Dynamical Systems, Stochastic Processes and Bayesian Inference

Variational Bayes for Continuous-time Nonlinear State-space Models

author: Antti Honkela, Helsinki University of Technology

Categories

Top: Computer Science: Machine Learning: Markov Processes
Top: Mathematics: Statistics

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*Slides*
0:00	Variational Bayes for Continuous-Time Nonlinear State-Space Models
0:40	Outline
1:36	Nonlinear dynamical systems
4:31	Nonlinear state-space models (NSSMs)
6:19	Nonlinear state-space models (NSSMs)01
7:15	Variational inference for the NSSM
9:27	Discrete-time models: pros and cons
11:24	Continuous-time NSSM
12:16	Stochastic Differential Equations
13:07	Continuous-time NSSM
14:25	Approximations
16:48	Variational continuous-time NSSM
17:42	State inference
19:47	Faster state inference
22:03	Experiment: Continuous-time NSSM
23:22	Experiment: Continuous-time NSSM01
24:11	Experiment: Continuous-time NSSM02
25:14	Experiment: Continuous-time NSSM03
25:56	Experiment: State inference
27:18	Experiment: State inference01
29:19	Conclusion

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