A variational formulation for GTM through time: Theoretical foundations
Generative Topographic Mapping (GTM) is a latent variable model that, in its standard version, was conceived to provide clustering and visualization of multivariate, real-valued, i.i.d. data. It was also extended to deal with non-i.i.d. data such as multivariate time series in a variant called GTM T...
| Autores: | , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2007 |
| País: | España |
| Institución: | Universitat Politècnica de Catalunya (UPC) |
| Repositorio: | UPCommons. Portal del coneixement obert de la UPC |
| Idioma: | inglés |
| OAI Identifier: | oai:upcommons.upc.edu:2117/86323 |
| Acceso en línea: | https://hdl.handle.net/2117/86323 |
| Access Level: | acceso abierto |
| Palabra clave: | Variational GTM through time Multivariate time series Àrees temàtiques de la UPC::Informàtica::Intel·ligència artificial |
| Sumario: | Generative Topographic Mapping (GTM) is a latent variable model that, in its standard version, was conceived to provide clustering and visualization of multivariate, real-valued, i.i.d. data. It was also extended to deal with non-i.i.d. data such as multivariate time series in a variant called GTM Through Time (GTMTT), defined as a constrained Hidden Markov Model (HMM). In this technical report, we provide the theoretical foundations of the reformulation of GTM-TT within the Variational Bayesian framework. This approach, in its application, should naturally handle the presence of noise in the time series, helping to avert the problem of data overfitting. |
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