Ensemble Kalman Variational Objectives: Nonlinear Latent Trajectory Inference with A Hybrid of Variational Inference and Ensemble Kalman Filter

Tsuyoshi Ishizone, Tomoyuki Higuchi, Kazuyuki Nakamura

Variational inference (VI) combined with Bayesian nonlinear filtering produces state-of-the-art results for latent time-series modeling. A body of recent work has focused on sequen…