Loading...
report
Stable Directed Belief Propagation in Gaussian DAGs using the auxiliary variable trick
Barber, David
•
Sollich, Peter
2005
We consider approximate inference in a class of switching linear Gaussian State Space models which includes the switching Kalman Filter and the more general case of switch transitions dependent on the continuous hidden state. The method is a novel form of Gaussian sum smoother consisting of a single forward and backward pass, and compares favourably against a range of competing techniques, including sequential Monte Carlo and Expectation Propagation.
Loading...
Name
barber-idiap-rr-05-72.pdf
Access type
openaccess
Size
162.19 KB
Format
Adobe PDF
Checksum (MD5)
e0af4932a4091cc34b33c6b07955da3f