Paper:
Online Variational Approximations to non-Exponential Family Change Point Models: With Application to Radar Tracking
The Bayesian online change point detection (BOCPD) algorithm provides an efficient way to do exact inference when the parameters of an underlying model may suddenly change over time. BOCPD requires computation of the underlying model's posterior predictives, which can only be computed online in O(1) time and memory for exponential family models. We develop variational approximations to the posterior on change point times (formulated as run lengths) for efficient inference when the underlying model is not in the exponential family, and does not have tractable posterior predictive distributions. In doing so, we develop improvements to online variational inference. We apply our methodology to a tracking problem using radar data with a signal-to-noise feature that is Rice distributed. We also develop a variational method for inferring the parameters of the (non-exponential family) Rice distribution.
Change point detection has been applied to many applications [5; 7]. In recent years there have been great improvements to the Bayesian approaches via the Bayesian online change point detection algorithm (BOCPD) [1; 23; 27]. Likewise, the radar tracking community has been improving in its use of feature-aided tracking [10]: methods that use auxiliary information from radar returns such as signal-to-noise ratio (SNR), which depend on radar cross sections (RCS) [21]. Older systems would often filter only noisy position (and perhaps Doppler) measurements while newer systems use more information to improve performance. We use BOCPD for modeling the RCS feature. Whereas BOCPD inference could be done exactly when finding change points in conjugate exponential family models the physics of RCS measurements often causes them to be distributed in non-exponential family ways, often following a Rice distribution. To do inference efficiently we call upon variational Bayes (VB) to find approximate posterior (predictive) distributions. Furthermore, the nature of both BOCPD and tracking require the use of online updating. We improve upon the existing and limited approaches to online VB [24; 13]. This paper produces contributions to, and builds upon background from, three independent areas: change point detection, variational Bayes, and radar tracking.
Although the emphasis in machine learning is on filtering, a substantial part of tracking with radar data involves data association, illustrated in Figure 1. Observations of radar returns contain measurements from multiple objects (targets) in the sky. If we knew which radar return corresponded to which target we would be presented with N T ∈ N 0 independent filtering problems; Kalman filters [14] (or their nonlinear extensions) are applied to "average out" the kinematic errors in the measurements (typically positions) using the measurements associated with each target. The data association problem is to determine which measurement goes to which track. In the classical setup, once a particular measurement is associated with a certain target, that measurement is plugged into the filter for that target as if we knew with certainty it was the correct assignment. The association algorithms, in effect, find the maximum a posteriori (MAP) estimate on the measurement-to-track association. However, approaches such as the joint probabilistic data association (JPDA) filter [2] and the probability hypothesis density (PHD) filter [16] have deviated from this.
To find the MAP estimate a log likelihood of the data under each possible assignment vector a must be computed. These are then used to construct cost matrices that reduce the assignment problem to a particular kind of optimization problem (the details of which are beyond the scope of this paper). The motivation behind feature-aided tracking is that additional features increase the probability that the MAP measurement-to-track assignment is correct. Based on physical arguments the RCS feature (SNR) is often Rice distributed [21,Ch. 3]; although, in certain situations RCS is exponential or gamma distributed [26]. The parameters of the RCS distribution are determined by factors such as the shape of the aircraft facing the radar sensor. Given that different aircraft have different RCS characteristics, if one attempts to create a continuous track estimating the path of an aircraft, RCS features may help distinguish one aircraft from another if they cross paths or come near one another, for example. RCS also helps distinguish genuine aircraft returns from clutter: a flock of birds or random electrical noise, for example. However, the parameters of the RCS distributions may also change for the same aircraft due to a change in angle or ground conditions. These must be taken into account for accurate association. Providing good predictions in light of a possible sudden change in the parameters of a time series is "right up the alley" of BOCPD and change point methods.
The original BOCPD papers [1; 11] studied sudden changes in the parameters of exponential family models for time series. In this paper, we expand the set of applications of BOCPD to radar SNR data which often has the same change point structure found in other applications, and requires online predictions. The BOCPD model is highly modular in that it looks for changes in the parameters of any underlying process model (UPM). The UPM merely needs to provide posterior predictive probabilities, the UPM can otherwise be a "black box." The BOCPD queries the UPM for a prediction of the next data point under each possible run length, the number of points since the last change point. If (and only if by Hipp [12]) the UPM is exponential family (with a conjugate prior) the posterior is computed by accumulating the sufficient statistics since the last potential change point. This allows for O(1) UPM updates in both computation and memory as the run length increases. We motivate the use of VB for implementing UPMs when the data within a regime is believed to follow a distribution that is not exponential family. The methods presented in this paper can be used to find variational run length posteriors for general non-exponential family UPMs in addition to the Rice distribution. Additionally, the methods for improving online updating in VB (Section 2.2) are applicable in areas outside of change point detection. To our knowledge this paper is the first to demonstrate how to compute Bayesian posterior distributions on the parameters of a Rice distribution; the closest work would be Lauwers et al. [15], which computes a MAP estimate. Other novel factors of this paper include: demonstrating the usefulness (and advantages over existing techniques) of change point detection for RCS estimation and tracking; and applying variational inference for UPMs where analytic posterior predictives are not possible. This paper provides four main technical contributions: 1) VB inference for inferring the parameters of a Rice distribution. 2) General improvements to online VB (which is then applied to updating the UPM in BOCPD). 3) Derive a VB approximation to the run length posterior when the UPM posterior predictive is intractable. 4) Handle censored measurements (particularly for a Rice distribution) in VB. This is key for processing missed detections in data association.

Review:
This is an interesting and novel paper about using 
      variational inference in Bayesian online change point detection. It 
      seemed to me that the experimental results are interesting and 
      thorough, though I am not in the field of radar tracking. A 
      problem with the paper is that I found the exposition hard to 
      follow---a more holistic view of the algorithm is needed to make the 
      paper clearer. (That is, after reading the paper, I'm not sure I could 
      implement it.) Perhaps you can include pseudocode with pointers to 
      various equations. Comments: p3: Intuitions about the 
      Rice distribution would be nice. When and why is it used in tracking? 
      p3: Nitpick: Variational Bayes finds a *local* optimum. 
      p4: Variational inference is easiest in the settings you describe, 
      those that are conjugate-exponential with latent variables. But see 
      recent work like [1] and [2] which seek to expand on this. p7: 
      I was intrigued by the comment "improved online updating in terms of 
      KL to batch" but could not unpack it---I don't think that turn of 
      phrase appears earlier to explain an idea in the algorithm. Here again 
      a holistic summary of the algorithm would help make the paper clearer. 
      p8: In the conclusions, "closing a hole" is a little strong. You 
      needed a variational approximation to the Rice so you developed it. 
      This is straightforward because it is a conjguate-exponential model. 
      (This is not to take away from the contribution---you make a good case 
      via an interesting application for the Rice being a distribution for 
      which we want a variational approximation.) Also, I found 
      referring to "non-exponential family distributions" confusing. Yes, 
      the Rice is not in the exponential family but, because I read many 
      papers about variational inference, I read the expression to mean 
      latent variable models that are not in the conjugate-exponential 
      family, which the Rice is in. (No need to change if you feel 
      otherwise.)