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Large-scale Variational Gaussian State-Space Models with Efficient Inference


Core Concepts
The author introduces a structured variational approximation and inference algorithm to simplify inference in state-space models, enabling efficient evaluation of the ELBO. By exploiting low-rank updates and sample approximations, the necessary statistics can be computed efficiently.
Abstract
The content discusses the introduction of an amortized variational inference algorithm and structured variational approximation for state-space models with nonlinear dynamics driven by Gaussian noise. The proposed framework allows for efficient evaluation of the ELBO and low-variance stochastic gradient estimates without diagonal Gaussian approximations. The key points include the importance of understanding temporal structures through state-space models, challenges in unsupervised settings, and the benefits of variational autoencoder frameworks. State-space models are crucial for understanding complex natural phenomena's temporal structure through their underlying dynamics. In unsupervised settings, learning system dynamics from observed data poses challenges that can be addressed using variational autoencoder frameworks. The proposed structured variational approximation simplifies inference in state-space models with nonlinear dynamics driven by Gaussian noise. The content details how the proposed framework enables efficient evaluation of the ELBO and low-variance stochastic gradient estimates without resorting to diagonal Gaussian approximations. It highlights the significance of learning system dynamics from observed data in unsupervised settings using variational autoencoder frameworks. Key metrics or figures used to support these arguments are not explicitly mentioned in this content.
Stats
Overall time complexity: O(TL(Sr + S2 + r2))
Quotes

Key Insights Distilled From

by Matthew Dowl... at arxiv.org 03-05-2024

https://arxiv.org/pdf/2403.01371.pdf
Large-scale variational Gaussian state-space models

Deeper Inquiries

How does incorporating pseudo observations simplify approximate smoothing problems into filtering problems

Incorporating pseudo observations simplifies approximate smoothing problems into filtering problems by transforming the statistical smoothing problem into an approximate filtering problem. By encoding current and future observations into pseudo observations, the inference network can conceptually treat the task as a filtering process rather than a smoothing one. This transformation allows for more efficient evaluation of the ELBO and reduces the computational complexity of inference tasks in state-space models with large latent dimensions.

What are potential implications of missing observations on inference networks as discussed in the content

The potential implications of missing observations on inference networks are significant. Inference networks need to be designed to handle missing data appropriately, as they should not affect posterior computation in state-space models where all latent variables are conditionally independent given observed data at each time step. Missing observations can pose challenges for traditional inference approaches that do not naturally accommodate incomplete data, leading to difficulties in accurately estimating posterior distributions and making reliable predictions.

How can real-time capable inference networks impact online applications beyond traditional filtering approaches

Real-time capable inference networks have profound implications for online applications beyond traditional filtering approaches. These networks enable continuous updating of posterior estimates based on incoming data streams, allowing for dynamic adaptation to changing conditions or new information. In real-time scenarios such as predictive maintenance, anomaly detection, or adaptive control systems, these capabilities are crucial for making timely decisions based on up-to-date information without delays introduced by batch processing or offline computations. The ability to perform online inference efficiently opens up possibilities for responsive and adaptive systems that can react quickly to evolving situations in various domains like finance, healthcare, robotics, and more.
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