Latent Matters: Learning Deep State-Space Models
Alexej Klushyn, Richard Kurle, Maximilian Soelch, Botond Cseke, Patrick van der Smagt
Abstract
Deep state-space models (DSSMs) enable temporal predictions by learning the underlying dynamics of observed sequence data. They are often trained by maximising the evidence lower bound. However, as we show, this does not ensure the model actually learns the underlying dynamics. We therefore propose a constrained optimisation framework as a general approach for training DSSMs. Building upon this, we introduce the extended Kalman VAE (EKVAE), which combines amortised variational inference with classic Bayesian filtering/smoothing to model dynamics more accurately than RNN-based DSSMs. Our results show that the constrained optimisation framework significantly improves system identification and prediction accuracy on the example of established state-of-the-art DSSMs. The EKVAE outperforms previous models w.r.t. prediction accuracy, achieves remarkable results in identifying dynamical systems, and can furthermore successfully learn state-space representations where static and dynamic features are disentangled.
BibTeX
@inproceedings{
klushyn2021latent,
title={Latent Matters: Learning Deep State-Space Models},
author={Alexej Klushyn and Richard Kurle and Maximilian Soelch and Botond Cseke and Patrick van der Smagt},
booktitle={Advances in Neural Information Processing Systems},
editor={A. Beygelzimer and Y. Dauphin and P. Liang and J. Wortman Vaughan},
year={2021},
url={https://openreview.net/forum?id=-WEryOMRpZU}
}