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Publication Detail
Switch-Reset Models: Exact and Approximate Inference
  • Publication Type:
    Conference
  • Authors:
    Bracegirdle CI, Barber D
  • Published proceedings:
    JMLR
  • Name of conference:
    AISTATS 2011
  • Conference place:
    Fort Lauderdale
  • Conference start date:
    11/04/2011
  • Conference finish date:
    13/04/2011
Abstract
Reset models are constrained switching latent Markov models in which the dynamics either continues according to a standard model, or the latent variable is resampled. We consider exact marginal inference in this class of models and their extension, the switch-reset models. A further convenient class of conjugate-exponential reset models is also discussed. For a length T time-series, exact ltering scales with T^2 and smoothing T^3. We discuss approximate filtering and smoothing routines that scale linearly with T. Applications are given to reset linear dynamical systems.
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