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CORR
2012
Springer

Fast MCMC sampling for Markov jump processes and continuous time Bayesian networks

8 years 5 months ago
Fast MCMC sampling for Markov jump processes and continuous time Bayesian networks
Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary variable Gibbs sampler. Our approach is based on the idea of uniformization, and sets up a Markov chain over paths by sampling a finite set of virtual jump times and then running a standard hidden Markov model forward filteringbackward sampling algorithm over states at the set of extant and virtual jump times. We demonstrate significant computational benefits over a state-of-the-art Gibbs sampler on a number of continuous time Bayesian networks.
Vinayak Rao, Yee Whye Teh
Added 20 Apr 2012
Updated 20 Apr 2012
Type Journal
Year 2012
Where CORR
Authors Vinayak Rao, Yee Whye Teh
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