Expectation propagation for continuous time stochastic processes

DOI10.1088/1751-8113/49/49/494002zbMATH Open1360.60150arXiv1512.06098OpenAlexW3105666697MaRDI QIDQ2960244FDOQ2960244

Authors: Botond Cseke, David Schnoerr, Guido Sanguinetti, Manfred Opper 

Publication date: 8 February 2017

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive approximations to the posterior distributions of single time marginals using variational approximate inference. We then show how the approximation can be extended to a wide class of discrete-state Markov jump pro- cesses by making use of the chemical Langevin equation. Our empirical results show that the proposed method is computationally efficient and provides good approximations for these classes of inverse problems.

Full work available at URL: https://arxiv.org/abs/1512.06098

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zbMATH Keywords

Markov jump processesdiffusion processesvariational approximate inferenceexpectation propagation algorithm

Mathematics Subject Classification ID

Bayesian inference (62F15) Diffusion processes (60J60)

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Cited In (8)

• Mean field variational approximation for continuous-time Bayesian networks
• Probabilistic Model Checking for Continuous-Time Markov Chains via Sequential Bayesian Inference
• Expectation Propagation in the Large Data Limit
• The quantum Rabi model: solution and dynamics
• Approximation and inference methods for stochastic biochemical kinetics -- a tutorial review
• On expectation propagation for generalised, linear and mixed models
• Hybrid master equation for jump-diffusion approximation of biomolecular reaction networks
• Variational Inference for Stochastic Differential Equations

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