Significant efforts have gone into the development of statistical models for analyzing data in the form of networks, such as social networks. Most existing work has focused on modeling static networks, which represent either a single time snapshot or an aggregate view over time. There has been recent interest in statistical modeling of dynamic networks, which are observed at multiple points in time and offer a richer representation of many complex phenomena. In this paper, we present a state-space model for dynamic networks that extends the well-known stochastic blockmodel for static networks to the dynamic setting. We fit the model in a near-optimal manner using an extended Kalman filter (EKF) augmented with a local search. We demonstrate that the EKF-based algorithm performs competitively with a state-of-the-art algorithm based on Markov chain Monte Carlo sampling but is significantly less computationally demanding.
Several statistical models for dynamic networks have previously been proposed for modeling and tracking dynamic networks @cite_8 . @cite_24 proposed a temporal extension of the exponential random graph model (ERGM) called the hidden temporal ERGM. Sarkar and Moore @cite_16 proposed a temporal extension of the latent space network model and developed an algorithm to compute point estimates of node positions over time using conjugate gradient optimization initialized from a multidimensional scaling solution. In @cite_9 , proposed a Gaussian approximation that allowed for approximate inference on the dynamic latent space model using Kalman filtering. The approach of @cite_9 is similar in flavor to the approach we employ in this paper; however, our approach involves a different static model, namely the stochastic blockmodel, for the network snapshots and uses this model to develop an extended Kalman filter (EKF) to track the model parameters.
@cite_24 @cite_9 @cite_16 @cite_8
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We introduce a new statistical model for time series that iteratively segments data into regimes with approximately linear dynamics and learns the parameters of each of these linear regimes. This model combines and generalizes two of the most widely used stochastic time-series models— hidden Markov models and linear dynamical systems—and is closely related to models that are widely used in the control and econometrics literatures. It can also be derived by extending the mixture of experts neural network (Jacobs, Jordan, Nowlan, & Hinton, 1991) to its fully dynamical version, in which both expert and gating networks are recurrent. Inferring the posterior probabilities of the hidden states of this model is computationally intractable, and therefore the exact expectation maximization (EM) algorithm cannot be applied. However, we present a variational approximation that maximizes a lower bound on the log-likelihood and makes use of both the forward and backward recursions for hidden Markov models and the Kalman filter recursions for linear dynamical systems. We tested the algorithm on artificial data sets and a natural data set of respiration force from a patient with sleep apnea. The results suggest that variational approximations are a viable method for inference and learning in switching state-space models. In this paper, we focus on the problem of motion tracking in unknown environments using visual and inertial sensors. We term this estimation task visual-inertial odometry (VIO), in analogy to the well-known visual-odometry problem. We present a detailed study of extended Kalman filter (EKF)-based VIO algorithms, by comparing both their theoretical properties and empirical performance. We show that an EKF formulation where the state vector comprises a sliding window of poses (the multi-state-constraint Kalman filter (MSCKF)) attains better accuracy, consistency, and computational efficiency than the simultaneous localization and mapping (SLAM) formulation of the EKF, in which the state vector contains the current pose and the features seen by the camera. Moreover, we prove that both types of EKF approaches are inconsistent, due to the way in which Jacobians are computed. Specifically, we show that the observability properties of the EKF's linearized system models do not match those of the underlying system, which causes the filters to underestimate the uncertainty in the state estimates. Based on our analysis, we propose a novel, real-time EKF-based VIO algorithm, which achieves consistent estimation by (i) ensuring the correct observability properties of its linearized system model, and (ii) performing online estimation of the camera-to-inertial measurement unit (IMU) calibration parameters. This algorithm, which we term MSCKF 2.0, is shown to achieve accuracy and consistency higher than even an iterative, sliding-window fixed-lag smoother, in both Monte Carlo simulations and real-world testing. Dynamic Probabilistic Networks (DPNs) are exploited for modeling the temporal relationships among a set of different object temporal events in the scene for a coherent and robust scene-level behaviour interpretation. In particular, we develop a Dynamically Multi-Linked Hidden Markov Model (DML-HMM) to interpret group activities involving multiple objects captured in an outdoor scene. The model is based on the discovery of salient dynamic interlinks among multiple temporal events using DPNs. Object temporal events are detected and labeled using Gaussian Mixture Models with automatic model order selection. A DML-HMM is built using Schwarz's Bayesian Information Criterion based factorisation resulting in its topology being intrinsically determined by the underlying causality and temporal order among different object events. Our experiments demonstrate that its performance on modelling group activities in a noisy outdoor scene is superior compared to that of a Multi-Observation Hidden Markov Model (MOHMM), a Parallel Hidden Markov Model (PaHMM) and a Coupled Hidden Markov Model (CHMM). The growing availability of network data and of scientific interest in distributed systems has led to the rapid development of statistical models of network structure. Typically, however, these are models for the entire network, while the data consists only of a sampled sub-network. Parameters for the whole network, which is what is of interest, are estimated by applying the model to the sub-network. This assumes that the model is consistent under sampling, or, in terms of the theory of stochastic processes, that it defines a projective family. Focusing on the popular class of exponential random graph models (ERGMs), we show that this apparently trivial condition is in fact violated by many popular and scientifically appealing models, and that satisfying it drastically limits ERGM’s expressive power. These results are actually special cases of more general results about exponential families of dependent random variables, which we also prove. Using such results, we offer easily checked conditions for the consistency of maximum likelihood estimation in ERGMs, and discuss some possible constructive responses.