https://github.com/blei-lab/variational-smc
Reference implementation of variational sequential Monte Carlo proposed by Naesseth et al. "Variational Sequential Monte Carlo" (2018)
https://github.com/blei-lab/variational-smc
Last synced: 5 months ago
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Reference implementation of variational sequential Monte Carlo proposed by Naesseth et al. "Variational Sequential Monte Carlo" (2018)
- Host: GitHub
- URL: https://github.com/blei-lab/variational-smc
- Owner: blei-lab
- License: mit
- Created: 2018-02-13T08:04:12.000Z (over 8 years ago)
- Default Branch: master
- Last Pushed: 2019-04-29T08:03:53.000Z (over 7 years ago)
- Last Synced: 2025-06-23T20:58:28.810Z (about 1 year ago)
- Language: Python
- Size: 7.81 KB
- Stars: 65
- Watchers: 24
- Forks: 14
- Open Issues: 0
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Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# Variational Sequential Monte Carlo
The repository contains code for the variational sequential Monte Carlo (VSMC) algorithm for approximate Bayesian inference:
```
Variational Sequential Monte Carlo.
Christian A. Naesseth, Scott W. Linderman, Rajesh Ranganath, and David M. Blei
Proceedings of the 21st International Conference on Artificial Intelligence and Statistics 2018,
Lanzarote, Spain.
```
Furthermore, it contains a simulation example (a linear Gaussian state space model) on how to use the VSMC module.
Note that this example learns both model parameters and proposal parameters so the final lower bound will not be a lower
bound to the exact log-marginal likelihood for the parameters that generated the data.