Variational Bayes for Continuous-time Nonlinear State-space Models

Posted in Science on July 22, 2008


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

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