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Paper · 1901.08096 · 2019

Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction

arXiv · PDF · Open in the Atlas

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We lifted 1 functions out of this paper's own repositories and ran 1 of them in a sandbox. "Ran" means the function executed on a synthesized input and returned a value. It is not a reproduction of the paper's results.

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sjblim/rnf-ijcnn-2020 canonical 1 of 1
FunctionStatusWhere it lives
get_network_params Ran sjblim/rnf-ijcnn-2020/script_train_fixed_params.py
pointer only (licence: NONE) · get_code("146dc3901f899119")

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Abstract

Despite the recent popularity of deep generative state space models, few comparisons have been made between network architectures and the inference steps of the Bayesian filtering framework -- with most models simultaneously approximating both state transition and update steps with a single recurrent neural network (RNN). In this paper, we introduce the Recurrent Neural Filter (RNF), a novel recurrent autoencoder architecture that learns distinct representations for each Bayesian filtering step, captured by a series of encoders and decoders. Testing this on three real-world time series datasets, we demonstrate that the decoupled representations learnt not only improve the accuracy of one-step-ahead forecasts while providing realistic uncertainty estimates, but also facilitate multistep prediction through the separation of encoder stages.

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