Recursive Learning of Asymptotic Variational Objectives

• URL: http://arxiv.org/abs/2411.02217v1
• Date: Mon, 04 Nov 2024 16:12:37 GMT
• Title: Recursive Learning of Asymptotic Variational Objectives
• Authors: Alessandro Mastrototaro, Mathias Müller, Jimmy Olsson,
• Abstract summary: General state-space models (SSMs) are widely used in statistical machine learning and are among the most classical generative models for sequential time-series data. Online sequential IWAE (OSIWAE) allows for online learning of both model parameters and a Markovian recognition model for inferring latent states. This approach is more theoretically well-founded than recently proposed online variational SMC methods.
• Score: 49.69399307452126
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• Abstract: General state-space models (SSMs) are widely used in statistical machine learning and are among the most classical generative models for sequential time-series data. SSMs, comprising latent Markovian states, can be subjected to variational inference (VI), but standard VI methods like the importance-weighted autoencoder (IWAE) lack functionality for streaming data. To enable online VI in SSMs when the observations are received in real time, we propose maximising an IWAE-type variational lower bound on the asymptotic contrast function, rather than the standard IWAE ELBO, using stochastic approximation. Unlike the recursive maximum likelihood method, which directly maximises the asymptotic contrast, our approach, called online sequential IWAE (OSIWAE), allows for online learning of both model parameters and a Markovian recognition model for inferring latent states. By approximating filter state posteriors and their derivatives using sequential Monte Carlo (SMC) methods, we create a particle-based framework for online VI in SSMs. This approach is more theoretically well-founded than recently proposed online variational SMC methods. We provide rigorous theoretical results on the learning objective and a numerical study demonstrating the method's efficiency in learning model parameters and particle proposal kernels.

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