Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • J. Daunizeau - , University College London (Author)
  • K. J. Friston - , University College London (Author)
  • S. J. Kiebel - , University College London (Author)

Abstract

In this paper, we describe a general variational Bayesian approach for approximate inference on nonlinear stochastic dynamic models. This scheme extends established approximate inference on hidden-states to cover: (i) nonlinear evolution and observation functions, (ii) unknown parameters and (precision) hyperparameters and (iii) model comparison and prediction under uncertainty. Model identification or inversion entails the estimation of the marginal likelihood or evidence of a model. This difficult integration problem can be finessed by optimising a free-energy bound on the evidence using results from variational calculus. This yields a deterministic update scheme that optimises an approximation to the posterior density on the unknown model variables. We derive such a variational Bayesian scheme in the context of nonlinear stochastic dynamic hierarchical models, for both model identification and time-series prediction. The computational complexity of the scheme is comparable to that of an extended Kalman filter, which is critical when inverting high dimensional models or long time-series. Using Monte-Carlo simulations, we assess the estimation efficiency of this variational Bayesian approach using three stochastic variants of chaotic dynamic systems. We also demonstrate the model comparison capabilities of the method, its self-consistency and its predictive power.

Details

Original languageEnglish
Pages (from-to)2089-2118
Number of pages30
JournalPhysica D: Nonlinear Phenomena
Volume238
Issue number21
Publication statusPublished - 1 Nov 2009
Peer-reviewedYes
Externally publishedYes

Keywords

Keywords

  • Approximate inference, DCM, EM, Free-energy, Kalman filter, Laplace approximation, Model comparison, Nonlinear state-space models, Nonlinear stochastic dynamical systems, Rauch smoother, SDE, Variational Bayes