Rahul G. Krishnan, Uri Shalit, David Sontag
Gaussian state space models have been used for decades as generative models of sequential data. They admit an intuitive probabilistic interpretation, have a simple functional form, and enjoy widespread adoption. We introduce a unified algorithm to efficiently learn a broad class of linear and non-linear state space models, including variants where the emission and transition distributions are modeled by deep neural networks. Our learning algorithm simultaneously learns a compiled inference network and the generative model, leveraging a structured variational approximation parameterized by recurrent neural networks to mimic the posterior distribution. We apply the learning algorithm to both synthetic and real-world datasets, demonstrating its scalability and versatility. We find that using the structured approximation to the posterior results in models with significantly higher held-out likelihood.
| Task | Dataset | Metric | Value | Model |
|---|---|---|---|---|
| Time Series Forecasting | USHCN-Daily | MSE | 0.83 | Sequential VAE |
| Time Series Analysis | USHCN-Daily | MSE | 0.83 | Sequential VAE |
| Multivariate Time Series Forecasting | USHCN-Daily | MSE | 0.83 | Sequential VAE |