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    This paper presents a Bayesian non-parametric approach to inferring stochastic differential equations for regression and modeling dynamical systems. It models the stochastic part of the differential equation, known as the diffusion, using Wishart processes. The framework allows modeling of both latent and autoregressive temporal systems with conditional heteroskedastic noise. Experimental results show modeling the diffusion can improve performance and help avoid overfitting by accounting for essential randomness in the differential equation.

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    This paper presents a Bayesian non-parametric approach to inferring stochastic differential equations for regression and modeling dynamical systems. It models the stochastic part of the differential equation, known as the diffusion, using Wishart processes. The framework allows modeling of both latent and autoregressive temporal systems with conditional heteroskedastic noise. Experimental results show modeling the diffusion can improve performance and help avoid overfitting by accounting for essential randomness in the differential equation.

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    13 views1 page

    Paper 1 PDF

    Uploaded by

    Thomas Lee
    This paper presents a Bayesian non-parametric approach to inferring stochastic differential equations for regression and modeling dynamical systems. It models the stochastic part of the differential equation, known as the diffusion, using Wishart processes. The framework allows modeling of both latent and autoregressive temporal systems with conditional heteroskedastic noise. Experimental results show modeling the diffusion can improve performance and help avoid overfitting by accounting for essential randomness in the differential equation.

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    of 1

    8/19/2020 Paper

    Stochastic Differential Equations with Variational Wishart Diffusions


    Part of Proceedings of the International Conference on Machine Learning 119 pre-proceedings (ICML 2020)
    Bibtex » Metadata » Paper » Supplemental »

    Authors
    Martin Jørgensen, Marc Deisenroth, Hugh Salimbeni
    Abstract
    We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time
    dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also known as the diffusion, and
    modelling it by means of Wishart processes. Further, we present a semiparametric approach that allows the framework to scale to high
    dimensions. This successfully leads us onto how to model both latent and autoregressive temporal systems with conditional
    heteroskedastic noise. We provide experimental evidence that modelling diffusion often improves performance and that this
    randomness in the differential equation can be essential to avoid overfitting.

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    https://proceedings.icml.cc/book/2020/hash/020bf2c45e7bb322f89a226bd2c5d41b 1/1

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