Multi-scale Switching Linear Dynamical Systems

Onno Zoeter, Tom Heskes

Abstract: Switching linear dynamic systems can monitor systems that operate in different regimes. In this article we introduce a class of multiscale switching linear dynamical systems that are particularly suited if such regimes form a hierarchy. The setup consists of a specific switching linear dynamical system for every level of coarseness. Jeffrey’s rule of conditioning is used to coordinate the models at the different levels. When the models are appropriately constrained, inference at finer levels can be performed independently for every subtree. This makes it possible to determine the required degree of detail on-line. The refinements of very improbable regimes need not be explored.

External IDs:dblp:conf/icann/ZoeterH03