Switch-reset models: Exact and approximate inference.
Presented at: UNSPECIFIED.
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
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