On the Identifiability of Switching Dynamical Systems

Carles Balsells-Rodas, Yixin Wang, Yingzhen Li
Proceedings of the 41st International Conference on Machine Learning, PMLR 235:2639-2672, 2024.

Abstract

The identifiability of latent variable models has received increasing attention due to its relevance in interpretability and out-of-distribution generalisation. In this work, we study the identifiability of Switching Dynamical Systems, taking an initial step toward extending identifiability analysis to sequential latent variable models. We first prove the identifiability of Markov Switching Models, which commonly serve as the prior distribution for the continuous latent variables in Switching Dynamical Systems. We present identification conditions for first-order Markov dependency structures, whose transition distribution is parametrised via non-linear Gaussians. We then establish the identifiability of the latent variables and non-linear mappings in Switching Dynamical Systems up to affine transformations, by leveraging identifiability analysis techniques from identifiable deep latent variable models. We finally develop estimation algorithms for identifiable Switching Dynamical Systems. Throughout empirical studies, we demonstrate the practicality of identifiable Switching Dynamical Systems for segmenting high-dimensional time series such as videos, and showcase the use of identifiable Markov Switching Models for regime-dependent causal discovery in climate data.

Cite this Paper


BibTeX
@InProceedings{pmlr-v235-balsells-rodas24a, title = {On the Identifiability of Switching Dynamical Systems}, author = {Balsells-Rodas, Carles and Wang, Yixin and Li, Yingzhen}, booktitle = {Proceedings of the 41st International Conference on Machine Learning}, pages = {2639--2672}, year = {2024}, editor = {Salakhutdinov, Ruslan and Kolter, Zico and Heller, Katherine and Weller, Adrian and Oliver, Nuria and Scarlett, Jonathan and Berkenkamp, Felix}, volume = {235}, series = {Proceedings of Machine Learning Research}, month = {21--27 Jul}, publisher = {PMLR}, pdf = {https://raw.githubusercontent.com/mlresearch/v235/main/assets/balsells-rodas24a/balsells-rodas24a.pdf}, url = {https://proceedings.mlr.press/v235/balsells-rodas24a.html}, abstract = {The identifiability of latent variable models has received increasing attention due to its relevance in interpretability and out-of-distribution generalisation. In this work, we study the identifiability of Switching Dynamical Systems, taking an initial step toward extending identifiability analysis to sequential latent variable models. We first prove the identifiability of Markov Switching Models, which commonly serve as the prior distribution for the continuous latent variables in Switching Dynamical Systems. We present identification conditions for first-order Markov dependency structures, whose transition distribution is parametrised via non-linear Gaussians. We then establish the identifiability of the latent variables and non-linear mappings in Switching Dynamical Systems up to affine transformations, by leveraging identifiability analysis techniques from identifiable deep latent variable models. We finally develop estimation algorithms for identifiable Switching Dynamical Systems. Throughout empirical studies, we demonstrate the practicality of identifiable Switching Dynamical Systems for segmenting high-dimensional time series such as videos, and showcase the use of identifiable Markov Switching Models for regime-dependent causal discovery in climate data.} }
Endnote
%0 Conference Paper %T On the Identifiability of Switching Dynamical Systems %A Carles Balsells-Rodas %A Yixin Wang %A Yingzhen Li %B Proceedings of the 41st International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2024 %E Ruslan Salakhutdinov %E Zico Kolter %E Katherine Heller %E Adrian Weller %E Nuria Oliver %E Jonathan Scarlett %E Felix Berkenkamp %F pmlr-v235-balsells-rodas24a %I PMLR %P 2639--2672 %U https://proceedings.mlr.press/v235/balsells-rodas24a.html %V 235 %X The identifiability of latent variable models has received increasing attention due to its relevance in interpretability and out-of-distribution generalisation. In this work, we study the identifiability of Switching Dynamical Systems, taking an initial step toward extending identifiability analysis to sequential latent variable models. We first prove the identifiability of Markov Switching Models, which commonly serve as the prior distribution for the continuous latent variables in Switching Dynamical Systems. We present identification conditions for first-order Markov dependency structures, whose transition distribution is parametrised via non-linear Gaussians. We then establish the identifiability of the latent variables and non-linear mappings in Switching Dynamical Systems up to affine transformations, by leveraging identifiability analysis techniques from identifiable deep latent variable models. We finally develop estimation algorithms for identifiable Switching Dynamical Systems. Throughout empirical studies, we demonstrate the practicality of identifiable Switching Dynamical Systems for segmenting high-dimensional time series such as videos, and showcase the use of identifiable Markov Switching Models for regime-dependent causal discovery in climate data.
APA
Balsells-Rodas, C., Wang, Y. & Li, Y.. (2024). On the Identifiability of Switching Dynamical Systems. Proceedings of the 41st International Conference on Machine Learning, in Proceedings of Machine Learning Research 235:2639-2672 Available from https://proceedings.mlr.press/v235/balsells-rodas24a.html.

Related Material