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Variational Bayes for Continuous-time Nonlinear State-space Models
Published on Feb 25, 20076901 Views
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Variational Bayes for Continuous-Time <br>Nonlinear State-Space Models00:00
Outline00:40
Nonlinear dynamical systems01:36
Nonlinear state-space models (NSSMs)04:31
Nonlinear state-space models (NSSMs)0106:19
Variational inference for the NSSM07:15
Discrete-time models: pros and cons09:27
Continuous-time NSSM11:24
Stochastic Differential Equations12:16
Continuous-time NSSM13:07
Approximations14:25
Variational continuous-time NSSM16:48
State inference17:42
Faster state inference19:47
Experiment: Continuous-time NSSM22:03
Experiment: Continuous-time NSSM0123:22
Experiment: Continuous-time NSSM0224:11
Experiment: Continuous-time NSSM0325:14
Experiment: State inference25:56
Experiment: State inference0127:18
Conclusion29:19