New method for parameter estimation in probabilistic models: minimum probability flow

Phys Rev Lett. 2011 Nov 25;107(22):220601. doi: 10.1103/PhysRevLett.107.220601. Epub 2011 Nov 21.

Abstract

Fitting probabilistic models to data is often difficult, due to the general intractability of the partition function. We propose a new parameter fitting method, minimum probability flow (MPF), which is applicable to any parametric model. We demonstrate parameter estimation using MPF in two cases: a continuous state space model, and an Ising spin glass. In the latter case, MPF outperforms current techniques by at least an order of magnitude in convergence time with lower error in the recovered coupling parameters.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Models, Statistical*
  • Monte Carlo Method
  • Probability