EnLLVM – Fast Approximate Bayesian Inference

Real-time nonlinear Bayesian filtering algorithms are overwhelmed by data volume, velocity and increasing complexity of computational models. In this paper, we propose a novel ensemble based nonlinear Bayesian filtering approach which only requires a small number of simulations and can be applied to high-dimensional systems in the presence of intractable likelihood functions. The proposed approach uses linear latent projections to estimate the joint probability distribution between states, parameters, and observables using a mixture of Gaussian components generated by the reconstruction error for each ensemble member. Since it leverages the computational machinery behind linear latent variable models, it can achieve fast implementations without the need to compute high-dimensional sample covariance matrices.

  • X. Lin and G. Terejanu, “EnLLVM: Ensemble based Nonlinear Bayesian Filtering using Linear Latent Variable Models,” in International Conference on Acoustics, Speech, and Signal Processing (ICASSP), Brighton, UK, 2019.
    [BibTeX]
    @CONFERENCE{LinP_ICASSP_2019,
    author = {Xiao Lin and Gabriel Terejanu},
    title = {{EnLLVM: Ensemble based Nonlinear Bayesian Filtering using Linear Latent Variable Models}},
    booktitle = {{International Conference on Acoustics, Speech, and Signal Processing (ICASSP), Brighton, UK}},
    year = {2019},
    month= {May},
    }