Related papers: Improving Linear State-Space Models with Additiona…

We study the class of state-space models and perform maximum likelihood estimation for the model parameters. We consider a stochastic approximation expectation-maximization (SAEM) algorithm to maximize the likelihood function with the…

The requirement to generate robust robotic platforms is a critical enabling step to allow such platforms to permeate safety-critical applications (i.e., the localization of autonomous platforms in urban environments). One of the primary…

The rise of parallel computing hardware has made it increasingly important to understand which nonlinear state space models can be efficiently parallelized. Recent advances like DEER (arXiv:2309.12252) and DeepPCR (arXiv:2309.16318) recast…

A model among many may only be best under certain states of the world. Switching from a model to another can also be costly. Finding a procedure to dynamically choose a model in these circumstances requires to solve a complex estimation…

We perform approximate inference in state-space models with nonlinear state transitions. Without parameterizing a generative model, we apply Bayesian update formulas using a local linearity approximation parameterized by neural networks.…

Particle and ensemble filters are increasingly utilized for inference, optimization, and forecast; however, both filtering methods use discrete distributions to simulate continuous state space, a drawback that can lead to degraded…

State-space models are a popular statistical framework for analysing sequential data. Within this framework, particle filters are often used to perform inference on non-linear state-space models. We introduce a new method, StateMixNN, that…

State-space models (SSMs) are increasingly used in ecology to model time-series such as animal movement paths and population dynamics. This type of hierarchical model is often structured to account for two levels of variability: biological…

Supervised (linear) embedding models like Wsabie and PSI have proven successful at ranking, recommendation and annotation tasks. However, despite being scalable to large datasets they do not take full advantage of the extra data due to…

Estimating the diagonal entries of a matrix, that is not directly accessible but only available as a linear operator in the form of a computer routine, is a common necessity in many computational applications, especially in image…

Matrix factorization from a small number of observed entries has recently garnered much attention as the key ingredient of successful recommendation systems. One unresolved problem in this area is how to adapt current methods to handle…

This paper studies the problem of testing whether a system of linear equality and inequality constraints admits a solution when the coefficients of that system may have to be estimated. We show that a wide range of inferential questions in…

State estimation is the task of approximately reconstructing a solution $u$ of a parametric partial differential equation when the parameter vector $y$ is unknown and the only information is $m$ linear measurements of $u$. In [Cohen et.…

We investigate the possibility of extending some results of Pazman and Pronzato (2014) to a larger set of optimality criteria. Namely, in a linear regression model the problem of computing D-, A-, E_k-optimal designs, of combining these…

This paper is concerned with estimating the column space of an unknown low-rank matrix $\boldsymbol{A}^{\star}\in\mathbb{R}^{d_{1}\times d_{2}}$, given noisy and partial observations of its entries. There is no shortage of scenarios where…

Poyiadjis et al. (2011) show how particle methods can be used to estimate both the score and the observed information matrix for state space models. These methods either suffer from a computational cost that is quadratic in the number of…

Unbiased assessment of the predictivity of models learnt by supervised machine-learning methods requires knowledge of the learned function over a reserved test set (not used by the learning algorithm). The quality of the assessment depends,…

Recently a likelihood-based methodology has been developed by the Collaboratory for the Study of Earthquake Predictability (CSEP) with a view to testing and ranking seismicity models. We analyze this approach from the standpoint of possible…

Determining the best model or models for a particular data set, a process known as Bayesian model comparison, is a critical part of probabilistic inference. Typically, this process assumes a fixed model-space (that is, a fixed set of…

This paper details how to parameterize the posterior distribution of state-space systems to generate improved optimization problems for system identification using variational inference. Three different parameterizations of the assumed…