among agents to converge. In many cases, however, we do not seek a highly accurate solution for consensus problems. Based on this we propose a controlled relaxation of the coupling in the problem which allows us to compute an approximate solution, where the accuracy of the approximation can be controlled by the level of relaxation. The relaxed problem can be efficiently solved in a distributed way using a combination of primal-dual interior-point methods (PDIPMs) and message-passing. This algorithm purely relies on second-order methods and thus requires far fewer iterations and communications to converge. This is illustrated in numerical experiments, showing its superior performance compared to existing methods.

math.OC↗

arXiv2017

Interacting Particle Markov Chain Monte Carlo

We introduce interacting particle Markov chain Monte Carlo (iPMCMC), a PMCMC method based on an interacting pool of standard and conditional sequential Monte Carlo samplers. Like related methods, iPMCMC is a Markov chain Monte Carlo sampler on an extended space. We present empirical results that show significant improvements in mixing rates relative to both non-interacting PMCMC samplers, and a single PMCMC sampler with an equivalent memory and computational budget. An additional advantage of the iPMCMC method is that it is suitable for distributed and multi-core architectures.

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arXiv2016

High-dimensional Filtering using Nested Sequential Monte Carlo

Sequential Monte Carlo (SMC) methods comprise one of the most successful approaches to approximate Bayesian filtering. However, SMC without good proposal distributions struggle in high dimensions. We propose nested sequential Monte Carlo (NSMC), a methodology that generalises the SMC framework by requiring only approximate, properly weighted, samples from the SMC proposal distribution, while still resulting in a correct SMC algorithm. This way we can exactly approximate the locally optimal proposal, and extend the class of models for which we can perform efficient inference using SMC. We show improved accuracy over other state-of-the-art methods on several spatio-temporal state space models.

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arXiv2016

Coupling of Particle Filters

Particle filters provide Monte Carlo approximations of intractable quantities such as point-wise evaluations of the likelihood in state space models. In many scenarios, the interest lies in the comparison of these quantities as some parameter or input varies. To facilitate such comparisons, we introduce and study methods to couple two particle filters in such a way that the correlation between the two underlying particle systems is increased. The motivation stems from the classic variance reduction technique of positively correlating two estimators. The key challenge in constructing such a coupling stems from the discontinuity of the resampling step of the particle filter. As our first contribution, we consider coupled resampling algorithms. Within bootstrap particle filters, they improve the precision of finite-difference estimators of the score vector and boost the performance of particle marginal Metropolis--Hastings algorithms for parameter inference. The second contribution arises from the use of these coupled resampling schemes within conditional particle filters, allowing for unbiased estimators of smoothing functionals. The result is a new smoothing strategy that operates by averaging a number of independent and unbiased estimators, which allows for 1) straightforward parallelization and 2) the construction of accurate error estimates. Neither of the above is possible with existing particle smoothers.

stat.ME↗

arXiv2016

Sequential Monte Carlo Methods for System Identification

One of the key challenges in identifying nonlinear and possibly non-Gaussian state space models (SSMs) is the intractability of estimating the system state. Sequential Monte Carlo (SMC) methods, such as the particle filter (introduced more than two decades ago), provide numerical solutions to the nonlinear state estimation problems arising in SSMs. When combined with additional identification techniques, these algorithms provide solid solutions to the nonlinear system identification problem. We describe two general strategies for creating such combinations and discuss why SMC is a natural tool for implementing these strategies.

stat.CO↗

arXiv2015

Accelerating pseudo-marginal Metropolis-Hastings by correlating auxiliary variables

Pseudo-marginal Metropolis-Hastings (pmMH) is a powerful method for Bayesian inference in models where the posterior distribution is analytical intractable or computationally costly to evaluate directly. It operates by introducing additional auxiliary variables into the model and form an extended target distribution, which then can be evaluated point-wise. In many cases, the standard Metropolis-Hastings is then applied to sample from the extended target and the sought posterior can be obtained by marginalisation. However, in some implementations this approach suffers from poor mixing as the auxiliary variables are sampled from an independent proposal. We propose a modification to the pmMH algorithm in which a Crank-Nicolson (CN) proposal is used instead. This results in that we introduce a positive correlation in the auxiliary variables. We investigate how to tune the CN proposal and its impact on the mixing of the resulting pmMH sampler. The conclusion is that the proposed modification can have a beneficial effect on both the mixing of the Markov chain and the computational cost for each iteration of the pmMH algorithm.

stat.CO↗

arXiv2015

Blocking Strategies and Stability of Particle Gibbs Samplers

Sampling from the conditional (or posterior) probability distribution of the latent states of a Hidden Markov Model, given the realization of the observed process, is a non-trivial problem in the context of Markov Chain Monte Carlo. To do this Andrieu et al. (2010) constructed a Markov kernel which leaves this conditional distribution invariant using a Particle Filter. From a practitioner's point of view, this Markov kernel attempts to mimic the act of sampling all the latent state variables as one block from the posterior distribution but for models where exact simulation is not possible. There are some recent theoretical results that establish the uniform ergodicity of this Markov kernel and that the mixing rate does not diminish provided the number of particles grows at least linearly with the number of latent states in the posterior. This gives rise to a cost, per application of the kernel, that is quadratic in the number of latent states which could be prohibitive for long observation sequences. We seek to answer an obvious but important question: is there a different implementation with a cost per-iteration that grows linearly with the number of latent states, but which is still stable in the sense that its mixing rate does not deteriorate? We address this problem using blocking strategies, which are easily parallelizable, and prove stability of the resulting sampler.

math.ST↗

arXiv2015

Nested Sequential Monte Carlo Methods

We propose nested sequential Monte Carlo (NSMC), a methodology to sample from sequences of probability distributions, even where the random variables are high-dimensional. NSMC generalises the SMC framework by requiring only approximate, properly weighted, samples from the SMC proposal distribution, while still resulting in a correct SMC algorithm. Furthermore, NSMC can in itself be used to produce such properly weighted samples. Consequently, one NSMC sampler can be used to construct an efficient high-dimensional proposal distribution for another NSMC sampler, and this nesting of the algorithm can be done to an arbitrary degree. This allows us to consider complex and high-dimensional models using SMC. We show results that motivate the efficacy of our approach on several filtering problems with dimensions in the order of 100 to 1 000.

stat.CO↗

arXiv2015

Quasi-Newton particle Metropolis-Hastings

Particle Metropolis-Hastings enables Bayesian parameter inference in general nonlinear state space models (SSMs). However, in many implementations a random walk proposal is used and this can result in poor mixing if not tuned correctly using tedious pilot runs. Therefore, we consider a new proposal inspired by quasi-Newton algorithms that may achieve similar (or better) mixing with less tuning. An advantage compared to other Hessian based proposals, is that it only requires estimates of the gradient of the log-posterior. A possible application is parameter inference in the challenging class of SSMs with intractable likelihoods. We exemplify this application and the benefits of the new proposal by modelling log-returns of future contracts on coffee by a stochastic volatility model with $α$-stable observations.

stat.CO↗

arXiv2015

Divide-and-Conquer with Sequential Monte Carlo

We propose a novel class of Sequential Monte Carlo (SMC) algorithms, appropriate for inference in probabilistic graphical models. This class of algorithms adopts a divide-and-conquer approach based upon an auxiliary tree-structured decomposition of the model of interest, turning the overall inferential task into a collection of recursively solved sub-problems. The proposed method is applicable to a broad class of probabilistic graphical models, including models with loops. Unlike a standard SMC sampler, the proposed Divide-and-Conquer SMC employs multiple independent populations of weighted particles, which are resampled, merged, and propagated as the method progresses. We illustrate empirically that this approach can outperform standard methods in terms of the accuracy of the posterior expectation and marginal likelihood approximations. Divide-and-Conquer SMC also opens up novel parallel implementation options and the possibility of concentrating the computational effort on the most challenging sub-problems. We demonstrate its performance on a Markov random field and on a hierarchical logistic regression problem.

stat.CO↗

arXiv2015

Particle ancestor sampling for near-degenerate or intractable state transition models

We consider Bayesian inference in sequential latent variable models in general, and in nonlinear state space models in particular (i.e., state smoothing). We work with sequential Monte Carlo (SMC) algorithms, which provide a powerful inference framework for addressing this problem. However, for certain challenging and common model classes the state-of-the-art algorithms still struggle. The work is motivated in particular by two such model classes: (i) models where the state transition kernel is (nearly) degenerate, i.e. (nearly) concentrated on a low-dimensional manifold, and (ii) models where point-wise evaluation of the state transition density is intractable. Both types of models arise in many applications of interest, including tracking, epidemiology, and econometrics. The difficulties with these types of models is that they essentially rule out forward-backward-based methods, which are known to be of great practical importance, not least to construct computationally efficient particle Markov chain Monte Carlo (PMCMC) algorithms. To alleviate this, we propose a "particle rejuvenation" technique to enable the use of the forward-backward strategy for (nearly) degenerate models and, by extension, for intractable models. We derive the proposed method specifically within the context of PMCMC, but we emphasise that it is applicable to any forward-backward-based Monte Carlo method.

stat.CO↗

arXiv2015

Rao-Blackwellized particle smoothers for conditionally linear Gaussian models

Sequential Monte Carlo (SMC) methods, such as the particle filter, are by now one of the standard computational techniques for addressing the filtering problem in general state-space models. However, many applications require post-processing of data offline. In such scenarios the smoothing problem--in which all the available data is used to compute state estimates--is of central interest. We consider the smoothing problem for a class of conditionally linear Gaussian models. We present a forward-backward-type Rao-Blackwellized particle smoother (RBPS) that is able to exploit the tractable substructure present in these models. Akin to the well known Rao-Blackwellized particle filter, the proposed RBPS marginalizes out a conditionally tractable subset of state variables, effectively making use of SMC only for the "intractable part" of the model. Compared to existing RBPS, two key features of the proposed method are: (i) it does not require structural approximations of the model, and (ii) the aforementioned marginalization is done both in the forward direction and in the backward direction.

stat.CO↗

arXiv2015

Sequential Kernel Herding: Frank-Wolfe Optimization for Particle Filtering

Recently, the Frank-Wolfe optimization algorithm was suggested as a procedure to obtain adaptive quadrature rules for integrals of functions in a reproducing kernel Hilbert space (RKHS) with a potentially faster rate of convergence than Monte Carlo integration (and "kernel herding" was shown to be a special case of this procedure). In this paper, we propose to replace the random sampling step in a particle filter by Frank-Wolfe optimization. By optimizing the position of the particles, we can obtain better accuracy than random or quasi-Monte Carlo sampling. In applications where the evaluation of the emission probabilities is expensive (such as in robot localization), the additional computational cost to generate the particles through optimization can be justified. Experiments on standard synthetic examples as well as on a robot localization task indicate indeed an improvement of accuracy over random and quasi-Monte Carlo sampling.

stat.ML↗

arXiv2014

Sequential Monte Carlo for Graphical Models

We propose a new framework for how to use sequential Monte Carlo (SMC) algorithms for inference in probabilistic graphical models (PGM). Via a sequential decomposition of the PGM we find a sequence of auxiliary distributions defined on a monotonically increasing sequence of probability spaces. By targeting these auxiliary distributions using SMC we are able to approximate the full joint distribution defined by the PGM. One of the key merits of the SMC sampler is that it provides an unbiased estimate of the partition function of the model. We also show how it can be used within a particle Markov chain Monte Carlo framework in order to construct high-dimensional block-sampling algorithms for general PGMs.

stat.ME↗

arXiv2014

Identification of jump Markov linear models using particle filters

Jump Markov linear models consists of a finite number of linear state space models and a discrete variable encoding the jumps (or switches) between the different linear models. Identifying jump Markov linear models makes for a challenging problem lacking an analytical solution. We derive a new expectation maximization (EM) type algorithm that produce maximum likelihood estimates of the model parameters. Our development hinges upon recent progress in combining particle filters with Markov chain Monte Carlo methods in solving the nonlinear state smoothing problem inherent in the EM formulation. Key to our development is that we exploit a conditionally linear Gaussian substructure in the model, allowing for an efficient algorithm.

stat.CO↗

arXiv2014

Particle Metropolis-Hastings using gradient and Hessian information

Particle Metropolis-Hastings (PMH) allows for Bayesian parameter inference in nonlinear state space models by combining Markov chain Monte Carlo (MCMC) and particle filtering. The latter is used to estimate the intractable likelihood. In its original formulation, PMH makes use of a marginal MCMC proposal for the parameters, typically a Gaussian random walk. However, this can lead to a poor exploration of the parameter space and an inefficient use of the generated particles. We propose a number of alternative versions of PMH that incorporate gradient and Hessian information about the posterior into the proposal. This information is more or less obtained as a byproduct of the likelihood estimation. Indeed, we show how to estimate the required information using a fixed-lag particle smoother, with a computational cost growing linearly in the number of particles. We conclude that the proposed methods can: (i) decrease the length of the burn-in phase, (ii) increase the mixing of the Markov chain at the stationary phase, and (iii) make the proposal distribution scale invariant which simplifies tuning.

stat.CO↗

arXiv2014

Capacity estimation of two-dimensional channels using Sequential Monte Carlo

We derive a new Sequential-Monte-Carlo-based algorithm to estimate the capacity of two-dimensional channel models. The focus is on computing the noiseless capacity of the 2-D one-infinity run-length limited constrained channel, but the underlying idea is generally applicable. The proposed algorithm is profiled against a state-of-the-art method, yielding more than an order of magnitude improvement in estimation accuracy for a given computation time.

cs.IT↗