Implementation of Particle Smoothing Variational Objectives
This code provides a reference implementation of the Smoothing Variational Objectives (SVO) algorithms described in the publications:
Variational Objectives for Markovian Dynamics with Backwards Simulation. \
Moretti, A.*, Wang, Z.*, Wu, L.*, Drori, I., Pe’er, I. \
European Conference on Artificial Intelligence, 2020.
Particle Smoothing Variational Objectives. \
Moretti, A.*, Wang, Z.*, Wu, L.*, Drori, I., Pe’er, I. \
arXiv preprint, arXiv:1909.097342019.
Smoothing Nonlinear Variational Objectives with Sequential Monte Carlo. \
Moretti, A.*, Wang, Z.*, Wu, L., Pe’er, I. \
ICLR Workshop on Deep Generative Models for Highly Structured Data, 2019.
SVO is written as an abstract class that reduces to two related variational inference methods for time series. As a reference, the AESMC and IWAE algorithms are implemented from the following publications:
Auto-Encoding Sequential Monte Carlo. \
Le, T., Igl, M., Rainforth, T., Jin, T., Wood, F. \
International Conference on Learning Representations, 2018.
Importance Weighted Autoencoders. \
Burda, Y., Grosse, R., Salakhutidinov, R. \
International Conference on Learning Representations, 2016.
The code is written in Python 3.6. The following dependencies are required:
To check out, run git@github.com:amoretti86/psvo.git
Running python runner_flags.py will find a two dimensional representation of the Fitzhugh-Nagumo dynamical system from one dimensional observations. The following figure provides the original dynamical system and trajectories along with the resulting inferred dynamics and trajectories from SVO.
| Original | Inferred |
|---|---|
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