# Accelerated Inference for Partially Observed Markov Processes using Automatic Differentiation

arXiv: https://arxiv.org/abs/2407.03085 · HTML: https://mlsanity.com/paper/2407.03085/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 6 of its 48 references that are in the map.
- First posted on arXiv 3 Jul 2024.

## Builds on (most cited first, 6 of 6)

- [Differentiable Particle Filtering via Entropy-Regularized Optimal Transport](https://mlsanity.com/paper/2102.07850/) (2021)
- [Differentiable Particle Filtering without Modifying the Forward Pass](https://mlsanity.com/paper/2106.10314/) (2021)
- [Normalizing Flow-based Differentiable Particle Filters](https://mlsanity.com/paper/2403.01499/) (2024)
- [Sub-Sampled Newton Methods I: Globally Convergent Algorithms](https://mlsanity.com/paper/1601.04737/) (2016)
- [Voronoi Candidates for Bayesian Optimization](https://mlsanity.com/paper/2402.04922/) (2024)
- [Particle-Based Score Estimation for State Space Model Learning in Autonomous Driving](https://mlsanity.com/paper/2212.06968/) (2022)

## Abstract (arXiv)

Automatic differentiation (AD) has driven recent advances in machine learning, including deep neural networks and Hamiltonian Markov Chain Monte Carlo methods. Partially observed nonlinear stochastic dynamical systems have proved resistant to AD techniques because widely used particle filter algorithms yield an estimated likelihood function that is discontinuous as a function of the model parameters. We show how to embed two existing AD particle filter methods in a theoretical framework that provides an extension to a new class of algorithms. This new class permits a bias/variance tradeoff and hence a mean squared error substantially lower than the existing algorithms. We develop likelihood maximization algorithms suited to the Monte Carlo properties of the AD gradient estimate. Our algorithms require only a differentiable simulator for the latent dynamic system; by contrast, most previous approaches to AD likelihood maximization for particle filters require access to the system's transition probabilities. Numerical results indicate that a hybrid algorithm that uses AD to refine a coarse solution from an iterated filtering algorithm show substantial improvement on current state-of-the-art methods for a challenging scientific benchmark problem.