Accelerated Inference for Partially Observed Markov Processes using Automatic Differentiation

• URL: http://arxiv.org/abs/2407.03085v1
• Date: Wed, 3 Jul 2024 13:06:46 GMT
• Title: Accelerated Inference for Partially Observed Markov Processes using Automatic Differentiation
• Authors: Kevin Tan, Giles Hooker, Edward L. Ionides,
• Abstract summary: Automatic differentiation (AD) has driven recent advances in machine learning. We show how to embed two existing AD particle filter methods in a theoretical framework that provides an extension to a new class of algorithms. We develop likelihood algorithms suited to the Monte Carlo properties of the AD gradient estimate.
• Score: 4.872049174955585
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Automatic differentiation (AD) has driven recent advances in machine learning, including deep neural networks and Hamiltonian Markov Chain Monte Carlo methods. Partially observed nonlinear stochastic dynamical systems have proved resistant to AD techniques because widely used particle filter algorithms yield an estimated likelihood function that is discontinuous as a function of the model parameters. We show how to embed two existing AD particle filter methods in a theoretical framework that provides an extension to a new class of algorithms. This new class permits a bias/variance tradeoff and hence a mean squared error substantially lower than the existing algorithms. We develop likelihood maximization algorithms suited to the Monte Carlo properties of the AD gradient estimate. Our algorithms require only a differentiable simulator for the latent dynamic system; by contrast, most previous approaches to AD likelihood maximization for particle filters require access to the system's transition probabilities. Numerical results indicate that a hybrid algorithm that uses AD to refine a coarse solution from an iterated filtering algorithm show substantial improvement on current state-of-the-art methods for a challenging scientific benchmark problem.

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