Expectation propagation for continuous time stochastic processes

DOI10.1088/1751-8113/49/49/494002MaRDI QIDQ2960244zbMATH OpenOpenAlexFDO

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)

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

zbMATH Keywords

Markov jump processesdiffusion processesvariational approximate inferenceexpectation propagation algorithm

Mathematics Subject Classification ID

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

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.

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Cited in

(8)

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

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