Nonlinear Filtering With Variable Bandwidth Exponential Kernels

Frameworks for efficient and accurate data processing often rely on a suitable representation of measurements that capture phenomena of interest. Typically, such representations are high-dimensional vectors obtained by a transformation of raw sensor signals such as time-frequency transform, lag-map, etc. In this work, we focus on representation learning approaches that consider the measurements as the nodes of a weighted graph, with edge weights computed by a given kernel. If the kernel is chosen properly, the eigenvectors of the resulting graph affinity matrix provide suitable representation coordinates for the measurements. Consequently, tasks such as regression, classification, and filtering, can be done more efficiently than in the original domain of the data. In this paper, we address the problem of representation learning from measurements, which besides the phenomenon of interest contain undesired sources of variability. We propose data-driven kernels to learn representations that accurately parametrize the phenomenon of interest, while reducing variations due to other sources of variability. This is a non-linear filtering problem, which we approach under the assumption that certain geometric information about the undesired variables can be extracted from the measurements, e.g., using an auxiliary sensor. The applicability of the proposed kernels is demonstrated in toy problems and in a real signal processing task.