Corpus ID: 7361669

Variational Inference for Diffusion Processes

@inproceedings{Archambeau2007VariationalIF,
  title={Variational Inference for Diffusion Processes},
  author={C. Archambeau and M. Opper and Yuan Shen and D. Cornford and J. Shawe-Taylor},
  booktitle={NIPS},
  year={2007}
}
Diffusion processes are a family of continuous-time continuous-state stochastic processes that are in general only partially observed. The joint estimation of the forcing parameters and the system noise (volatility) in these dynamical systems is a crucial, but non-trivial task, especially when the system is nonlinear and multi-modal. We propose a variational treatment of diffusion processes, which allows us to compute type II maximum likelihood estimates of the parameters by simple gradient… Expand
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