Non-iterative Estimation with Perturbed Gaussian Markov Processes

Yunsong Huang, B. Keith Jenkins

Advances in Neural Information Processing Systems 18 (NIPS 2005)

We develop an approach for estimation with Gaussian Markov processes that imposes a smoothness prior while allowing for discontinuities. In- stead of propagating information laterally between neighboring nodes in a graph, we study the posterior distribution of the hidden nodes as a whole—how it is perturbed by invoking discontinuities, or weakening the edges, in the graph. We show that the resulting computation amounts to feed-forward fan-in operations reminiscent of V1 neurons. Moreover, using suitable matrix preconditioners, the incurred matrix inverse and determinant can be approximated, without iteration, in the same compu- tational style. Simulation results illustrate the merits of this approach.