Amortized Control of Continuous State Space Feynman-Kac Model for Irregular Time Series
Keywords: stochastic optimal control, variational inference, state space model, irregular time series
TL;DR: We propose a multi-marginal Doob's $h$-transform for irregular time series and variational inference with stochastic optimal control to approximate it.
Abstract: Many real-world datasets, such as healthcare, climate, and economics, are often collected as irregular time series, which poses challenges for accurate modeling. In this paper, we propose the Amortized Control of continuous State Space Model (ACSSM) for continuous dynamical modeling of time series for irregular and discrete observations. We first present a multi-marginal Doob's $h$-transform to construct a continuous dynamical system conditioned on these irregular observations. Following this, we introduce a variational inference algorithm with a tight evidence lower bound (ELBO), leveraging stochastic optimal control (SOC) theory to approximate the intractable Doob's $h$-transform and simulate the conditioned dynamics. To improve efficiency and scalability during both training and inference, ACSSM leverages auxiliary variable to flexibly parameterize the latent dynamics and amortized control. Additionally, it incorporates a simulation-free latent dynamics framework and a transformer-based data assimilation scheme, facilitating parallel inference of the latent states and ELBO computation. Through empirical evaluations across a variety of real-world datasets, ACSSM demonstrates superior performance in tasks such as classification, regression, interpolation, and extrapolation, while maintaining computational efficiency.
Primary Area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
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Submission Number: 6305
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