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Title	MCMC for non-Linear State Space Models Using Ensembles of Latent Sequences
Creator	Shestopaloff, Alexander
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-02-13
Description	Non-linear state space models are a widely-used class of models for biological, economic, and physical processes. Fitting these models to observed data is a difficult inference problem that has no straightforward solution. We take a Bayesian approach to the inference of unknown parameters of a non-linear state model; this, in turn, requires the availability of efficient Markov Chain Monte Carlo (MCMC) sampling methods for the latent (hidden) variables and model parameters. Using the ensemble technique of Neal (2010) and the embedded HMM technique of Neal (2003), we introduce a new Markov Chain Monte Carlo method for non-linear state space models. The key idea is to perform parameter updates conditional on an enormously large ensemble of latent sequences, as opposed to a single sequence, as with existing methods. We look at the performance of this ensemble method when doing Bayesian inference in the Ricker model of population dynamics. We show that for this problem, the ensemble method is vastly more efficient than a simple Metropolis method, as well as 1.9 to 12.0 times more efficient than a single-sequence embedded HMM method, when all methods are tuned appropriately. We also introduce a way of speeding up the ensemble method by performing partial backward passes to discard poor proposals at low computational cost, resulting in a final efficiency gain of 3.4 to 20.4 times over the single-sequence method. This research has been done jointly with Radford M. Neal.
Extent	42 minutes
Subject	Mathematics Statistics Biology and other natural sciences Applied statistics
Type	Moving Image
FileFormat	video/mp4
Language	eng
Notes	Author affiliation: University of Toronto
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-08-07
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0043899
URI	http://hdl.handle.net/2429/49849
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Graduate
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
AggregatedSourceRepository	DSpace

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