Shen, Y., Archambeau, C., Cornford, D., Opper, M., Shawe-Taylor, J. and Barillec, R. (2007). Evaluation of variational and Markov Chain Monte Carlo methods for inference in partially observed stochastic dynamic systems. IN: Machine Learning for Signal Processing 17 - Proceedings of the 2007 IEEE Signal Processing Society Workshop, MLSP. GBR: IEEE.
Abstract
In recent work we have developed a novel variational inference method for partially observed systems governed by stochastic differential equations. In this paper we provide a comparison of the Variational Gaussian Process Smoother with an exact solution computed using a hybrid Monte Carlo approach to path sampling, applied to a stochastic double well potential model. It is demonstrated that the variational smoother provides us a very accurate estimate of mean path while marginal variance is slightly underestimated. We conclude with some remarks as to the advantages and disadvantages of the variational smoother.
Publication DOI: | https://doi.org/10.1109/MLSP.2007.4414324 |
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Divisions: | ?? 50811700Jl ?? College of Engineering & Physical Sciences > Systems analytics research institute (SARI) |
Additional Information: | © 2007 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. |
Event Title: | 17th IEEE International Workshop on Machine Learning for Signal Processing, MLSP-2007 |
Event Type: | Other |
Event Dates: | 2007-08-27 - 2007-08-29 |
Uncontrolled Keywords: | General Computer Science,Signal Processing |
ISBN: | 1424415667, 9781424415663 |
Last Modified: | 26 Nov 2024 08:17 |
Date Deposited: | 28 Nov 2018 11:48 |
Full Text Link: | |
Related URLs: |
http://www.scop ... tnerID=8YFLogxK
(Scopus URL) https://ieeexpl ... ocument/4414324 (Publisher URL) |
PURE Output Type: | Conference contribution |
Published Date: | 2007-12-01 |
Authors: |
Shen, Y.
Archambeau, C. Cornford, D. ( 0000-0001-8787-6758) Opper, M. Shawe-Taylor, J. Barillec, R. |