MFBO-SSM: Multi-Fidelity Bayesian Optimization for Fast Inference in State-Space Models
Nonlinear state-space models are ubiquitous in modeling real-world dynamical systems. Sequential Monte Carlo (SMC) techniques, also known as particle methods, are a well-known class of parameter estimation methods for this general class of state-space models. Existing SMC-based techniques rely on excessive sampling of the parameter space, which makes their computation intractable for large systems or tall data sets. Bayesian optimization techniques have been used for fast inference in state-space models with intractable likelihoods. These techniques aim to find the maximum of the likelihood function by sequential sampling of the parameter space through a single SMC approximator. Various SMC approximators with different fidelities and computational costs are often available for sample-based likelihood approximation. In this paper, we propose a multi-fidelity Bayesian optimization algorithm for the inference of general nonlinear state-space models (MFBO-SSM), which enables simultaneous sequential selection of parameters and approximators. The accuracy and speed of the algorithm are demonstrated by numerical experiments using synthetic gene expression data from a gene regulatory network model and real data from the VIX stock price index.