# Filtering Jump Markov Systems with Partially Known Dynamics: A Model-Based Deep Learning Approach

arXiv: https://arxiv.org/abs/2511.09569 · HTML: https://mlsanity.com/paper/2511.09569/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 16 of its 50 references that are in the map.
- First posted on arXiv 11 Nov 2025.

## Builds on (most cited first, 16 of 16)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Empirical Evaluation of Gated Recurrent Neural Networks on Sequence Modeling](https://mlsanity.com/paper/1412.3555/) (2014)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [Deep Kalman Filters](https://mlsanity.com/paper/1511.05121/) (2015)
- [KalmanNet: Neural Network Aided Kalman Filtering for Partially Known Dynamics](https://mlsanity.com/paper/2107.10043/) (2021)
- [Sequential Neural Models with Stochastic Layers](https://mlsanity.com/paper/1605.07571/) (2016)
- [Chaos as an interpretable benchmark for forecasting and data-driven modelling](https://mlsanity.com/paper/2110.05266/) (2021)
- [Long Short-Term Memory Kalman Filters:Recurrent Neural Estimators for Pose Regularization](https://mlsanity.com/paper/1708.01885/) (2017)
- [Combining Generative and Discriminative Models for Hybrid Inference](https://mlsanity.com/paper/1906.02547/) (2019)
- [DANSE: Data-driven Non-linear State Estimation of Model-free Process in Unsupervised Learning Setup](https://mlsanity.com/paper/2306.03897/) (2023)
- [Latent-KalmanNet: Learned Kalman Filtering for Tracking from High-Dimensional Signals](https://mlsanity.com/paper/2304.07827/) (2023)
- [Foundation Inference Models for Markov Jump Processes](https://mlsanity.com/paper/2406.06419/) (2024)
- [RTSNet: Learning to Smooth in Partially Known State-Space Models (Preprint)](https://mlsanity.com/paper/2110.04717/) (2021)
- [GSP-KalmanNet: Tracking Graph Signals via Neural-Aided Kalman Filtering](https://mlsanity.com/paper/2311.16602/) (2023)
- [CTD4 -- A Deep Continuous Distributional Actor-Critic Agent with a Kalman Fusion of Multiple Critics](https://mlsanity.com/paper/2405.02576/) (2024)

## Abstract (arXiv)

This paper presents the Jump Markov Filtering Network (JMFNet), a novel model-based deep learning framework for real-time state-state estimation in jump Markov systems with unknown noise statistics and mode transition dynamics. A hybrid architecture comprising two Recurrent Neural Networks (RNNs) is proposed: one for mode prediction and another for filtering that is based on a mode-augmented version of the recently presented KalmanNet architecture. The proposed RNNs are trained jointly using an alternating least squares strategy that enables mutual adaptation without supervision of the latent modes. Extensive numerical experiments on linear and nonlinear systems, including target tracking, pendulum angle tracking, Lorenz attractor dynamics, and a real-life dataset demonstrate that the proposed JMFNet framework outperforms classical model-based filters (e.g., interacting multiple models and particle filters) as well as model-free deep learning baselines, particularly in non-stationary and high-noise regimes. It is also showcased that JMFNet achieves a small yet meaningful improvement over the KalmanNet framework, which becomes much more pronounced in complicated systems or long trajectories. Finally, the method's performance is empirically validated to be consistent and reliable, exhibiting low sensitivity to initial conditions, hyperparameter selection, as well as to incorrect model knowledge