Variational State and Parameter Estimation

Abstract: This paper considers the problem of computing Bayesian estimates of both states and model parameters for nonlinear state-space models. Generally, this problem does not have a tractable solution and approximations must be utilised. In this work, a variational approach is used to provide an assumed density which approximates the desired, intractable, distribution. The approach is deterministic and results in an optimisation problem of a standard form. Due to the parametrisation of the assumed density selected first- and second-order derivatives are readily available which allows for efficient solutions. The proposed method is compared against state-of-the-art Hamiltonian Monte Carlo in two numerical examples.