Stochastic Differential Equations with Variational Wishart Diffusions


We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also known as the diffusion, and modelling it with Wishart processes. Further, we present a semi-parametric approach that allows the framework to scale to high dimensions. This successfully lead us onto how to model both latent and autoregressive temporal systems with conditional heteroskedastic noise. Experimentally, we verify that modelling diffusion often improves performance and that this randomness in the differential equation can be essential to avoid overfitting.

Proceedings of the International Conference on Machine Learning (ICML)