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Switch-reset models: Exact and approximate inference

Bracegirdle, C; Barber, D; (2011) Switch-reset models: Exact and approximate inference. Presented at: UNSPECIFIED. Gold open access

Abstract

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: Conference item (UNSPECIFIED)
Title: Switch-reset models: Exact and approximate inference
Open access status: An open access publication
UCL classification: UCL > School of BEAMS > Faculty of Engineering Science
UCL > School of BEAMS > Faculty of Engineering Science > Computer Science
URI: http://discovery.ucl.ac.uk/id/eprint/1343214
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