Paul E. Anderson, T. Chartier, A. Langville, Kathryn E. Pedings-Behling
In prior work [ 4 ], Anderson et al. introduced a new problem, the rankability problem, which refers to a dataset's inherent ability to produce a meaningful ranking of its items. Ranking is a fundamental data science task with numerous applications that include web search, data mining, cybersecurity, machine learning, and statistical learning theory. Yet little attention has been paid to the question of whether a dataset is suitable for ranking. As a result, when a ranking method is applied to a dataset with low rankability, the resulting ranking may not be reliable. Rankability paper [ 4 ] and its methods studied unweighted data for which the dominance relations are binary, i.e., an item either dominates or is dominated by another item. In this paper, we extend rankability methods to weighted data for which an item may dominate another by any finite amount. We present combinatorial approaches to a weighted rankability measure and apply our new measure to several weighted datasets.
{"title":"The rankability of weighted data from pairwise comparisons","authors":"Paul E. Anderson, T. Chartier, A. Langville, Kathryn E. Pedings-Behling","doi":"10.3934/FODS.2021002","DOIUrl":"https://doi.org/10.3934/FODS.2021002","url":null,"abstract":"In prior work [ 4 ], Anderson et al. introduced a new problem, the rankability problem, which refers to a dataset's inherent ability to produce a meaningful ranking of its items. Ranking is a fundamental data science task with numerous applications that include web search, data mining, cybersecurity, machine learning, and statistical learning theory. Yet little attention has been paid to the question of whether a dataset is suitable for ranking. As a result, when a ranking method is applied to a dataset with low rankability, the resulting ranking may not be reliable. Rankability paper [ 4 ] and its methods studied unweighted data for which the dominance relations are binary, i.e., an item either dominates or is dominated by another item. In this paper, we extend rankability methods to weighted data for which an item may dominate another by any finite amount. We present combinatorial approaches to a weighted rankability measure and apply our new measure to several weighted datasets.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70248064","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We study the problem of diffeomorphometric geodesic landmark matching where the objective is to find a diffeomorphism that, via its group action, maps between two sets of landmarks. It is well-known that the motion of the landmarks, and thereby the diffeomorphism, can be encoded by an initial momentum leading to a formulation where the landmark matching problem can be solved as an optimisation problem over such momenta. The novelty of our work lies in the application of a derivative-free Bayesian inverse method for learning the optimal momentum encoding the diffeomorphic mapping between the template and the target. The method we apply is the ensemble Kalman filter, an extension of the Kalman filter to nonlinear operators. We describe an efficient implementation of the algorithm and show several numerical results for various target shapes.
{"title":"Learning landmark geodesics using the ensemble Kalman filter","authors":"Andreas Bock, C. Cotter","doi":"10.3934/fods.2021020","DOIUrl":"https://doi.org/10.3934/fods.2021020","url":null,"abstract":"We study the problem of diffeomorphometric geodesic landmark matching where the objective is to find a diffeomorphism that, via its group action, maps between two sets of landmarks. It is well-known that the motion of the landmarks, and thereby the diffeomorphism, can be encoded by an initial momentum leading to a formulation where the landmark matching problem can be solved as an optimisation problem over such momenta. The novelty of our work lies in the application of a derivative-free Bayesian inverse method for learning the optimal momentum encoding the diffeomorphic mapping between the template and the target. The method we apply is the ensemble Kalman filter, an extension of the Kalman filter to nonlinear operators. We describe an efficient implementation of the algorithm and show several numerical results for various target shapes.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70248353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Yossi Bokor Bleile, Katharine Turner, Christopher Williams
In this paper, we consider the simplest class of stratified spaces – linearly embedded graphs. We present an algorithm that learns the abstract structure of an embedded graph and models the specific embedding from a point cloud sampled from it. We use tools and inspiration from computational geometry, algebraic topology, and topological data analysis and prove the correctness of the identified abstract structure under assumptions on the embedding. The algorithm is implemented in the Julia package Skyler, which we used for the numerical simulations in this paper.
{"title":"Reconstructing linearly embedded graphs: A first step to stratified space learning","authors":"Yossi Bokor Bleile, Katharine Turner, Christopher Williams","doi":"10.3934/fods.2021026","DOIUrl":"https://doi.org/10.3934/fods.2021026","url":null,"abstract":"In this paper, we consider the simplest class of stratified spaces – linearly embedded graphs. We present an algorithm that learns the abstract structure of an embedded graph and models the specific embedding from a point cloud sampled from it. We use tools and inspiration from computational geometry, algebraic topology, and topological data analysis and prove the correctness of the identified abstract structure under assumptions on the embedding. The algorithm is implemented in the Julia package Skyler, which we used for the numerical simulations in this paper.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70248419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We present an ensemble filtering method based on a linear model for the precision matrix (the inverse of the covariance) with the parameters determined by Score Matching Estimation. The method provides a rigorous covariance regularization when the underlying random field is Gaussian Markov. The parameters are found by solving a system of linear equations. The analysis step uses the inverse formulation of the Kalman update. Several filter versions, differing in the construction of the analysis ensemble, are proposed, as well as a Score matching version of the Extended Kalman Filter.
{"title":"Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix","authors":"Marie Turčičová, J. Mandel, K. Eben","doi":"10.3934/fods.2021030","DOIUrl":"https://doi.org/10.3934/fods.2021030","url":null,"abstract":"We present an ensemble filtering method based on a linear model for the precision matrix (the inverse of the covariance) with the parameters determined by Score Matching Estimation. The method provides a rigorous covariance regularization when the underlying random field is Gaussian Markov. The parameters are found by solving a system of linear equations. The analysis step uses the inverse formulation of the Kalman update. Several filter versions, differing in the construction of the analysis ensemble, are proposed, as well as a Score matching version of the Extended Kalman Filter.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70248469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
G. Evensen, Javier Amezcua, M. Bocquet, A. Carrassi, A. Farchi, A. Fowler, P. Houtekamer, C. Jones, R. Moraes, M. Pulido, C. Sampson, F. Vossepoel
This work demonstrates the efficiency of using iterative ensemble smoothers to estimate the parameters of an SEIR model. We have extended a standard SEIR model with age-classes and compartments of sick, hospitalized, and dead. The data conditioned on are the daily numbers of accumulated deaths and the number of hospitalized. Also, it is possible to condition the model on the number of cases obtained from testing. We start from a wide prior distribution for the model parameters; then, the ensemble conditioning leads to a posterior ensemble of estimated parameters yielding model predictions in close agreement with the observations. The updated ensemble of model simulations has predictive capabilities and include uncertainty estimates. In particular, we estimate the effective reproductive number as a function of time, and we can assess the impact of different intervention measures. By starting from the updated set of model parameters, we can make accurate short-term predictions of the epidemic development assuming knowledge of the future effective reproductive number. Also, the model system allows for the computation of long-term scenarios of the epidemic under different assumptions. We have applied the model system on data sets from several countries, i.e., the four European countries Norway, England, The Netherlands, and France; the province of Quebec in Canada; the South American countries Argentina and Brazil; and the four US states Alabama, North Carolina, California, and New York. These countries and states all have vastly different developments of the epidemic, and we could accurately model the SARS-CoV-2 outbreak in all of them. We realize that more complex models, e.g., with regional compartments, may be desirable, and we suggest that the approach used here should be applicable also for these models.
{"title":"An international initiative of predicting the SARS-CoV-2 pandemic using ensemble data assimilation","authors":"G. Evensen, Javier Amezcua, M. Bocquet, A. Carrassi, A. Farchi, A. Fowler, P. Houtekamer, C. Jones, R. Moraes, M. Pulido, C. Sampson, F. Vossepoel","doi":"10.3934/fods.2021001","DOIUrl":"https://doi.org/10.3934/fods.2021001","url":null,"abstract":"This work demonstrates the efficiency of using iterative ensemble smoothers to estimate the parameters of an SEIR model. We have extended a standard SEIR model with age-classes and compartments of sick, hospitalized, and dead. The data conditioned on are the daily numbers of accumulated deaths and the number of hospitalized. Also, it is possible to condition the model on the number of cases obtained from testing. We start from a wide prior distribution for the model parameters; then, the ensemble conditioning leads to a posterior ensemble of estimated parameters yielding model predictions in close agreement with the observations. The updated ensemble of model simulations has predictive capabilities and include uncertainty estimates. In \u0000particular, we estimate the effective reproductive number as a function of time, and we can assess the impact of different intervention measures. By starting from the updated set of model parameters, we can make accurate short-term predictions of the epidemic development assuming \u0000knowledge of the future effective reproductive number. Also, the model system allows for the computation of long-term scenarios of the epidemic under different assumptions. We have applied the model system on data sets from several countries, i.e., the four European countries Norway, England, The Netherlands, and France; the province of Quebec in Canada; the South American countries Argentina and Brazil; and the four US states Alabama, North Carolina, California, and New York. These countries and states all have vastly different developments of the epidemic, and we could accurately model the SARS-CoV-2 outbreak in all of them. We realize that more complex models, e.g., with regional compartments, may be desirable, and we suggest that the approach used here should be applicable also for these models.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43519659","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Many recent advances in sequential assimilation of data into nonlinear high-dimensional models are modifications to particle filters which employ efficient searches of a high-dimensional state space. In this work, we present a complementary strategy that combines statistical emulators and particle filters. The emulators are used to learn and offer a computationally cheap approximation to the forward dynamic mapping. This emulator-particle filter (Emu-PF) approach requires a modest number of forward-model runs, but yields well-resolved posterior distributions even in non-Gaussian cases. We explore several modifications to the Emu-PF that utilize mechanisms for dimension reduction to efficiently fit the statistical emulator, and present a series of simulation experiments on an atypical Lorenz-96 system to demonstrate their performance. We conclude with a discussion on how the Emu-PF can be paired with modern particle filtering algorithms.
{"title":"A surrogate-based approach to nonlinear, non-Gaussian joint state-parameter data assimilation","authors":"J. Maclean, E. Spiller","doi":"10.3934/fods.2021019","DOIUrl":"https://doi.org/10.3934/fods.2021019","url":null,"abstract":"Many recent advances in sequential assimilation of data into nonlinear high-dimensional models are modifications to particle filters which employ efficient searches of a high-dimensional state space. In this work, we present a complementary strategy that combines statistical emulators and particle filters. The emulators are used to learn and offer a computationally cheap approximation to the forward dynamic mapping. This emulator-particle filter (Emu-PF) approach requires a modest number of forward-model runs, but yields well-resolved posterior distributions even in non-Gaussian cases. We explore several modifications to the Emu-PF that utilize mechanisms for dimension reduction to efficiently fit the statistical emulator, and present a series of simulation experiments on an atypical Lorenz-96 system to demonstrate their performance. We conclude with a discussion on how the Emu-PF can be paired with modern particle filtering algorithms.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48331060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We study the problem of estimating linear response statistics under external perturbations using time series of unperturbed dynamics. Based on the fluctuation-dissipation theory, this problem is reformulated as an unsupervised learning task of estimating a density function. We consider a nonparametric density estimator formulated by the kernel embedding of distributions with "Mercer-type" kernels, constructed based on the classical orthogonal polynomials defined on non-compact domains. While the resulting representation is analogous to Polynomial Chaos Expansion (PCE), the connection to the reproducing kernel Hilbert space (RKHS) theory allows one to establish the uniform convergence of the estimator and to systematically address a practical question of identifying the PCE basis for a consistent estimation. We also provide practical conditions for the well-posedness of not only the estimator but also of the underlying response statistics. Finally, we provide a statistical error bound for the density estimation that accounts for the Monte-Carlo averaging over non-i.i.d time series and the biases due to a finite basis truncation. This error bound provides a means to understand the feasibility as well as limitation of the kernel embedding with Mercer-type kernels. Numerically, we verify the effectiveness of the estimator on two stochastic dynamics with known, yet, non-trivial equilibrium densities.
{"title":"Estimating linear response statistics using orthogonal polynomials: An rkhs formulation","authors":"He Zhang, J. Harlim, Xiantao Li","doi":"10.3934/fods.2020021","DOIUrl":"https://doi.org/10.3934/fods.2020021","url":null,"abstract":"We study the problem of estimating linear response statistics under external perturbations using time series of unperturbed dynamics. Based on the fluctuation-dissipation theory, this problem is reformulated as an unsupervised learning task of estimating a density function. We consider a nonparametric density estimator formulated by the kernel embedding of distributions with \"Mercer-type\" kernels, constructed based on the classical orthogonal polynomials defined on non-compact domains. While the resulting representation is analogous to Polynomial Chaos Expansion (PCE), the connection to the reproducing kernel Hilbert space (RKHS) theory allows one to establish the uniform convergence of the estimator and to systematically address a practical question of identifying the PCE basis for a consistent estimation. We also provide practical conditions for the well-posedness of not only the estimator but also of the underlying response statistics. Finally, we provide a statistical error bound for the density estimation that accounts for the Monte-Carlo averaging over non-i.i.d time series and the biases due to a finite basis truncation. This error bound provides a means to understand the feasibility as well as limitation of the kernel embedding with Mercer-type kernels. Numerically, we verify the effectiveness of the estimator on two stochastic dynamics with known, yet, non-trivial equilibrium densities.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48255540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Audun D. Myers, Firas A. Khasawneh, Brittany Terese Fasy
We introduce a novel method for Additive Noise Analysis for Persistence Thresholding (ANAPT) which separates significant features in the sublevel set persistence diagram of a time series based on a statistics analysis of the persistence of a noise distribution. Specifically, we consider an additive noise model and leverage the statistical analysis to provide a noise cutoff or confidence interval in the persistence diagram for the observed time series. This analysis is done for several common noise models including Gaussian, uniform, exponential, and Rayleigh distributions. ANAPT is computationally efficient, does not require any signal pre-filtering, is widely applicable, and has open-source software available. We demonstrate the functionality of ANAPT with both numerically simulated examples and an experimental data set. Additionally, we provide an efficient begin{document}$ Theta(nlog(n)) $end{document} algorithm for calculating the zero-dimensional sublevel set persistence homology.
We introduce a novel method for Additive Noise Analysis for Persistence Thresholding (ANAPT) which separates significant features in the sublevel set persistence diagram of a time series based on a statistics analysis of the persistence of a noise distribution. Specifically, we consider an additive noise model and leverage the statistical analysis to provide a noise cutoff or confidence interval in the persistence diagram for the observed time series. This analysis is done for several common noise models including Gaussian, uniform, exponential, and Rayleigh distributions. ANAPT is computationally efficient, does not require any signal pre-filtering, is widely applicable, and has open-source software available. We demonstrate the functionality of ANAPT with both numerically simulated examples and an experimental data set. Additionally, we provide an efficient begin{document}$ Theta(nlog(n)) $end{document} algorithm for calculating the zero-dimensional sublevel set persistence homology.
{"title":"ANAPT: Additive noise analysis for persistence thresholding","authors":"Audun D. Myers, Firas A. Khasawneh, Brittany Terese Fasy","doi":"10.3934/fods.2022005","DOIUrl":"https://doi.org/10.3934/fods.2022005","url":null,"abstract":"We introduce a novel method for Additive Noise Analysis for Persistence Thresholding (ANAPT) which separates significant features in the sublevel set persistence diagram of a time series based on a statistics analysis of the persistence of a noise distribution. Specifically, we consider an additive noise model and leverage the statistical analysis to provide a noise cutoff or confidence interval in the persistence diagram for the observed time series. This analysis is done for several common noise models including Gaussian, uniform, exponential, and Rayleigh distributions. ANAPT is computationally efficient, does not require any signal pre-filtering, is widely applicable, and has open-source software available. We demonstrate the functionality of ANAPT with both numerically simulated examples and an experimental data set. Additionally, we provide an efficient begin{document}$ Theta(nlog(n)) $end{document} algorithm for calculating the zero-dimensional sublevel set persistence homology.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44284181","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Consider the class of Ensemble Square Root filtering algorithms for the numerical approximation of the posterior distribution of nonlinear Markovian signals partially observed with linear observations corrupted with independent measurement noise. We analyze the asymptotic behavior of these algorithms in the large ensemble limit both in discrete and continuous time. We identify limiting mean-field processes on the level of the ensemble members, prove corresponding propagation of chaos results and derive associated convergence rates in terms of the ensemble size. In continuous time we also identify the stochastic partial differential equation driving the distribution of the mean-field process and perform a comparison with the Kushner-Stratonovich equation.
{"title":"Mean field limit of Ensemble Square Root filters - discrete and continuous time","authors":"Theresa Lange, W. Stannat","doi":"10.3934/FODS.2021003","DOIUrl":"https://doi.org/10.3934/FODS.2021003","url":null,"abstract":"Consider the class of Ensemble Square Root filtering algorithms for the numerical approximation of the posterior distribution of nonlinear Markovian signals partially observed with linear observations corrupted with independent measurement noise. We analyze the asymptotic behavior of these algorithms in the large ensemble limit both in discrete and continuous time. We identify limiting mean-field processes on the level of the ensemble members, prove corresponding propagation of chaos results and derive associated convergence rates in terms of the ensemble size. In continuous time we also identify the stochastic partial differential equation driving the distribution of the mean-field process and perform a comparison with the Kushner-Stratonovich equation.","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":"50 14","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41267351","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of this paper is to describe the feedback particle filter algorithm for problems where there are a large number (begin{document}$ M $end{document}) of non-interacting agents (targets) with a large number (begin{document}$ M $end{document}) of non-agent specific observations (measurements) that originate from these agents. In its basic form, the problem is characterized by data association uncertainty whereby the association between the observations and agents must be deduced in addition to the agent state. In this paper, the large-begin{document}$ M $end{document} limit is interpreted as a problem of collective inference. This viewpoint is used to derive the equation for the empirical distribution of the hidden agent states. A feedback particle filter (FPF) algorithm for this problem is presented and illustrated via numerical simulations. Results are presented for the Euclidean and the finite state-space cases, both in continuous-time settings. The classical FPF algorithm is shown to be the special case (with begin{document}$ M = 1 $end{document}) of these more general results. The simulations help show that the algorithm well approximates the empirical distribution of the hidden states for large begin{document}$ M $end{document}.
The purpose of this paper is to describe the feedback particle filter algorithm for problems where there are a large number (begin{document}$ M $end{document}) of non-interacting agents (targets) with a large number (begin{document}$ M $end{document}) of non-agent specific observations (measurements) that originate from these agents. In its basic form, the problem is characterized by data association uncertainty whereby the association between the observations and agents must be deduced in addition to the agent state. In this paper, the large-begin{document}$ M $end{document} limit is interpreted as a problem of collective inference. This viewpoint is used to derive the equation for the empirical distribution of the hidden agent states. A feedback particle filter (FPF) algorithm for this problem is presented and illustrated via numerical simulations. Results are presented for the Euclidean and the finite state-space cases, both in continuous-time settings. The classical FPF algorithm is shown to be the special case (with begin{document}$ M = 1 $end{document}) of these more general results. The simulations help show that the algorithm well approximates the empirical distribution of the hidden states for large begin{document}$ M $end{document}.
{"title":"Feedback particle filter for collective inference","authors":"Jin W. Kim, P. Mehta","doi":"10.3934/fods.2021018","DOIUrl":"https://doi.org/10.3934/fods.2021018","url":null,"abstract":"<p style='text-indent:20px;'>The purpose of this paper is to describe the feedback particle filter algorithm for problems where there are a large number (<inline-formula><tex-math id=\"M1\">begin{document}$ M $end{document}</tex-math></inline-formula>) of non-interacting agents (targets) with a large number (<inline-formula><tex-math id=\"M2\">begin{document}$ M $end{document}</tex-math></inline-formula>) of non-agent specific observations (measurements) that originate from these agents. In its basic form, the problem is characterized by data association uncertainty whereby the association between the observations and agents must be deduced in addition to the agent state. In this paper, the large-<inline-formula><tex-math id=\"M3\">begin{document}$ M $end{document}</tex-math></inline-formula> limit is interpreted as a problem of collective inference. This viewpoint is used to derive the equation for the empirical distribution of the hidden agent states. A feedback particle filter (FPF) algorithm for this problem is presented and illustrated via numerical simulations. Results are presented for the Euclidean and the finite state-space cases, both in continuous-time settings. The classical FPF algorithm is shown to be the special case (with <inline-formula><tex-math id=\"M4\">begin{document}$ M = 1 $end{document}</tex-math></inline-formula>) of these more general results. The simulations help show that the algorithm well approximates the empirical distribution of the hidden states for large <inline-formula><tex-math id=\"M5\">begin{document}$ M $end{document}</tex-math></inline-formula>.</p>","PeriodicalId":73054,"journal":{"name":"Foundations of data science (Springfield, Mo.)","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46470057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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