Black-box Variational Inference for Stochastic Differential Equations

ICML 2018 Thomas RyderAndrew GolightlyA. Stephen McGoughDennis Prangle

Parameter inference for stochastic differential equations is challenging due to the presence of a latent diffusion process. Working with an Euler-Maruyama discretisation for the diffusion, we use variational inference to jointly learn the parameters and the diffusion paths... (read more)

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