用流模型统一求解动态系统的滤波与平滑问题,提升轨迹预测精度。
FLUID: Flow-based Unified Inference for Dynamics

- 通过循环编码器生成固定维度的观测摘要,共享表示支撑前后向流。
- 在多个数据集上实现高维非线性系统滤波与平滑的精准逼近。
- 支持训练外推,适合需要长期轨迹建模的科研与工程场景。
高维非线性动态系统的贝叶斯滤波与平滑是科学与工程中的基础难题。本文提出FLUID,一种基于流的统一摊销推断框架,用于动态系统的滤波与平滑。核心思想是将每个观测历史编码为固定维度的摘要统计量,并利用该共享表示同时学习前向流(近似滤波分布)与后向流(近似反向转移核)。具体地,递归编码器将任意长度的时间序列映射为固定维度的摘要,其维度与序列长度无关。条件于该共享摘要,前向流逼近滤波分布,后向流逼近反向转移核。整个轨迹的平滑分布通过标准后向递推,结合终端滤波分布与学习到的后向流恢复。通过学习潜在时序演化结构,FLUID还支持超出训练时长的外推。此外,通过共享摘要耦合两流,隐式正则化了潜在状态轨迹,提升了轨迹级平滑效果。我们还开发了一种基于流的粒子滤波变体,提供替代滤波流程,并在存在显式模型因子时支持有效样本数(ESS)诊断。数值实验表明,FLUID在多个数据集上均能准确逼近滤波分布与平滑轨迹。
原文摘要 · Abstract (English)
Bayesian filtering and smoothing for high-dimensional nonlinear dynamical systems are fundamental yet challenging problems in many areas of science and engineering. In this work, we propose FLUID, a flow-based unified amortized inference framework for filtering and smoothing dynamics. The core idea is to encode each observation history into a fixed-dimensional summary statistic and use this shared representation to learn both a forward flow for the filtering distribution and a backward flow for the backward transition kernel. Specifically, a recurrent encoder maps each observation history to a fixed-dimensional summary statistic whose dimension does not depend on the length of the time series. Conditioned on this shared summary statistic, the forward flow approximates the filtering distribution, while the backward flow approximates the backward transition kernel. The smoothing distribution over an entire trajectory is then recovered by combining the terminal filtering distribution with the learned backward flow through the standard backward recursion. By learning the underlying temporal evolution structure, FLUID also supports extrapolation beyond the training horizon. Moreover, by coupling the two flows through shared summary statistics, FLUID induces an implicit regularization across latent state trajectories and improves trajectory-level smoothing. In addition, we develop a flow-based particle filtering variant that provides an alternative filtering procedure and enables ESS-based diagnostics when explicit model factors are available. Numerical experiments demonstrate that FLUID provides accurate approximations of both filtering distributions and smoothing paths.
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