TY - GEN
T1 - Exact Bayesian estimation in constrained Triplet Markov Chains
AU - Petetin, Yohan
AU - Desbouvries, François
N1 - Publisher Copyright:
© 2014 IEEE.
PY - 2014/11/14
Y1 - 2014/11/14
N2 - The Jump Markov state-space system (JMSS) is a well known model for representing dynamical models with jumps. However inference in a JMSS model is NP-hard, even in the conditionally linear and Gaussian case. Suboptimal solutions include Sequential Monte Carlo (SMC) and Interacting Multiple Models (IMM) methods. In this paper, we build a constrained Triplet Markov Chain (TMC) model which is close to the given JMSS model, and in which moments of interest can be computed exactly (without resorting to numerical nor Monte Carlo approximations) and at a computational cost which is linear in the number of observations. Additionnally, a side advantage of our technique is that it can be used easily in a partially known model context.
AB - The Jump Markov state-space system (JMSS) is a well known model for representing dynamical models with jumps. However inference in a JMSS model is NP-hard, even in the conditionally linear and Gaussian case. Suboptimal solutions include Sequential Monte Carlo (SMC) and Interacting Multiple Models (IMM) methods. In this paper, we build a constrained Triplet Markov Chain (TMC) model which is close to the given JMSS model, and in which moments of interest can be computed exactly (without resorting to numerical nor Monte Carlo approximations) and at a computational cost which is linear in the number of observations. Additionnally, a side advantage of our technique is that it can be used easily in a partially known model context.
KW - Bayesian estimation
KW - Expectation Maximization
KW - Jump Markov state-space systems
KW - Triplet Markov chains
U2 - 10.1109/MLSP.2014.6958847
DO - 10.1109/MLSP.2014.6958847
M3 - Conference contribution
AN - SCOPUS:84912553478
T3 - IEEE International Workshop on Machine Learning for Signal Processing, MLSP
BT - IEEE International Workshop on Machine Learning for Signal Processing, MLSP
A2 - Mboup, Mamadou
A2 - Adali, Tulay
A2 - Moreau, Eric
A2 - Larsen, Jan
PB - IEEE Computer Society
T2 - 2014 24th IEEE International Workshop on Machine Learning for Signal Processing, MLSP 2014
Y2 - 21 September 2014 through 24 September 2014
ER -