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Differentiable Particle Filtering via Entropy-Regularized Optimal Transport
Adrien Corenflos · James Thornton · George Deligiannidis · Arnaud Doucet

Thu Jul 22 05:00 AM -- 05:20 AM (PDT) @
in Probabilistic Methods 2 »

Particle Filtering (PF) methods are an established class of procedures for performing inference in non-linear state-space models. Resampling is a key ingredient of PF necessary to obtain low variance likelihood and states estimates. However, traditional resampling methods result in PF-based loss functions being non-differentiable with respect to model and PF parameters. In a variational inference context, resampling also yields high variance gradient estimates of the PF-based evidence lower bound. By leveraging optimal transport ideas, we introduce a principled differentiable particle filter and provide convergence results. We demonstrate this novel method on a variety of applications.

Keywords: Convex Optimization · Monte Carlo Methods · Optimization

Author Information

Adrien Corenflos (Aalto University)
James Thornton (University of Oxford)
George Deligiannidis (Oxford)
Arnaud Doucet (Oxford University)

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