Recursive Entropic Variational Inference for Nonlinear State-Space Models

arXiv:2511.15409v2 Announce Type: replace Abstract: We present a class of algorithms for state estimation in nonlinear, non-Gaussian state-space models. Our approach is based on a variational Lagrangian formulation that casts Bayesian inference as a sequence of entropic trust-region updates subject to dynamic consistency constraints. This framework gives rise to a family of forward-backward algorithms whose structure is determined by the chosen factorization of the variational posterior. By focusing on Gauss--Markov approximations, we derive recursive schemes with favorable computational compl

Source: arXiv cs.LG — read the full report at the original publisher.

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