OnLine Probabilistic Classification with Particle Filters基于粒子滤波的线概率分类方法.pptVIP

On-Line Probabilistic Classification with Particle Filters Pedro H?jen-S?rensen, Nando de Freitas, and Torgen Fog, Proceedings of the IEEE International Workshop on Neural Networks for Signal Processing (NNSP2000), 2000 (to appear) Cho, Dong-Yeon Introduction Sequential Classification Problems Condition monitoring and real-time decision systems Monitoring patients, fault detection problem Particle filter provide an efficient and elegant probabilistic solution to this problem. It becomes possible to compute the probabilities of class membership when the classes overlap and evolve with time. This classification framework applied to any type of classifier, but for demonstration purposes, multi-layer perceptrons (MLPs) are used. Model Specification Markov, Nonlinear, State Space Representation Transition model: p(?t|?t–1) ?t ?Rn? corresponds to the parameters (weights) of a neural network f(xt, ?t) The parameters are assumed to follow a random walk ?t = ?t–1 + ut. The process noise could be Gaussian ut ~ N(0, ?t2In?) Observation model: p(yt|xt,?t) xt ?Rnx denotes the input data at time t. yt ?{0,1}ny represents the output class labels. The likelihood of the observations should be given by the following binomial (Bernoulli) distribution Estimation Objectives Our goal will be to approximate the posterior distribution p(?0: t|d1: t) and one of its marginals, the filtering density p(?t|d1: t), where d1: t = {x1:t, y1:t} By computing the filtering density recursively, we do not need to keep track of the complete history of the parameters. Particle Filtering Generic Particle Filter for Classification Bayesian Importance Sampling Step Importance functions Recursive formulas Transition prior p(?t|?t–1) is used as importance distribution for the MLPs. Selection Step E(Ni) = Nwt(i) MCMC step A skewed importance weights distribution Many particles have no children, whereas others have a large number of children. A Simple Classification Example Experimental Setup An MLP wi