Bayesian Inference for Change Points in Dynamical Systems with Reusable States - a Chinese Restaurant Process Approach


Florian Stimberg, Andreas Ruttor, Manfred Opper ;
Proceedings of the Fifteenth International Conference on Artificial Intelligence and Statistics, PMLR 22:1117-1124, 2012.


We study a model of a stochastic process with unobserved parameters which suddenly change at random times. The possible parameter values are assumed to be from a finite but unknown set. Using a Chinese restaurant process prior over parameters we develop an efficient MCMC procedure for Bayesian inference. We demonstrate the significance of our approach with an application to systems biology data.

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