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Latent Matters: Learning Deep State-Space Models
Alexej Klushyn · Richard Kurle · Maximilian Soelch · Botond Cseke · Patrick van der Smagt

Thu Dec 09 12:30 AM -- 02:00 AM (PST) @ None #None

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.

Author Information

Alexej Klushyn (Technical University of Munich)
Richard Kurle (AWS AI Labs)
Maximilian Soelch (Technical University Munich)
Botond Cseke (Microsoft Research Cambridge)
Patrick van der Smagt (Volkswagen Group)

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