Switch-Reset Models : Exact and Approximate Inference
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 conjugateexponential reset models is also discussed. For a length T time-series, exact ltering scales with T^2 and smoothing T^3. We discuss approximate ltering and smoothing routines that scale linearly with T. Applications are given to reset linear dynamical systems.