Peter Sykacek, Stephen J. Roberts
We propose in this paper a probabilistic approach for adaptive inference of generalized nonlinear classiﬁcation that combines the computational advantage of a parametric solution with the ﬂexibility of sequential sam- pling techniques. We regard the parameters of the classiﬁer as latent states in a ﬁrst order Markov process and propose an algorithm which can be regarded as variational generalization of standard Kalman ﬁlter- ing. The variational Kalman ﬁlter is based on two novel lower bounds that enable us to use a non-degenerate distribution over the adaptation rate. An extensive empirical evaluation demonstrates that the proposed method is capable of infering competitive classiﬁers both in stationary and non-stationary environments. Although we focus on classiﬁcation, the algorithm is easily extended to other generalized nonlinear models.