Variational stabilized linear forgetting in state-space models

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Abstract

State-space modeling of non-stationary natural signals is a notoriously difficult task. As a result of context switches, the memory depth of the model should ideally be adapted online. Stabilized linear forgetting (SLF) has been proposed as an elegant method for state-space tracking in context-switching environments. In practice, SLF leads to state and parameter estimation tasks for which no analytical solutions exist. In the literature, a few approximate solutions have been derived, making use of specific model simplifications. This paper proposes an alternative approach, in which SLF is described as an inference task on a generative probabilistic model. SLF is then executed by a variational message passing algorithm on a factor graph representation of the generative model. This approach enjoys a number of advantages relative to previous work. First, variational message passing (VMP) is an automatable procedure that adapts appropriately under changing model assumptions. This eases the search process for the best model. Secondly, VMP easily extends to estimate model parameters. Thirdly, the modular make-up of the factor graph framework allows SLF to be used as a click-on feature in a large variety of complex models. The functionality of the proposed method is verified by simulating an SLF state-space model in a context-switching data environment.

Original languageEnglish
Title of host publication2017 25th European Signal Processing Conference (EUSIPCO), 28 August - 2 September 2017, Kos, Greece
Place of PublicationPiscataway
PublisherInstitute of Electrical and Electronics Engineers
Pages818-822
Number of pages5
ISBN (Electronic)978-0-9928626-7-1
ISBN (Print)978-1-5386-0751-0
DOIs
Publication statusPublished - 23 Oct 2017
Event25th European Signal Processing Conference, EUSIPCO 2017 - Kos, Greece
Duration: 28 Aug 20172 Sep 2017
Conference number: 25
https://www.eusipco2017.org/

Conference

Conference25th European Signal Processing Conference, EUSIPCO 2017
Abbreviated titleEUSIPCO 2017
CountryGreece
CityKos
Period28/08/172/09/17
Internet address

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