Papers › Structured Inference Networks for Nonlinear State Space Models
Structured Inference Networks for Nonlinear State Space Models
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.
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Tasks
Results from the paper archive 2025-07-28
| Task | Dataset | Model | Metric | Value | Rank at snapshot | Leaderboard | Report |
|---|---|---|---|---|---|---|---|
| Multivariate Time Series Forecasting | USHCN-Daily | Sequential VAE | MSE | 0.83 | #6 of 8 | Archive leaderboard | report |
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