Learning dynamical systems using SMC (IS Colloquium)

Abstract: Sequential Monte Carlo (SMC) methods (including the particle filters and smoothers) allows us to compute probabilistic representations of the unknown objects in models used to represent for example nonlinear dynamical systems. This talk has three connected parts: 1. A (hopefully pedagogical) introduction to probabilistic modelling of dynamical systems and an explanation of the SMC method. 2. In learning unknown parameters appearing in nonlinear state-space models using maximum likelihood it is natural to make use of SMC to compute unbiased estimates of the intractable likelihood. The challenge is that the resulting optimization problem is stochastic, which recently inspired us to construct a new solution to this problem. 3. A challenge with the above (and in fact with most use of SMC) is that it all quickly becomes very technical. This is indeed the key challenging in spreading the use of SMC methods to a wider group of users. At the same time there are many researchers who would benefit a lot from having access to these methods in their daily work and for those of us already working with them it is essential to reduce the amount of time spent on new problems. We believe that the solution to this can be provided by probabilistic programming. We are currently developing a new probabilistic programming language that we call Birch. A pre-release is available from birch-lang.org/ It allow users to use SMC methods without having to implement the algorithms on their own.