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Stochastic Differential Equations with VariationalWishart Diffusions

Jørgensen, M; Deisenroth, MP; Salimbeni, H; (2020) Stochastic Differential Equations with VariationalWishart Diffusions. In: (Proceedings) Proceedings of the 37th International Conference on Machine Learning. (pp. pp. 4941-4950). PMLR Green open access

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Abstract

We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-Time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also known as the diffusion, and modelling it by means of Wishart processes. Further, we present a semiparametric approach that allows the framework to scale to high dimensions. This successfully lead us onto how to model both latent and autoregressive temporal systems with conditional heteroskedastic noise. We provide experimental evidence that modelling diffusion often improves performance and that this randomness in the differential equation can be essential to avoid overfitting.

Type: Proceedings paper
Title: Stochastic Differential Equations with VariationalWishart Diffusions
Event: Proceedings of the 37th International Conference on Machine Learning
Open access status: An open access version is available from UCL Discovery
Publisher version: http://proceedings.mlr.press/v119/jorgensen20a.htm...
Language: English
Additional information: This work is licensed under a Creative Commons Attribution 4.0 International License. The images or other third party material in this article are included in the Creative Commons license, unless indicated otherwise in the credit line; if the material is not included under the Creative Commons license, users will need to obtain permission from the license holder to reproduce the material. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10128809
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