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Variational Resampling
KTH, School of Electrical Engineering and Computer Science (EECS), Computer Science, Computational Science and Technology (CST). KTH, Centres, Science for Life Laboratory, SciLifeLab.ORCID iD: 0000-0002-6369-712x
Univ Edinburgh, Edinburgh, Midlothian, Scotland..
Univ Edinburgh, Edinburgh, Midlothian, Scotland..
KTH, School of Electrical Engineering and Computer Science (EECS), Computer Science, Computational Science and Technology (CST). KTH, Centres, Science for Life Laboratory, SciLifeLab.ORCID iD: 0000-0002-4552-0240
2024 (English)In: INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE AND STATISTICS, VOL 238 / [ed] Dasgupta, S Mandt, S Li, Y, Journal of Machine Learning Research (JMLR) , 2024, Vol. 238Conference paper, Published paper (Refereed)
Abstract [en]

We cast the resampling step in particle filters (PFs) as a variational inference problem, resulting in a new class of resampling schemes: variational resampling. Variational resampling is flexible as it allows for choices of 1) divergence to minimize, 2) target distribution to input to the divergence, and 3) divergence minimization algorithm. With this novel application of VI to particle filters, variational resampling further unifies these two powerful and popular methodologies. We construct two variational resamplers that replicate particles in order to maximize lower bounds with respect to two different target measures. We benchmark our variational resamplers on challenging smoothing tasks, outperforming PFs that implement the state-of-the-art resampling schemes.

Place, publisher, year, edition, pages
Journal of Machine Learning Research (JMLR) , 2024. Vol. 238
Series
Proceedings of Machine Learning Research, ISSN 2640-3498
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-356093ISI: 001286500302021OAI: oai:DiVA.org:kth-356093DiVA, id: diva2:1911652
Conference
27th International Conference on Artificial Intelligence and Statistics (AISTATS), MAY 02-04, 2024, Valencia, SPAIN
Note

QC 20241108

Available from: 2024-11-08 Created: 2024-11-08 Last updated: 2024-11-08Bibliographically approved

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Kviman, OskarLagergren, Jens

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CiteExportLink to record
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