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Variational filtering in generated coordinates of motion

Variational filtering in generated coordinates of motion

This video was recorded at Workshop on Approximate Inference in Stochastic Processes and Dynamical Systems, Cumberland Lodge 2008. This presentation reviews a variational treatment of dynamic models that furnishes time-dependent conditional densities on the path or trajectory of a system's states and the time-independent densities of its parameters. These obtain by maximizing a variational action with respect to conditional densities, under a fixed-form assumption about their form. The action or path-integral of free-energy represents a lower-bound on the model's log-evidence or marginal likelihood required for model selection and averaging. This approach rests on formulating the optimization in generalized co-ordinates of motion. The resulting scheme can be used for on-line Bayesian... Show More

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