A variational approach to path estimation and parameter inference of hidden diffusion processes

zbMath1392.62254arXiv1508.00506MaRDI QIDQ2834533

Arnab Ganguly, Tobias Sutter, Heinz Koeppl

Publication date: 22 November 2016

Full work available at URL: https://arxiv.org/abs/1508.00506

zbMATH Keywords

optimal controlhidden Markov modelstochastic differential equationsdiffusion processesvariational inference

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items

Variational Inference for Stochastic Differential Equations, Expectation propagation for continuous time stochastic processes, Error covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurements, An Optimal Control Derivation of Nonlinear Smoothing Equations