Online Variational Filtering and Parameter Learning

Andrew Campbell, Yuyang Shi, Tom Rainforth, Arnaud Doucet

Keywords: Approximate Inference, Variational inference, State-space models, Filtering, Time series, Online learning

TL;DR: Novel online variational inference to perform joint state estimation and parameter learning

Abstract: We present a variational method for online state estimation and parameter learning in state-space models (SSMs), a ubiquitous class of latent variable models for sequential data. As per standard batch variational techniques, we use stochastic gradients to simultaneously optimize a lower bound on the log evidence with respect to both model parameters and a variational approximation of the states' posterior distribution. However, unlike existing approaches, our method is able to operate in an entirely online manner, such that historic observations do not require revisitation after being incorporated and the cost of updates at each time step remains constant, despite the growing dimensionality of the joint posterior distribution of the states. This is achieved by utilizing backward decompositions of this joint posterior distribution and of its variational approximation, combined with Bellman-type recursions for the evidence lower bound and its gradients. We demonstrate the performance of this methodology across several examples, including high-dimensional SSMs and sequential Variational Auto-Encoders.

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Code: https://github.com/andrew-cr/online_var_fil

Community Implementations: [ 3 code implementations](https://www.catalyzex.com/paper/arxiv:2110.13549/code)