Aaron A. King, Ph.D.

Nelson G. Hairston Collegiate Professor of
Ecology & Evolutionary Biology, Complex Systems, and Mathematics
University of Michigan

Inference for dynamic and latent variable models via iterated, perturbed Bayes maps

E. L. Ionides, D. Nguyen, Y. Atchadé, S. Stoev, and A. A. King
Proceedings of the National Academy of Sciences of the U.S.A. 112(3): 719–724, 2015.

Iterated filtering algorithms are stochastic optimization procedures for latent variable models that recursively combine parameter perturbations with latent variable reconstruction. Previously, theoretical support for these algorithms has been based on the use of conditional moments of perturbed parameters to approximate derivatives of the log likelihood function. Here, a theoretical approach is introduced based on the convergence of an iterated Bayes map. An algorithm supported by this theory displays substantial numerical improvement on the computational challenge of inferring parameters of a partially observed Markov process.


The official version of the paper is here.   Please contact Prof. King if you'd like a reprint.

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