Deterministic approximate inference techniques for conditionally Gaussian state space models |
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Authors: | Onno Zoeter Tom Heskes |
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Affiliation: | (1) Biophysics, Radboud University Nijmegen, Geert Grooteplein 21, 6525 EZ Nijmegen, The Netherlands |
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Abstract: | We describe a novel deterministic approximate inference technique for conditionally Gaussian state space models, i.e. state space models where the latent state consists of both multinomial and Gaussian distributed variables. The method can be interpreted as a smoothing pass and iteration scheme symmetric to an assumed density filter. It improves upon previously proposed smoothing passes by not making more approximations than implied by the projection onto the chosen parametric form, the assumed density. Experimental results show that the novel scheme outperforms these alternative deterministic smoothing passes. Comparisons with sampling methods suggest that the performance does not degrade with longer sequences. |
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Keywords: | State space models Conditionally Gaussian state space models Switching linear dynamical systems Approximate inference Expectation propagation Assumed density filtering |
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