Regime Learning for Differentiable Particle Filters

Differentiable particle filters are an emerging class of models that combine sequential Monte Carlo techniques with the flexibility of neural networks to perform state space inference. This paper concerns the case where the system may switch between a finite set of state-space models, i.e. regimes. No prior approaches effectively learn both the individual regimes and the switching process simultaneously. In this paper, we propose the neural network based regime learning differentiable particle filter (RLPF) to address this problem. We further design a training procedure for the RLPF and other related algorithms. We demonstrate competitive performance compared to the previous state-of-the-art algorithms on a pair of numerical experiments.

Revisiting semi-supervised training objectives for differentiable particle filters

Differentiable particle filters combine the flexibility of neural networks with the probabilistic nature of sequential Monte Carlo methods. However, traditional approaches rely on the availability of labelled data, i.e., the ground truth latent state information, which is often difficult to obtain in real-world applications. This paper compares the effectiveness of two semi-supervised training objectives for differentiable particle filters. We present results in two simulated environments where labelled data are scarce.