[IDA ML Seminar] Machine Learning Seminar by Zheng Zhao, May 10 at 15:15

[Fredrik Lindsten]

Welcome to a Machine Learning Seminar on Wednesday, May 10 at 15:15 in Alan Turing (note the place)



On the moment representation of stochastic filtering
Zheng Zhao, Uppsala University https://zz.zabemon.com/



Abstract: Stochastic filters are an important algorithms for estimating the distributions of latent variables conditioned on the observations. In reality, the filtering distributions are hard to compute, hence, we often resort to approximate representations of the distributions that are easy to compute, for example, samples or Gaussian approximations. In this talk, we introduce a representation based on a sequence of moments. We show that this representation is convergent in distribution as we increase the order of moments, and that the moments are easy to compute by using a numerical quadrature method. Furthermore, we numerically show that the performance of the moment filter is comparable to standard particle filters in terms of convergence, parameter estimation, and computation. Please feel free to take a look at our implementation of the filter at https://github.com/zgbkdlm/mfs.



Location: Alan Turing, https://www.ida.liu.se/department/location/search.en.shtml?keyword=alan

Organizers: Fredrik Lindsten, Sourabh Balgi



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