Fast MCMC sampling for Markov jump processes and continuous time Bayesian networks
Vinayak Rao, Yee Whye Teh
Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary variable Gibbs sampler. Our approach is based on the idea of uniformization, and sets up a Markov chain over paths by sampling a finite set of virtual jump times and then running a standard hidden Markov model forward filtering-backward sampling algorithm over states at the set of extant and virtual jump times. We demonstrate significant computational benefits over a state-of-the-art Gibbs sampler on a number of continuous time Bayesian networks.
PDF Link: /papers/11/p619-rao.pdf
AUTHOR = "Vinayak Rao
and Yee Whye Teh",
TITLE = "Fast MCMC sampling for Markov jump processes and continuous time Bayesian networks",
BOOKTITLE = "Proceedings of the Twenty-Seventh Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI-11)",
PUBLISHER = "AUAI Press",
ADDRESS = "Corvallis, Oregon",
YEAR = "2011",
PAGES = "619--626"