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Variational Inference for Diffusion Processes
Cedric Archambeau · Manfred Opper · Yuan Shen · Dan Cornford · John Shawe-Taylor

Tue Dec 04 10:30 AM -- 10:40 AM (PST) @

Diffusion processes are a family of continuous-time continuous-state stochastic processes that are in general only partially observed. The joint estimation of the forcing parameters and the system noise (volatility) in these dynamical systems is a crucial, but non-trivial task, especially when the system is nonlinear and multi-modal. We propose a variational treatment of diffusion processes, which allows us to estimate these parameters by simple gradient techniques and which is computationally less demanding than most MCMC approaches. Furthermore, our parameter inference scheme does not break down when the time step gets smaller, unlike most current approaches. Finally, we show how a cheap estimate of the posterior over the parameters can be constructed based on the variational free energy.

Author Information

Cedric Archambeau (Amazon Web Services)
Manfred Opper (Technische Universitaet Berlin)
Yuan Shen
Dan Cornford (Neural Computing Research Group, Aston University)
John Shawe-Taylor (UCL)

John Shawe-Taylor has contributed to fields ranging from graph theory through cryptography to statistical learning theory and its applications. However, his main contributions have been in the development of the analysis and subsequent algorithmic definition of principled machine learning algorithms founded in statistical learning theory. This work has helped to drive a fundamental rebirth in the field of machine learning with the introduction of kernel methods and support vector machines, driving the mapping of these approaches onto novel domains including work in computer vision, document classification, and applications in biology and medicine focussed on brain scan, immunity and proteome analysis. He has published over 300 papers and two books that have together attracted over 60000 citations. He has also been instrumental in assembling a series of influential European Networks of Excellence. The scientific coordination of these projects has influenced a generation of researchers and promoted the widespread uptake of machine learning in both science and industry that we are currently witnessing.

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