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Switch-reset models: Exact and approximate inference

Bracegirdle, C; Barber, D; (2011) Switch-reset models: Exact and approximate inference. In: Journal of Machine Learning Research. (pp. 190 - 198). 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 and smoothing T . 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
Publisher version:http://www.jmlr.org/
UCL classification:UCL > School of BEAMS > Faculty of Engineering Science > Computer Science

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