Nonparametric Bayesian Learning of Switching Linear Dynamical Systems

  title={Nonparametric Bayesian Learning of Switching Linear Dynamical Systems},
  author={Emily B. Fox and Erik B. Sudderth and Michael I. Jordan and Alan S. Willsky},
Many nonlinear dynamical phenomena can be effectively mode led by a system that switches among a set of conditionally linear dynamical modes. We consider two such models: the switching linear dynamical syste m (SLDS) and the switching vector autoregressive (VAR) process. In this pap er, we present a nonparametric approach to the learning of an unknown number of p ersistent, smooth dynamical modes by utilizing a hierarchical Dirichlet proc ess prior. We develop a sampling algorithm that combines… CONTINUE READING
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