arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1902.04420stat.MLcs.LGmath.DS

Learning interpretable continuous-time models of latent stochastic dynamical systems

Gatsby Computational Neuroscience Unit, University College London(伦敦大学学院盖茨比计算神经科学研究室);Stanford University(斯坦福大学)

Lea Duncker, Gergo Bohner, Julien Boussard, Maneesh Sahani

英文摘要:

We develop an approach to learn an interpretable semi-parametric model of a latent continuous-time stochastic dynamical system, assuming noisy high-dimensional outputs sampled at uneven times. The dynamics are described by a nonlinear stochastic differential equation (SDE) driven by a Wiener process, with a drift evolution function drawn from a Gaussian process (GP) conditioned on a set of learnt fixed points and corresponding local Jacobian matrices. This form yields a flexible nonparametric model of the dynamics, with a representation corresponding directly to the interpretable portraits routinely employed in the study of nonlinear dynamical systems. The learning algorithm combines inference of continuous latent paths underlying observed data with a sparse variational description of the dynamical process. We demonstrate our approach on simulated data from different nonlinear dynamical systems.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑