相关论文: On Sparsity by NUV-EM, Gaussian Message Passing, a…

We formulate approximate Bayesian inference in non-conjugate temporal and spatio-temporal Gaussian process models as a simple parameter update rule applied during Kalman smoothing. This viewpoint encompasses most inference schemes,…

Normals with unknown variance (NUV) and, more generally, normals with unknown parameters (NUP) can represent many useful priors including L_p norms and other sparsifying priors, and they blend well with linear-Gaussian models and Gaussian…

State-space smoothing has found many applications in science and engineering. Under linear and Gaussian assumptions, smoothed estimates can be obtained using efficient recursions, for example Rauch-Tung-Striebel and Mayne-Fraser algorithms.…

Sparsity constraints on the control inputs of a linear dynamical system naturally arise in several practical applications such as networked control, computer vision, seismic signal processing, and cyber-physical systems. In this work, we…

Normals with unknown variance (NUV) can represent many useful priors and blend well with Gaussian models and message passing algorithms. NUV representations of sparsifying priors have long been known, and NUV representations of binary (and…

We consider the estimation of an i.i.d. (possibly non-Gaussian) vector $\xbf \in \R^n$ from measurements $\ybf \in \R^m$ obtained by a general cascade model consisting of a known linear transform followed by a probabilistic componentwise…

We propose a new variational inference algorithm for learning in Gaussian Process State-Space Models (GPSSMs). Our algorithm enables learning of unstable and partially observable systems, where previous algorithms fail. Our main algorithmic…

Estimation of a vector from quantized linear measurements is a common problem for which simple linear techniques are suboptimal -- sometimes greatly so. This paper develops generalized approximate message passing (GAMP) algorithms for…

Estimating the state of a dynamical system from a series of noise-corrupted observations is fundamental in many areas of science and engineering. The most well-known method, the Kalman smoother (and the related Kalman filter), relies on…

In this paper, we introduce a new sparsity-promoting prior, namely, the "normal product" prior, and develop an efficient algorithm for sparse signal recovery under the Bayesian framework. The normal product distribution is the distribution…

The sparse Beyesian learning (also referred to as Bayesian compressed sensing) algorithm is one of the most popular approaches for sparse signal recovery, and has demonstrated superior performance in a series of experiments. Nevertheless,…

Approximate message passing (AMP) algorithms are devised under the Gaussianity assumption of the measurement noise vector. In this work, we relax this assumption within the vector AMP (VAMP) framework to arbitrary independent and…

The paper considers the computation of L1 regularization paths in a state space setting, which includes L1 regularized Kalman smoothing, linear SVM, LASSO, and more. The paper proposes two new algorithms, which are duals of each other; the…

Modeling and inference with multivariate sequences is central in a number of signal processing applications such as acoustics, social network analysis, biomedical, and finance, to name a few. The linear-Gaussian state-space model is a…

The Kalman filter (KF) is a widely-used algorithm for tracking the latent state of a dynamical system from noisy observations. For systems that are well-described by linear Gaussian state space models, the KF minimizes the mean-squared…

Kalman filtering and smoothing are the foundational mechanisms for efficient inference in Gauss-Markov models. However, their time and memory complexities scale prohibitively with the size of the state space. This is particularly…

This paper develops a new empirical Bayesian inference algorithm for solving a linear inverse problem given multiple measurement vectors (MMV) of under-sampled and noisy observable data. Specifically, by exploiting the joint sparsity across…

Classical discriminant analysis assumes identically distributed training data, yet in many applications observations are collected over time and the class-conditional distributions drift. This population drift renders stationary classifiers…

We propose a simple method that combines neural networks and Gaussian processes. The proposed method can estimate the uncertainty of outputs and flexibly adjust target functions where training data exist, which are advantages of Gaussian…

The analysis of high-dimensional dynamical systems generally requires the integration of simulation data with experimental measurements. Experimental data often has substantial amounts of measurement noise that compromises the ability to…