DNS: Data-driven Nonlinear Smoother for Complex Model-free Process
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Abstract (arXiv)
We propose data-driven nonlinear smoother (DNS) to estimate a hidden state sequence of a complex dynamical process from a noisy, linear measurement sequence. The dynamical process is model-free, that is, we do not have any knowledge of the nonlinear dynamics of the complex process. There is no state-transition model (STM) of the process available. The proposed DNS uses a recurrent architecture that helps to provide a closed-form posterior of the hidden state sequence given the measurement sequence. DNS learns in an unsupervised manner, meaning the training dataset consists of only measurement data and no state data. We demonstrate DNS using simulations for smoothing of several stochastic dynamical processes, including a benchmark Lorenz system. Experimental results show that the DNS is significantly better than a deep Kalman smoother (DKS) and an iterative data-driven nonlinear state estimation (iDANSE) smoother.
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References · 7
- 2014Learning Phrase Representations using RNN Encoder-Decoder for Statistical Machine Translationcited by 4,016
- 2016Structured Inference Networks for Nonlinear State Space Modelscited by 182
- 2020Dynamical Variational Autoencoders: A Comprehensive Reviewcited by 127
- 2021Differentiable Particle Filtering via Entropy-Regularized Optimal Transportcited by 59
- 2023An overview of differentiable particle filters for data-adaptive sequential Bayesian inferencecited by 23
- 2023DANSE: Data-driven Non-linear State Estimation of Model-free Process in Unsupervised Learning Setupcited by 19
- 2015Deep Temporal Sigmoid Belief Networks for Sequence Modelingcited by 13
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