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Table Of Contents

Inference and Estimation in Probabilistic Time-Series Models
1.1 Time-series
1.1.1 Inference and Estimation
1.2 Markov models
1.2.1 Discrete state Markov models
1.2.2 Autoregressive (AR) models
1.3 Latent Markov Models
1.3.1 Discrete state latent Markov model
1.3.2 Continuous state latent Markov models
1.4 Inference in latent Markov models
1.4.1 Filtering p(xt|y1:t)
1.4.2 Smoothing p(x1:T|y1:T)
1.4.3 Prediction p(yt+1|y1:t)
1.4.4 Interpolation
1.4.5 Most likely joint path
1.4.6 Inference in Linear Dynamical Systems
1.4.7 Non-linear latent Markov Models
1.5 Deterministic approximate inference
1.5.1 Variational Bayes
1.5.2 Assumed density filtering in latent Markov models
1.5.3 Expectation propagation
1.6 Simulation Based Inference
1.6.1 Markov Chain Monte Carlo
1.6.2 Sequential Monte Carlo
1.6.3 Sequential Importance Sampling, Particle Filtering
1.7 Multi Object Tracking and the PHD filter
1.7.1 Poisson Point Processes
1.8 Discussion and Summary
Monte Carlo
Adaptive Markov Chain Monte Carlo: Theory and Methods
2.1 Introduction
2.2 Adaptive MCMC Algorithms
2.2.1 Internal adaptive algorithms
2.2.2 External Adaptive Algorithm
2.3 Convergence of the marginal distribution
2.3.1 Main result
2.4 Strong law of large numbers
2.5 Convergence of the Equi-Energy sampler
2.5.1 Convergence of the marginal
2.6 Conclusion
2.7 Proofs
2.7.1 Proof of Sections 2.3 and 2.4
2.7.2 Proof of Section 2.5
Recent Developments in Auxiliary Particle Filtering
3.1 Background
3.1.1 State-Space Models
3.1.2 Particle Filtering
3.1.3 Sequential Importance Resampling
3.1.4 Auxiliary Particle Filters
3.2 Interpretation and Implementation
3.2.1 The APF as SIR
3.2.2 Implications for Implementation
3.2.3 Other Interpretations and Developments
3.3 Applications and Extensions
3.3.1 Marginal Particle Filters
3.3.2 Sequential Monte Carlo Samplers
3.3.3 The Probability Hypothesis Density Filter
3.4 Further Stratifying the APF
3.4.1 Reduction in Conditional Variance
3.4.2 Application to Switching State-Space Models
3.5 Conclusions
inference for diffusion processes
4.1 Summary
4.2 Introduction
4.3 Random weight continuous-discrete particle filtering
4.4 Transition density representation for a class of diffusions
4.5 Exact simulation of diffusions
4.6 Exact simulation of killed Brownian motion
4.7 Unbiased estimation of the transition density using series ex- pansions
4.7.2 Unbiased truncation of infinite series
4.7.4 Simulation from probability measures on unions of spaces
4.7.5 Monte Carlo for integral equations
4.7.6 Illustrating example: the CIR density
4.8 Discussion and directions
5.1 Introduction
5.2 The Variational Approach
5.2.1 A motivating example
5.2.2 Chapter Organisation
5.3 Compactness of variational approximations
5.3.1 Approximating mixtures of Gaussians with a single Gaussian
5.3.2 Approximating a correlated Gaussian with a factored Gaussian
5.3.3 Variational approximations do not propagate uncertainty
5.4 Variational Approximations are Biased
5.4.1 Deriving the learning algorithms
5.4.2 General properties of the bounds: A sanity check
5.4.3 Learning the dynamical parameter, λ
5.4.5 Learning the magnitude and direction of one emission weight
5.4.6 Characterising the space of solutions
5.4.7 Simultaneous learning of pairs of parameters
5.4.8 Discussion of the scope of the results
5.5 Conclusion
Approximate inference for continuous-time Markov processes
6.1 Introduction
6.2 Partly observed diffusion processes
6.3 Hidden Markov characterisation
6.3.1 Example
6.4 The Variational Approximation
6.4.1 The variational approximation in Machine Learning
6.4.2 The variational approximation for Markov processes
6.4.3 The variational problem revisited
6.5 The Gaussian Variational Approximation
6.8 Discussion and outlook
inference in switching Kalman filter models
7.1 Introduction
7.2 Notation and problem description
7.3 Assumed density filtering
7.3.1 Local approximations
7.3.2 The sum-product algorithm
7.4 Expectation propagation
7.4.1 Backward pass
7.4.2 Iteration
7.4.3 Supportiveness
7.5 Free energy minimization
7.6 Generalized expectation propagation
7.7 Alternative backward passes
7.7.1 Approximated backward messages
7.7.2 Partial smoothing
7.8 Experiments
7.8.1 Comparisons with exact posteriors
7.8.2 Comparisons with Gibbs sampling
7.8.3 Effect of Larger Outer Clusters
7.9 Discussion
7.A Operations on Conditional Gaussian potentials
7.B Proof of Theorem 2
8.1 Introduction
8.2 The Switching LDS
8.2.1 Exact inference is computationally intractable
8.3 Gaussian Sum Filtering
8.3.1 Continuous filtering
8.3.2 Discrete filtering
8.3.3 The likelihood p(v1:T)
8.3.4 Collapsing Gaussians
8.3.5 Relation to other methods
8.4 Gaussian Sum Smoothing
8.7 Summary
Change-point Models
Analysis of Changepoint Models
9.1 Introduction
9.1.1 Model and Notation
9.1.2 Example: Piecewise Linear Regression
9.2 Single Changepoint Models
9.2.1 Likelihood-ratio based approach
9.2.2 Penalised likelihood approaches
9.2.3 Bayesian Methods
9.3 Multiple Changepoint Models
9.3.1 Binary Segmentation
9.3.2 Segment Neighbourhood Search
9.3.3 Minimum Description Length
9.3.4 Bayesian Methods
9.4 Comparison of Methods
9.4.1 Single Changepoint Model
9.4.2 Multiple Changepoint Model
9.5 Conclusion
Multi-Object Models
parameters in multi-target tracking models
10.1 Introduction
10.2 The Multi-target Model
10.3 A Review of the PHD Filter
10.3.1 Inference for Partially Observed Poisson Processes
10.3.2 The PHD Filter
10.4 Approximating the Marginal Likelihood
10.5 SMC approximation of the PHD filter and its gradient
10.6 Parameter Estimation
10.6.1 Pointwise Gradient Approximation
10.6.2 Simultaneous Perturbation Stochastic Approximation (SPSA)
10.7 Simulation Study
10.7.1 Model
10.7.2 Pointwise Gradient Approximation
10.7.3 SPSA
10.8 Conclusion
Sequential Inference for Dynamically Evolving Groups of
11.1 Introduction
11.2 MCMC-Particles Algorithm
11.2.1 Sequential MCMC
11.2.2 Outline of Algorithm
11.2.3 Toy Example
11.2.4 Inference Algorithm
11.2.5 Comparison with SIR Particle Filter
11.2.6 Comparison with Other Algorithms
11.3 Group Tracking
11.4 Ground Target Tracking
11.4.1 Basic Group Dynamical Model
11.4.2 Bayesian Model for Group Target Tracking
11.4.3 State Dependent Group Structure Transition Model
11.4.4 Observation Model
11.4.5 Simulation Results
11.5 Group Stock Selection
11.5.1 Group Stock Mean Reversion Model
11.5.2 State Independent Group Structure Model
11.5.3 Bayesian Model for Group Structure Analysis
11.5.4 Simulation Results
11.6 Conclusions
11.7 Appendix: Base Group Representation
Non–commutative harmonic analysis in multi–object tracking
12.1 Introduction
12.1.1 Related work
12.2 Harmonic analysis on finite groups
12.2.1 The symmetric group
12.3 Band-limited approximations
12.4 A Hidden Markov Model in Fourier space
12.4.1 A random walk on Sn
12.4.2 Relabeling invariance
12.4.3 Walks generated by transpositions
12.8 Acknowledgments
13.1 Introduction
13.2 Model
13.3 Novel conditions
13.3.1 The X-factor
13.4 Parameter estimation
13.4.1 Learning normal dynamics: heart rate
13.4.2 Learning artifactual dynamics: blood sampling
13.4.3 Learning physiological dynamics: bradycardia
13.4.4 Learning the novelty threshold
13.4.5 Learning the factorial model
13.5 Inference
13.5.1 Filtering
13.5.2 Smoothing
13.5.3 Handling missing observations
13.5.4 Constraining switch transitions
13.6 Experiments
13.6.1 Evaluation of known factors
13.6.2 Inference of novel dynamics
13.7 Summary
Non-parametric Models
Markov chain Monte Carlo algorithms for Gaussian processes
14.1 Introduction
14.2 Gaussian process models
14.3 Non-Gaussian likelihoods and deterministic methods
14.4 Sampling algorithms for Gaussian Process models
14.4.1 Gibbs sampling and independent Metropolis-Hastings
14.4.2 Sampling using local regions
14.4.3 Sampling using control variables
14.4.4 Selection of the control variables
14.4.5 Sampling the hyperparameters
14.5 Related work and other sampling schemes
14.6 Demonstration on regression and classification
14.7 Transcriptional regulation
14.8 Dealing with large datasets
14.9 Discussion
Nonparametric Hidden Markov Models
15.1 Introduction
15.2 From HMMs to Bayesian HMMs
15.4.2 The Beam Sampler
15.5 Example: Unsupervised Part-Of-Speech Tagging
15.6 Beyond the iHMM
15.6.1 The Input-Output iHMM
15.6.2 The Sticky and Block-Diagonal iHMM
15.6.3 iHMM with Pitman-Yor Base Distribution
15.7 Conclusions
16.1 Introduction
16.2 The Information Processing Problem
16.3 Gaussian Processes
16.3.1 Covariance Functions
16.3.2 Marginalisation
16.3.3 Censored Observations
16.3.4 Efficient Implementation
16.3.5 Active Data Selection
16.4 Trial Implementation
16.4.1 Bramblemet
16.4.2 Wannengrat
16.5 Empirical Evaluation
16.5.1 Regression and Prediction
16.5.2 Censored Observations
16.5.3 Active Data Selection
16.6 Computation Time
16.7 Related Work
16.8 Conclusions
16.A Appendix
16.A.1 Cholesky Factor Update
16.A.2 Data Term Update
16.A.3 Cholesky Factor Downdate
Agent Based Models
Optimal control theory and the linear Bellman Equation
17.1 Introduction
17.2 Discrete time control
17.3 Continuous time control
17.3.1 The HJB equation
17.3.2 Example: Mass on a spring
17.3.3 Pontryagin minimum principle
17.3.4 Again mass on a spring
17.4 Stochastic optimal control
17.4.1 Stochastic differential equations
17.4.2 Stochastic optimal control theory
17.4.3 Linear quadratic control
17.4.4 Example of LQ control
17.5 Learning
17.5.1 Inference and control
17.5.2 Certainty equivalence
17.6 Path integral control
17.6.1 Path integral control
17.6.2 The diffusion process as a path integral
17.7 Approximate inference methods for control
17.7.1 MC sampling
17.7.2 The variational method
17.8 Discussion
and optimal control problems
18.1 Markov Decision Processes and likelihood maximization
18.2.1 Single variable case
18.2.2 Explicit E-step algorithms
18.2.3 Structured DBN case
18.3 Application to MDPs
18.3.1 Expectation-Maximization with a tabular policy
18.3.2 Relation to Policy Iteration and Value Iteration
18.3.3 Discrete maze examples
18.3.4 Stochastic optimal control
18.4 Application to POMDPs
18.4.1 POMDP experiments
18.5 Conclusion
18.5.1 Follow-up and related work
18.A Remarks
18.B Pruning computations
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Probabilistic Methods for Time Series Analysis - Book

Probabilistic Methods for Time Series Analysis - Book

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Published by: tradercat on Oct 01, 2010
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