Predicts cryptocurrency prices with deep state-space model.
problem Predicting day-ahead crypto-currency prices.
method Proposes a deep state-space model combining state-space formulation and deep neural networks.
result The deep state-space model outperforms state-of-the-art and classical methods in accuracy.
The paper develops a state-space approach to deep Gaussian processes for efficient state estimation.
problem Efficient regression and state estimation for deep Gaussian processes.
method Hierarchical transformed Gaussian process priors, state-space representation, linear stochastic differential equations, sequential methods.
result The state-space approach enables efficient state estimation and regression for deep Gaussian processes.
Paper offers fast deep learning approach for SSMs.
problem Approximate Bayesian inference in SSMs.
method Deep learning and variational inference.
result Fast approach for SSMs.
Efficient GP models with non-Gaussian likelihoods using state space methods.
problem Modeling non-Gaussian likelihoods in Gaussian Process (GP) regression.
method State space formulation for efficient GP models, combining LA, VB, ADF, and EP schemes.
result Efficient inference methods for non-Gaussian likelihoods in GP models.
Empirical mode modeling improves state-space analysis of noisy data.
problem Analyzing nonlinear systems with noisy data.
method Combining empirical mode decomposition with empirical dynamic modeling.
result Empirical mode modeling enhances state-space representations in noisy data.
Develops efficient methods for state-space models with singular errors.
problem Estimating state-space models with singular error covariances.
method Reformulates state-space models as constrained convex optimization problems and develops an efficient algorithm.
result The new approach outperforms competing methods for nonsingular models and is a default choice for state space models.
Active learning selects inputs for GPSSM to learn latent states.
problem Optimally learn latent states of a GPSSM through active selection of inputs.
method Use mutual information to select informative inputs; approximate mutual information for GPSSM.
result Effective active learning of GPSSM dynamics in physical systems.
This paper reviews deep learning methods for state space models.
problem Analyzing temporal dynamics in dynamical systems.
method Selective review of deep neural network approaches for state space models.
result Unified perspective on discrete and continuous time SSMs.
Stanza models complex time series with balance between traditional and deep learning approaches.
problem Capturing long-term structure in non-stationary time series.
method Nonlinear, non-stationary state space model.
result Achieves forecasting accuracy competitive with deep LSTMs, especially for multi-step ahead forecasting.
State-space models have been successfully used for more than fifty years in different areas of science and engineering. We present a procedure for efficient variational Bayesian learning of nonlinear state-space models based on sparse Gaussian processes. The result of learning is a tractable posterior over nonlinear dy…
Scalable Bayesian inference for state space models using variational inference and SMC.
problem Performing fully Bayesian inference in state space models.
method Combining variational methods with sequential Monte Carlo sampling.
result Fully Bayesian inference of dynamic latent states and static parameters.
In this paper we investigate a link between state- space models and Gaussian Processes (GP) for time series modeling and forecasting. In particular, several widely used state- space models are transformed into continuous time form and corresponding Gaussian Process kernels are derived. Experimen- tal results demonstrat…
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this paper we approach the proble…
New methods for skill rating in sports using state-space models.
problem Improving skill rating in competitive sports.
method State-space models, sequential Monte Carlo, discrete hidden Markov models.
result Advantages of state-space models for time-varying player skills.
We solve 6-DoF localisation and 3D reconstruction using deep state-space models.
problem 6-DoF localisation and dense 3D reconstruction in spatial environments.
method Approximate Bayesian inference in a deep state-space model combining learning and domain knowledge.
result Near state-of-the-art performance on UAV flight data.
A new framework for time series analysis using state-space learning.
problem Ineffectiveness of traditional Kalman filtering in handling big data and multiple explanatory variables.
method State Space Learning (SSL) framework using statistical learning for high-dimensional regression.
result SSL outperforms traditional methods in subset selection and forecasting accuracy.
A new method learns complex dynamical systems from data efficiently.
problem Learning complex dynamical systems from large-scale data efficiently.
method Low-rank structured variational autoencoding framework for nonlinear Gaussian state-space models.
result Consistently demonstrates better predictive capabilities compared to other models.
This paper generalizes neural transport learning for free energy estimation in arbitrary state spaces.
problem Efficient estimation of free energy in various state spaces.
method Generalized neural transport learning approach for arbitrary state spaces.
result Validation of the proposed method's effectiveness and efficiency in diverse settings.
Study proves steady state space hypersurfaces are hyperplanes under certain curvature constraints.
problem Characterizing complete spacelike hypersurfaces in steady state space.
method Extended Omori-Yau's maximum principle.
result Proves complete spacelike hypersurfaces are hyperplanes under specific curvature conditions.
Paper uses variational inference to estimate nonlinear models.
problem Parameter estimation for nonlinear state-space models.
method Variational inference approach for nonlinear state-space models.
result The method provides robust parameter estimates and outperforms alternatives.
Combines deep state space models with diffusion models for better forecasting and capturing latent dynamics
problem Forecasting and capturing latent dynamics in time series
method DDSSM: Diffusion-driven state space model
result Empirically outperforms state-of-the-art deep SSM
A new active learning method for Gaussian process models.
problem Efficiently exploring unbounded state spaces for accurate models.
method Maximizes mutual information with respect to a bounded region using model predictive control.
result Our method yields a better model within the region of interest than entropy-based methods.
Dynamical systems with large state-spaces are often expensive to thoroughly explore experimentally. Coarse-graining methods aim to define simpler systems which are more amenable to analysis and exploration; most current methods, however, focus on a priori state aggregation based on similarities in transition rates, whi…
Develops state-space deep Gaussian processes for irregular signals.
problem Solving deep Gaussian process regression problems for irregular signals/functions.
method Represent DGPs as SDEs, solve using state-space filtering and smoothing methods.
result Rich class of priors compatible with irregular signals/functions.
Online Passive-Aggressive (PA) learning is a class of online margin-based algorithms suitable for a wide range of real-time prediction tasks, including classification and regression. PA algorithms are formulated in terms of deterministic point-estimation problems governed by a set of user-defined hyperparameters: the a…
A method for robust reinforcement learning in large state spaces.
problem Challenges in RL with large state spaces, costly data, and real-world dynamics deviation.
method Distributionally robust Markov decision processes with Gaussian Processes and maximum variance reduction.
result Efficient learning of multi-output nominal transition dynamics with statistical sample complexity bounds.
A new state-space approach improves NMF for dynamic data.
problem Modeling time series with strong temporal dependencies.
method Probabilistic framework with state-space approach and multi-lag N-VAR model.
result D-NMF outperforms static NMF and other state-of-the-art methods.
Generative Bayesian Filtering improves inference in complex models without explicit density evaluations.
problem Performing posterior inference in complex nonlinear and non-Gaussian state-space models.
method Generative Bayesian Filtering (GBF) extends GBC to dynamic settings using deep neural networks for recursive posterior inference. Generative-Gibbs sampler bypasses density evaluations for parameter learning.
result GBF significantly outperforms likelihood-free approaches in accuracy and robustness for intractable state-space models.
The study improves equity return forecasts using shrinkage priors and heavy-tailed distributions.
problem Improving equity return forecasting accuracy using Bayesian econometric models.
method Flexible Bayesian state space model with global-local shrinkage priors and heavy-tailed innovations.
result Several variants of the proposed model outperform traditional methods in forecasting accuracy.
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded. Using the vanishing discount factor approach, the optimality inequality and an optim…
Structured state space models improve ECG classification and reveal new insights.
problem Improving ECG analysis through deep learning.
method Applying structured state space models to capture long-term dependencies in ECG data.
result SSMs lead to significant improvements in ECG classification over current state-of-the-art.
We protect value function approximators in continuous state spaces from differential privacy attacks.
problem Protecting reward information from inverse reinforcement learning attacks in continuous state spaces.
method Adding functional noise to the value function iteratively to ensure differential privacy.
result Rigorous privacy guarantees and approximate optimality of the algorithm in discrete state spaces.
Extends reinforcement learning to continuous state spaces with safety constraints.
problem Safety-critical reinforcement learning in continuous state spaces with unknown dynamics.
method Introduces a novel Budgeted Bellman Optimality operator and applies it to continuous state spaces.
result Validated on spoken dialogue and autonomous driving applications.
S2P2 model improves predictive likelihoods for MTPPs.
problem Modeling irregular time intervals in event sequences.
method State-space point process model using deep state-space techniques.
result Empirically, S2P2 achieves state-of-the-art predictive likelihoods.
Analytic method for Gaussian Process State-Space Models reduces inference time to linear complexity.
problem Probabilistic modeling of system dynamics with noise and missing data.
method Variational inference over states and transition function, exploiting Markov structure and inducing points.
result Closed-form multi-step prediction and quality assessment methods introduced.
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia. Successively, the state-space estimations overall are quite rationally competent in examini…
State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference \emph{and learning} (i.e. state estimation and system identification) in nonlinear nonparametric state-space models. We place a Gauss…
Combines pseudo-point and state space approximations for scalable GPs.
problem Handling large numbers of off-the-grid spatial data-points and long time-series.
method Combines pseudo-point approximations for spatial data with state space GP approximations for temporal data.
result Combined approach is more scalable and applicable to a greater range of spatio-temporal problems.
New approach to concentration inequalities for unbounded state space dynamical systems.
problem Concentration inequalities for unbounded state space dynamical systems.
method Functional analytic framework, transport-entropy inequality.
result Exponential concentration inequalities for sampling from stationary distribution.
The paper introduces a new pairs trading model using nonlinear and non-Gaussian state-space models.
problem Developing a robust trading strategy for pairs of assets with non-Gaussian and heteroskedastic innovations.
method A nonlinear and non-Gaussian state-space model for the spread between two assets, with mean reversion modeled as a mean-reverting process.
result The new trading strategy yields significantly higher returns and Sharpe ratios compared to existing methods.
Deep belief networks improve Dyna-style planning in large state spaces.
problem Lack of real data and difficulty in learning a good generative model for large state spaces.
method Used deep belief networks to learn an environment model for Dyna-style planning.
result Deep belief networks significantly outperform linear expectation models in empirical validation.
A new framework using kernel packets overcomes limitations of state space models for multi-dimensional data.
problem Computational limitations of Gaussian process regression in large-scale applications.
method Kernel packet approach, identifying KPs via forward and backward state space representations.
result Exact, memory-efficient inference with linear-time training and logarithmic/predictive time.
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general state-space modelling methodology, which allows modelling, estimation and…
Bayesian model learns multiscale interactions in complex systems.
problem Understanding dynamic interplay between processes at different time scales.
method Bayesian learning framework with Particle Gibbs with Ancestor Sampling (PGAS) algorithm.
result Demonstrated the effectiveness of the proposed approach through simulations.
A novel multi-resolution Gaussian process model for efficient time traversal.
problem Inference for long sequences with fast and slow transitions is difficult.
method A novel Gaussian process state-space architecture composed of multiple components, each trained on a different resolution.
result The combined model allows efficient inference for arbitrarily long sequences with complex dynamics.
This work improves policy optimization by maximizing entropy of state distribution, leading to better exploration.
problem Lack of exploration in state space when maximizing policy entropy.
method Proposes maximizing the entropy of a lower bound approximation to the state weighting distribution, based on latent space representation.
result Entropy regularization based on marginal state distribution achieves superior state space coverage and better performance in various domains.
New method speeds up Gaussian process inference for large datasets.
problem Numerical instability and inefficiency in approximate inference methods for non-Gaussian likelihoods.
method Conjugate-computation variational inference with Kalman recursions.
result Linear-time inference with fast and stable variational inference for state-space GP models.
Researchers derived Kauffman bracket polynomial for Celtic link shadows using two methods.
problem Calculating the Kauffman bracket polynomial for Celtic link shadows.
method Two complementary approaches: recursive relation and 4-tangle algebra.
result Derived Kauffman bracket polynomial for CK42n shadows.