2023
DOI: 10.1109/tpami.2022.3153225
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Streaming Variational Monte Carlo

Abstract: Nonlinear state-space models are powerful tools to describe dynamical structures in complex time series. In a streaming setting where data are processed one sample at a time, simultaneous inference of the state and its nonlinear dynamics has posed significant challenges in practice. We develop a novel online learning framework, leveraging variational inference and sequential Monte Carlo, which enables flexible and accurate Bayesian joint filtering. Our method provides an approximation of the filtering posterio… Show more

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Cited by 7 publications
(3 citation statements)
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“…Unfortunately, the analytical form of ( 9) or ( 10) is typically not tractable, especially for flexible nonlinear dynamics models. Therefore, algorithms either opt for Monte Carlo sampling (Nassar et al, 2019), variational inference (Archer et al, 2015;Pandarinath et al, 2018;Duncker et al, 2019;Zhao and Park, 2020), or hybrid (Zhao et al, 2019) approaches.…”
Section: Latent Nonlinear Continuous Dynamical Systems Modelingmentioning
confidence: 99%
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“…Unfortunately, the analytical form of ( 9) or ( 10) is typically not tractable, especially for flexible nonlinear dynamics models. Therefore, algorithms either opt for Monte Carlo sampling (Nassar et al, 2019), variational inference (Archer et al, 2015;Pandarinath et al, 2018;Duncker et al, 2019;Zhao and Park, 2020), or hybrid (Zhao et al, 2019) approaches.…”
Section: Latent Nonlinear Continuous Dynamical Systems Modelingmentioning
confidence: 99%
“…In the low-dimensional models, the expressive power of the specific parameterization of f must be high enough to capture metastable dynamics. Radial basis function networks, Gaussian processes with squareexponential kernels, linear-nonlinear forms with hyperbolic tangent function, switching linear dynamical systems, and gated recurrent units were investigated as flexible methods of parameterizing f and shown to have sufficient expressive power in the low-dimensional regime (Zhao and Park, 2016;Duncker et al, 2019;Jordan et al, 2021;Nassar et al, 2019;Zhao et al, 2019). Due to the high flexibility of the functional form, it is important to put sufficient emphasis on simpler, more robustly generalizing functions.…”
Section: Latent Nonlinear Continuous Dynamical Systems Modelingmentioning
confidence: 99%
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