2023 Volume 14 Issue 4 Pages 691-717
Time series model inference can be divided into modeling and optimization. Sequential VAEs have been studied as a modeling technique. As an optimization technique, methods combining variational inference (VI) and sequential Monte Carlo (SMC) have been proposed; however, they have two drawbacks: less particle diversity and biased gradient estimators. This paper proposes Ensemble Kalman Variational Objective (EnKO), a VI framework with the ensemble Kalman filter, to infer latent time-series models. Our proposed method efficiently learns the time-series models because of its particle diversity and unbiased gradient estimators. We demonstrate that our EnKO outperforms previous SMC-based VI methods in the predictive ability for several synthetic and real-world data sets.
