Archambeau, C; Shawe-Taylor, J; Opper, M; Shen, Y; Cornford, D; (2009) Variational inference for diffusion processes. In: Advances in Neural Information Processing Systems 20 - Proceedings of the 2007 Conference.
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Diffusion processes are a family of continuous-time continuous-state stochastic processes that are in general only partially observed. The joint estimation of the forcing parameters and the system noise (volatility) in these dynamical systems is a crucial, but non-trivial task, especially when the system is nonlinear and multimodal. We propose a variational treatment of diffusion processes, which allows us to compute type II maximum likelihood estimates of the parameters by simple gradient techniques and which is computationally less demanding than most MCMC approaches. We also show how a cheap estimate of the posterior over the parameters can be constructed based on the variational free energy.
|Title:||Variational inference for diffusion processes|
|UCL classification:||UCL > School of BEAMS > Faculty of Engineering Science > Computer Science|
UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science
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