论文标题
潜在随机微分方程的连续时间粒子过滤
Continuous-time Particle Filtering for Latent Stochastic Differential Equations
论文作者
论文摘要
粒子过滤是针对多种顺序推断任务的标准蒙特卡洛方法。粒子过滤器的关键成分是一组具有重要性权重的粒子，这些粒子是某些随机过程的真实后验分布的代理。在这项工作中，我们提出了连续的潜在粒子过滤器，该方法将粒子过滤扩展到连续时域。我们证明了如何将连续的潜在粒子过滤器用作依赖于学到的变分后验的推理技术的通用插件替换。我们对基于潜在神经随机微分方程的不同模型家族进行的实验表明，在推理任务中连续时间过滤的卓越性能，例如可能性估计和各种随机过程的顺序预测。
Particle filtering is a standard Monte-Carlo approach for a wide range of sequential inference tasks. The key component of a particle filter is a set of particles with importance weights that serve as a proxy of the true posterior distribution of some stochastic process. In this work, we propose continuous latent particle filters, an approach that extends particle filtering to the continuous-time domain. We demonstrate how continuous latent particle filters can be used as a generic plug-in replacement for inference techniques relying on a learned variational posterior. Our experiments with different model families based on latent neural stochastic differential equations demonstrate superior performance of continuous-time particle filtering in inference tasks like likelihood estimation and sequential prediction for a variety of stochastic processes.
