Black-Box Inference for Non-Linear Latent Force Models

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Wil Ward, Tom Ryder, Dennis Prangle, Mauricio Alvarez ;
Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, PMLR 108:3088-3098, 2020.

Abstract

Latent force models are systems whereby there is a mechanistic model describing the dynamics of the system state, with some unknown forcing term that is approximated with a Gaussian process. If such dynamics are non-linear, it can be difficult to estimate the posterior state and forcing term jointly, particularly when there are system parameters that also need estimating. This paper uses black-box variational inference to jointly estimate the posterior, designing a multivariate extension to local inverse autoregressive flows as a flexible approximator of the system. We compare estimates on systems where the posterior is known, demonstrating the effectiveness of the approximation, and apply to problems with non-linear dynamics, multi-output systems and models with non-Gaussian likelihoods.

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