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.