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Probabilistic Recurrent State-Space Models

2018

Conference Paper

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State-space models (SSMs) are a highly expressive model class for learning patterns in time series data and for system identification. Deterministic versions of SSMs (e.g., LSTMs) proved extremely successful in modeling complex time-series data. Fully probabilistic SSMs, however, unfortunately often prove hard to train, even for smaller problems. To overcome this limitation, we propose a scalable initialization and training algorithm based on doubly stochastic variational inference and Gaussian processes. In the variational approximation we propose in contrast to related approaches to fully capture the latent state temporal correlations to allow for robust training.

Author(s): Andreas Doerr and Christian Daniel and Martin Schiegg and Duy Nguyen-Tuong and Stefan Schaal and Marc Toussaint and Sebastian Trimpe
Book Title: Proceedings of the International Conference on Machine Learning (ICML)
Year: 2018
Month: July

Department(s): Autonomous Motion, Intelligent Control Systems
Research Project(s): Learning Probabilistic Dynamics Models
Bibtex Type: Conference Paper (inproceedings)
Paper Type: Conference

Event Name: International Conference on Machine Learning (ICML)
Event Place: Stockholm, Sweden

State: Accepted

Links: arXiv
Attachments: pdf

BibTex

@inproceedings{doerr2018probabilistic,
  title = {Probabilistic Recurrent State-Space Models},
  author = {Doerr, Andreas and Daniel, Christian and Schiegg, Martin and Nguyen-Tuong, Duy and Schaal, Stefan and Toussaint, Marc and Trimpe, Sebastian},
  booktitle = {Proceedings of the International Conference on Machine Learning (ICML)},
  month = jul,
  year = {2018},
  month_numeric = {7}
}