Fast MCMC sampling for Markov jump processes and continuous time Bayesian networks

摘要

Markov jump processes and continuous time Bayesian networks are important classes of con tinuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast aux iliary variable Gibbs sampler. Our approach is based on the idea of uniformization, and sets up a Markov chain over paths by sampling a fi nite set of virtual jump times and then running a standard hidden Markov model forward filtering backward sampling algorithm over states at the set of extant and virtual jump times. We demon strate significant computational benefits over a state-of-the-art Gibbs sampler on a number of continuous time Bayesian networks.