A Variational inference method for Switching Linear Dynamic Systems
Oh, Sang Min
Rehg, James M.
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This paper aims to present a structured variational inference algorithm for switching linear dynamical systems (SLDSs) which was initially introduced by Pavlovic and Rehg. Starting with the need for the variational approach, we proceed to the derivation of the generic (model-independent) variational update formulas which are obtained under the mean field assumption. This leads us to the derivation of an approximate variational inference algorithm for an SLDS. The details of deriving the SLDS-specific variational update equations are presented.