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Type of publication:Inproceedings
Entered by:JOSM
TitleA Gaussian approximation for stochastic non-linear dynamical processes with annihilation
Bibtex cite ID
Booktitle Proceedings of the NIPS 2006 Workshop on Dynamical Systems, Stochastic Processes and Bayesian Inference
Year published 2006
Month December
Location 9 December 2006, Whistler, BC, Canada
Keywords gaussian approximation,stochastic non-linear dynamical processes
Abstract
We consider a stochastic nonlinear dynamical process with annihilation of particles. This process can be viewed as the continuous time version of the extended Kalman filter/smoother. It also plays an important role in stochastic optimal control theory. We derive a Gaussian approximation for this process. With the use of the path integral formalism we derive Euler-Lagrange equations for the mode. Furthermore, we derive a linear noise approximation to estimate the size of the fluctuations around the mode, and estimates of the partition function, based on the mode and Gaussian corrections. Numerical experiments confirm the validity of the approximation method. In addition, they show that the Gaussian correction provides a significant improvement of the estimate of the partition function.
Authors
Wiegerinck, Wim
Kappen, Hilbert J.
Topics
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