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Poster
A General Method for Amortizing Variational Filtering
Joseph Marino · Milan Cvitkovic · Yisong Yue

Tue Dec 04 07:45 AM -- 09:45 AM (PST) @ Room 210 #71

We introduce the variational filtering EM algorithm, a simple, general-purpose method for performing variational inference in dynamical latent variable models using information from only past and present variables, i.e. filtering. The algorithm is derived from the variational objective in the filtering setting and consists of an optimization procedure at each time step. By performing each inference optimization procedure with an iterative amortized inference model, we obtain a computationally efficient implementation of the algorithm, which we call amortized variational filtering. We present experiments demonstrating that this general-purpose method improves inference performance across several recent deep dynamical latent variable models.

Author Information

Joseph Marino (California Institute of Technology)
Milan Cvitkovic (California Institute of Technology)
Yisong Yue (Caltech)

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