Deep Nonlinear Non-Gaussian Filtering for Dynamical Systems

Filtering is a general name for inferring the states of a dynamical system given observations. The most common filtering approach is Gaussian Filtering (GF) where the distribution of the inferred states is a Gaussian whose mean is an affine function of the observations. There are two restrictions in this model: Gaussianity and Affinity. We propose a model to relax both these assumptions based on recent advances in implicit generative models. Empirical results show that the proposed method gives a significant advantage over GF and nonlinear methods based on fixed nonlinear kernels.