UCL logo

UCL Discovery

UCL home » Library Services » Electronic resources » UCL Discovery

Switch-reset models: Exact and approximate inference

Bracegirdle, C; Barber, D; (2011) Switch-reset models: Exact and approximate inference. In: (pp. pp. 190-198). Gold open access


Reset models are constrained switching latent Markov models in which the dynamics either continues according to a standard model, or the latent variable is resampled. We consider exact marginal inference in this class of models and their extension, the switch-reset models. A further convenient class of conjugate-exponential reset models is also discussed. For a length T time-series, exact filtering scales with T 2 and smoothing T 3 . We discuss approximate filtering and smoothing routines that scale linearly with T. Applications are given to change-point models and reset linear dynamical systems. Copyright 2011 by the authors.

Type: Proceedings paper
Title: Switch-reset models: Exact and approximate inference
Open access status: An open access publication
URI: http://discovery.ucl.ac.uk/id/eprint/1343214
Downloads since deposit
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item