Approximate Smoothing and Parameter Estimation in High-Dimensional State-Space Models

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• Dr Axel Finke, CUED
• Thursday 19 May 2016, 15:00-16:00
• LR6, Department of Engineering.

If you have a question about this talk, please contact Prof. Ramji Venkataramanan.

We present an approximate algorithm for estimating additive smoothing functionals in a class of high-dimensional state-space models via sequential Monte Carlo methods. In such high-dimensional settings, a prohibitively large number of particles, i.e. growing exponentially in the dimension of the state space, is usually required to obtain useful estimates of such smoothed quantities. Exploiting spatial ergodicity properties of the model, we circumvent this problem via a blocking strategy which leads to approximations that can be computed recursively in time and in parallel in space. In particular, our method enables us to perform maximum-likelihood estimation via stochastic gradient-ascent and stochastic EM algorithms. We demonstrate the method on a high-dimensional state-space model.

This is joint work with Sumeetpal S. Singh.

This talk is part of the Signal Processing and Communications Lab Seminars series.

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