Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Варіаційне виведення для часових рядів× | Послідовний Монте-Карло× | |
|---|---|---|
| Галузь | Баєсові методи | Баєсові методи |
| Родина | Bayesian methods | Bayesian methods |
| Рік появи≠ | 1999–2017 | 1993 (particle filter); 2006 (SMC samplers) |
| Автор методу≠ | Jordan, Ghahramani, Jaakkola, Saul; extended by Blei and colleagues | Gordon, Salmond & Smith (particle filter); Del Moral, Doucet & Jasra (SMC samplers) |
| Тип≠ | Approximate Bayesian inference | Sequential Bayesian computation |
| Основоположне джерело≠ | Blei, D. M., Kucukelbir, A. & McAuliffe, J. D. (2017). Variational inference: A review for statisticians. Journal of the American Statistical Association, 112(518), 859-877. DOI ↗ | Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (1993). Novel approach to nonlinear/non-Gaussian Bayesian state estimation. IEE Proceedings F - Radar and Signal Processing, 140(2), 107–113. DOI ↗ |
| Інші назви | time-series VI, variational Bayes for time series, TSVI, sequential variational inference | SMC, particle filter, sequential importance resampling, SMC sampler |
| Пов'язані | 6 | 6 |
| Підсумок≠ | Time series variational inference applies variational Bayes to sequential data, approximating the intractable posterior over latent states and parameters with a tractable family of distributions. By maximising the evidence lower bound (ELBO), it delivers fast, scalable Bayesian inference for state-space models, dynamic latent variable models, and other time-ordered probabilistic systems. | Sequential Monte Carlo (SMC) is a family of simulation-based algorithms that approximate evolving probability distributions by propagating and reweighting a cloud of weighted random draws called particles. It handles nonlinear, non-Gaussian models and streams of data naturally, making it the method of choice for real-time state estimation and posterior approximation over complex distributions. |
| ScholarGateНабір даних ↗ |
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