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Switch-Reset Models : Exact and Approximate Inference
Chris Bracegirdle and David Barber
In: AISTATS 2011, 11-13 April 2011, Fort Lauderdale.
AbstractReset 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. [Edit]
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