Recurrent Kalman Networks: Factorized Inference in High-Dimensional Deep Feature Spaces

Philipp Becker, Harit Pandya, Gregor H. W. Gebhardt, Cheng Zhao, C. James Taylor, Gerhard Neumann

Abstract: In order to integrate uncertainty estimates into deep time-series modelling, Kalman Filters (KFs) (Kalman et al., 1960) have been integrated with deep learning models, however, such approaches typi...