| Presentation | 2022-09-29 State estimation for continuous-time stochastic systems by holonomic gradient method Riku Yamamoto, Jun Ohkubo, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | The holonomic gradient method efficiently gives us numerical values of integrals with parameters, which could be a powerful tool in various topics such as data analysis. Recent works show applications of the holonomic gradient method to a discrete-time stochastic system with nonlinear properties. In this manuscript, we propose a scheme to apply the holonomic gradient method to a continuous-time stochastic system; we approximate the distribution of a system state to a gaussian form, whose mean and variance are functions of the previous state. Its mean and variance are approximated with the Taylor expansion. A numerical example with Ornstein-Uhlenbeck processes shows the validity of our proposed method. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | holonomic gradient method / stochastic system / stochastic differential equation |
| Paper # | NC2022-35 |
| Date of Issue | 2022-09-22 (NC) |
| Conference Information | |
| Committee | NC / MBE |
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| Conference Date | 2022/9/29(2days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Tohoku Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Brain Architecture, NC, ME |
| Chair | Hiroshi Yamakawa(Univ of Tokyo) / Junichi Hori(Niigata Univ.) |
| Vice Chair | Hirokazu Tanaka(Tokyo City Univ.) / Hisashi Yoshida(Kinki Univ.) |
| Secretary | Hirokazu Tanaka(NTT) / Hisashi Yoshida(NICT) |
| Assistant | Yoshimasa Tawatsuji(Waseda Univ.) / Tomoki Kurikawa(KMU) / Emi Yuda(Tohoku Univ) / Miki Kaneko(Osaka Univ.) |
| Paper Information | |
| Registration To | Technical Committee on Neurocomputing / Technical Committee on ME and Bio Cybernetics |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | State estimation for continuous-time stochastic systems by holonomic gradient method |
| Sub Title (in English) | |
| Keyword(1) | holonomic gradient method |
| Keyword(2) | stochastic system |
| Keyword(3) | stochastic differential equation |
| 1st Author's Name | Riku Yamamoto |
| 1st Author's Affiliation | Saitama University(Saitama Univ.) |
| 2nd Author's Name | Jun Ohkubo |
| 2nd Author's Affiliation | Saitama University(Saitama Univ.) |
| Date | 2022-09-29 |
| Paper # | NC2022-35 |
| Volume (vol) | vol.122 |
| Number (no) | NC-195 |
| Page | pp.pp.11-15(NC), |
| #Pages | 5 |
| Date of Issue | 2022-09-22 (NC) |