Multiplicative latent force models

DOI10.1007/978-3-030-30611-3_6MaRDI QIDQ3297246zbMATH OpenOpenAlexFDO

Authors Daniel J. Tait, Bruce J. Worton

Publication date 3 July 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.00423

zbMATH Keywords

Gaussian processeslatent force models

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric estimation (62G05)

Abstract: Bayesian modelling of dynamic systems must achieve a compromise between providing a complete mechanistic specification of the process while retaining the flexibility to handle those situations in which data is sparse relative to model complexity, or a full specification is hard to motivate. Latent force models achieve this dual aim by specifying a parsimonious linear evolution equation which an additive latent Gaussian process (GP) forcing term. In this work we extend the latent force framework to allow for multiplicative interactions between the GP and the latent states leading to more control over the geometry of the trajectories. Unfortunately inference is no longer straightforward and so we introduce an approximation based on the method of successive approximations and examine its performance using a simulation study.

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Cites work

• Gaussian processes for machine learning.
• On the solution of linear differential equations in Lie groups
• Random ordinary differential equations
• The Fokker-Planck equation. Methods of solution and applications.
• The Frechet distance between multivariate normal distributions

Cited in

(1)

• Efficient state-space inference of periodic latent force models

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