Sequential Monte Carlo sampling in hidden Markov models of nonlinear dynamical systems

Sequential Monte Carlo sampling in hidden Markov models of nonlinear dynamical systems

We investigate the issue of which state functionals can have their uncertainty estimated efficiently in dynamical systems with uncertainty. Because of the high dimensionality and complexity of the problem, sequential Monte Carlo (SMC) methods are used. We prove that the variance of the SMC method is bounded linearly in the number of time steps when the proposal distribution is truncated normal ...

Monte Carlo Hidden Markov Models

We present a learning algorithm for hidden Markov models with continuous state and observation spaces. All necessary probability density functions are approximated using samples, along with density trees generated from such samples. A Monte Carlo version of Baum-Welch (EM) is employed to learn models from data, just as in regular HMM learning. Regularization during learning is obtained using an...

Probabilistic learning of nonlinear dynamical systems using sequential Monte Carlo

Probabilistic modeling provides the capability to represent and manipulate uncertainty in data, models, decisions and predictions. We are concerned with the problem of learning probabilistic models of dynamical systems from measured data. Specifically, we consider learning of probabilistic nonlinear state space models. There is no closedform solution available for this problem, implying that we...

Sequential Markov Chain Monte Carlo

Abstract: We propose a sequential Markov chain Monte Carlo (SMCMC) algorithm to sample from a sequence of probability distributions, corresponding to posterior distributions at different times in on-line applications. SMCMC proceeds as in usual MCMC but with the stationary distribution updated appropriately each time new data arrive. SMCMC has advantages over sequential Monte Carlo (SMC) in avo...

Sequential Monte Carlo Methods for Filtering and Smoothing in Hidden Markov Models