Blazej Miasojedow: MCMC algorithm for CTBN’s via particle Gibbs
Tid: Må 2015-02-23 kl 15.15 - 16.00
Plats: Room 3721, Lindstedtsvägen 25, 7th floor, Department of mathematics, KTH
Medverkande: Blazej Miasojedow, University of Warsaw
In the talk will be presented an MCMC sampler for posterior distribution oof CTBN trajectory given partial and noisy observation. The MCMC algorithm is based on idea of so called virtual jumps proposed in Rao&Teh “Fast MCMC Sampling for Markov Jump Processes and Extensions”, JMLR 2013. In present algorithm forward filtering backward sampling (FFBS) used in original version of Rao&Teh is replaced by particle Gibbs. For the large state space our modification is lees computationally expensive. In addition it allows us to consider an infinite state space case. Efficiency will be demonstrated by a numerical experiments. The talk is based on joint work with W. Niemiro.