Variational Bayes for Continuous-time Nonlinear State-space Models

Lecture slides:

• Outline
• Nonlinear dynamical systems
• Nonlinear state-space models (NSSMs)
• Nonlinear state-space models (NSSMs)01
• Variational inference for the NSSM
• Discrete-time models: pros and cons
• Continuous-time NSSM
• Stochastic Differential Equations
• Continuous-time NSSM
• Approximations
• Variational continuous-time NSSM
• State inference
• Faster state inference
• Experiment: Continuous-time NSSM
• Experiment: Continuous-time NSSM01
• Experiment: Continuous-time NSSM02
• Experiment: Continuous-time NSSM03
• Experiment: State inference
• Experiment: State inference01
• Conclusion

Author: Antti Honkela, Helsinki University of Technology