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Differentiable Bootstrap Particle Filters for Regime-Switching Models
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Differentiable particle filters are an emerging class of particle filtering methods that use neural networks to construct and learn parametric state-space models. In real-world applications, both the state dynamics and measurements can switch between a set of candidate models. For instance, in target tracking, vehicles can idle, move through traffic, or cruise on motorways, and measurements are collected in different geographical or weather conditions. This paper proposes a new differentiable particle filter for regime-switching state-space models. The method can learn a set of unknown candidate dynamic and measurement models and track the state posteriors. We evaluate the performance of the novel algorithm in relevant models, showing its great performance compared to other competitive algorithms.
Forward citations
Cited by 2 Pith papers
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Learning state and proposal dynamics in state-space models using differentiable particle filters and neural networks
StateMixNN learns particle-filter transition and proposal densities as Gaussian mixtures parameterized by neural networks, trained only on the observation likelihood, and reports improved state recovery on Lorenz 96 a...
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GraphGrad: Efficient Estimation of Sparse Polynomial Representations for General State-Space Models
A differentiable particle filter with L1 proximal updates estimates sparse polynomial transition functions and interaction graphs for nonlinear state-space models.
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