Variational Bayesian Mixtures of Linear Gaussian State-Space Models

We give a MATLAB implementation of a variational approximation to Bayesian Mixtures of Linear Gaussian State-Space Models. 

BAYESIAN MIXTURES OF LGSSMs

Implementation of a general Bayesian Mixtures of  LGSSMs. Model hyper-parameters are learned using type II maximum likelihood (DMBLGSSM.zip) (Created in December 2010, Last updated: 15 December 2010).

BAYESIAN MIXTURES OF LGSSMs - Output Grouping

This code implement the model described in section 4.2 of [3] and in [4]. (DMBLGSSMO.zip) (Created in December 2010, Last updated: 15 December 2010).


References

[3] Dirichlet Mixtures of Bayesian Linear Gaussian State-Space Models: a Variational Approach. S. Chiappa and D. Barber. Technical Report no. 161. Max-Planck Institute for Biological Cybernetics,Tübingen, Germany, 2007. [.pdf]

[4] Output Grouping using Dirichlet Mixtures of Linear Gaussian State-Space Models. S. Chiappa and D. Barber. In 5th IEEE International Symposium on Image and Signal Processing and Analysis (ISPA), pages 446-451, 2007. [.pdf ]

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