Tohid Ardeshiri

Michael Roth, Tohid Ardeshiri, Emre Özkan et al.

State estimation in heavy-tailed process and measurement noise is an important challenge that must be addressed in, e.g., tracking scenarios with agile targets and outlier-corrupted measurements. The performance of the Kalman filter (KF) can deteriorate in such applications because of the close relation to the Gaussian distribution. Therefore, this paper describes the use of Student's t distribution to develop robust, scalable, and simple filtering and smoothing algorithms. After a discussion of Student's t distribution, exact filtering in linear state-space models with t noise is analyzed. Intermediate approximation steps are used to arrive at filtering and smoothing algorithms that closely resemble the KF and the Rauch-Tung-Striebel (RTS) smoother except for a nonlinear measurement-dependent matrix update. The required approximations are discussed and an undesirable behavior of moment matching for t densities is revealed. A favorable approximation based on minimization of the Kullback-Leibler divergence is presented. Because of its relation to the KF, some properties and algorithmic extensions are inherited by the t filter. Instructive simulation examples demonstrate the performance and robustness of the novel algorithms.

Henri Nurminen, Tohid Ardeshiri, Robert Piche et al.

Filtering and smoothing algorithms for linear discrete-time state-space models with skew-t distributed measurement noise are presented. The proposed algorithms improve upon our earlier proposed filter and smoother using the mean field variational Bayes approximation of the posterior distribution to a skew-t likelihood and normal prior. Our simulations show that the proposed variational Bayes approximation gives a more accurate approximation of the posterior covariance matrix than our earlier proposed method. Furthermore, the novel filter and smoother outperform our earlier proposed methods and conventional low complexity alternatives in accuracy and speed.

Henri Nurminen, Tohid Ardeshiri

We propose a novel recursive system identification algorithm for linear autoregressive systems with skewed innovations. The algorithm is based on the variational Bayes approximation of the model with a multivariate normal prior for the model coefficients, multivariate skew-normally distributed innovations, and matrix-variate-normal - inverse-Wishart prior for the parameters of the innovation distribution. The proposed algorithm simultaneously estimates the model coefficients as well as the parameters of the innovation distribution, which are both allowed to be slowly time-varying. Through computer simulations, we compare the proposed method with a variational algorithm based on the normally-distributed innovations model, and show that modelling the skewness can provide improvement in identification accuracy.

Tohid Ardeshiri, Umut Orguner, Fredrik Gustafsson

In this paper, a Bayesian inference technique based on Taylor series approximation of the logarithm of the likelihood function is presented. The proposed approximation is devised for the case, where the prior distribution belongs to the exponential family of distributions. The logarithm of the likelihood function is linearized with respect to the sufficient statistic of the prior distribution in exponential family such that the posterior obtains the same exponential family form as the prior. Similarities between the proposed method and the extended Kalman filter for nonlinear filtering are illustrated. Furthermore, an extended target measurement update for target models where the target extent is represented by a random matrix having an inverse Wishart distribution is derived. The approximate update covers the important case where the spread of measurement is due to the target extent as well as the measurement noise in the sensor.

Tohid Ardeshiri, Umut Orguner, Emre Özkan

We propose a greedy mixture reduction algorithm which is capable of pruning mixture components as well as merging them based on the Kullback-Leibler divergence (KLD). The algorithm is distinct from the well-known Runnalls' KLD based method since it is not restricted to merging operations. The capability of pruning (in addition to merging) gives the algorithm the ability of preserving the peaks of the original mixture during the reduction. Analytical approximations are derived to circumvent the computational intractability of the KLD which results in a computationally efficient method. The proposed algorithm is compared with Runnalls' and Williams' methods in two numerical examples, using both simulated and real world data. The results indicate that the performance and computational complexity of the proposed approach make it an efficient alternative to existing mixture reduction methods.

Tohid Ardeshiri, Emre Özkan, Umut Orguner et al.

We present an adaptive smoother for linear state-space models with unknown process and measurement noise covariances. The proposed method utilizes the variational Bayes technique to perform approximate inference. The resulting smoother is computationally efficient, easy to implement, and can be applied to high dimensional linear systems. The performance of the algorithm is illustrated on a target tracking example.

Tohid Ardeshiri, Tianshi Chen

In this paper, the maximum entropy property of the discrete-time first-order stable spline kernel is studied. The advantages of studying this property in discrete-time domain instead of continuous-time domain are outlined. One of such advantages is that the differential entropy rate is well-defined for discrete-time stochastic processes. By formulating the maximum entropy problem for discrete-time stochastic processes we provide a simple and self-contained proof to show what maximum entropy property the discrete-time first-order stable spline kernel has.

Tianshi Chen, Tohid Ardeshiri, Francesca P. Carli et al.

The first order stable spline (SS-1) kernel is used extensively in regularized system identification. In particular, the stable spline estimator models the impulse response as a zero-mean Gaussian process whose covariance is given by the SS-1 kernel. In this paper, we discuss the maximum entropy properties of this prior. In particular, we formulate the exact maximum entropy problem solved by the SS-1 kernel without Gaussian and uniform sampling assumptions. Under general sampling schemes, we also explicitly derive the special structure underlying the SS-1 kernel (e.g. characterizing the tridiagonal nature of its inverse), also giving to it a maximum entropy covariance completion interpretation. Along the way similar maximum entropy properties of the Wiener kernel are also given.