Dynamic Latent Variable Models


Example Problem

  • We consider a one-dimensional cart position tracking problem, see Faragher 2012.

  • The hidden states are the position $z_t$ and velocity $\dot z_t$. We can apply an external acceleration/breaking force $u_t$. (Noisy) observations are represented by $x_t$.

  • The equations of motions are given by

$$\begin{align*} \begin{bmatrix} z_t \\ \dot{z_t}\end{bmatrix} &= \begin{bmatrix} 1 & \Delta t \\ 0 & 1\end{bmatrix} \begin{bmatrix} z_{t-1} \\ \dot z_{t-1}\end{bmatrix} + \begin{bmatrix} (\Delta t)^2/2 \\ \Delta t\end{bmatrix} u_t + \mathcal{N}(0,\Sigma_z) \\ x_t &= \begin{bmatrix} z_t \\ \dot{z_t}\end{bmatrix} + \mathcal{N}(0,\Sigma_x) \end{align*}$$
  • Infer the position after 10 time steps.

Dynamical Models

  • Consider the ordered observation sequence $x^T \triangleq \left(x_1,x_2,\ldots,x_T\right)$.
  • We wish to develop a generative model $$ p( x^T \,|\, \theta)$$ that 'explains' the time series $x^T$.
  • We cannot use the IID assumption $p( x^T | \theta) = \prod_t p(x_t \,|\, \theta)$. In general, we can use the chain rule (a.k.a. the general product rule)
$$\begin{align*} p(x^T) &= p(x_T|x^{T-1}) \,p(x^{T-1}) \\ &= p(x_T|x^{T-1}) \,p(x_{T-1}|x^{T-2}) \cdots p(x_2|x_1)\,p(x_1) \\ &= p(x_1)\prod_{t=2}^T p(x_t\,|\,x^{t-1}) \end{align*}$$
  • Generally, we will want to limit the depth of dependencies on previous observations. For example, the $M$th-order linear Auto-Regressive (AR) model $$\begin{align*} p(x_t\,|\,x^{t-1}) = \mathcal{N}\left(x_t \,\middle|\, \sum_{m=1}^M a_m x_{t-m}\,,\sigma^2\,\right) \end{align*}$$ limits the dependencies to the past $M$ samples.

State-space Models

  • A limitation of AR models is that they need a lot of parameters in order to create a flexible model. E.g., if $x_t$ is an $K$-dimensional discrete variable, then an $M$th-order AR model will have $K^{M-1}(K-1)$ parameters.
  • Similar to our work on Gaussian Mixture models, we can create a flexible dynamic system by introducing latent (unobserved) variables $z^T \triangleq \left(z_1,z_2,\dots,z_T\right)$ (one $z_t$ for each observation $x_t$). In dynamic systems, $z_t$ are called state variables.
  • A general state space model is defined by $$\begin{align*} p(x^T,z^T) &= \underbrace{p(z_1)}_{\text{initial state}} \prod_{t=2}^T \underbrace{p(z_t\,|\,z^{t-1})}_{\text{state transitions}}\,\prod_{t=1}^T \underbrace{p(x_t\,|\,z_t)}_{\text{observations}} \end{align*}$$
  • A common assumption is to let state transitions be ruled by a first-order Markov chain as $$ p(z_t\,|\,z^{t-1}) = p(z_t\,|\,z_{t-1}) $$
  • Exercise: Show that in a Markovian state-space model, the observation sequence $x^T$ is not a first-order Markov chain, i.e., show that for the model $$\begin{align*} p(x^T,z^T) &= p(z_1) \prod_{t=2}^T p(z_t\,|\,z_{t-1})\,\prod_{t=1}^T p(x_t\,|\,z_t) \end{align*}$$ the following statement holds: $$p(x_t\,|\,x_{t-1},x_{t-2}) \neq p(x_t\,|\,x_{t-1})\,.$$ In other words, the latent variables $z_t$ represent a memory bank for past observations beyond $t-1$.

Hidden Markov Models and Linear Dynamical Systems

  • A Hidden Markov Model (HMM) is a specific state-space model with discrete-valued state variables $Z_t$.
  • E.g., $Z_t$ is a $K$-dimensional hidden binary 'class indicator' with transition probabilities $A_{jk} \triangleq p(z_{tk}=1\,|\,z_{t-1,j}=1)$, or equivalently $$p(z_t|z_{t-1}) = \prod_{k=1}^K \prod_{j=1}^K A_{jk}^{z_{t-1,j}z_{tk}}$$ which is usually accompanied by an initial state distribution $\pi_k \triangleq p(z_{1k}=1)$.
  • The classical HMM has also discrete-valued observations but in pratice any (probabilistic) observation model $p(x_t|z_t)$ may be coupled to the hidden Markov chain.
  • Another well-known state-space model with continuous-valued state variables $Z_t$ is the (Linear) Gaussian Dynamical System (LGDS), which is defined as
$$\begin{align*} p(z_t\,|\,z_{t-1}) &= \mathcal{N}\left(\, A z_{t-1}\,,\,\Sigma_z\,\right) \\ p(x_t\,|\,z_t) &= \mathcal{N}\left(\, C z_t\,,\,\Sigma_x\,\right) \\ p(z_1) &= \mathcal{N}\left(\, \mu_1\,,\,\Sigma_1\,\right) \end{align*}$$
  • Note that the joint distribution over $\{(x_1,z_1),\ldots,(x_t,z_t)\}$ is a (large-dimensional) Gaussian distribution. This means that, in principle, every inference problem on the LGDS model also leads to a Gaussian distribution.
  • HMM's and LGDS's (and variants thereof) are at the basis of a wide range of complex information processing systems, such as speech and language recognition, robotics and automatic car navigation, and even processing of DNA sequences.

Kalman Filtering

  • Technically, a Kalman filter is the solution to the recursive estimation (inference) of the hidden state $z_t$ based on past observations in an LGDS, i.e., Kalman filtering solves the problem $p(z_t\,|\,x^t)$ based on the previous estimate $p(z_{t-1}\,|\,x^{t-1})$ and a new observation $x_t$ (in the context of the given model specification of course).
  • Let's infer the Kalman filter for a scalar linear Gaussian dynamical system: $$\begin{align*} p(z_t\,|\,z_{t-1}) &= \mathcal{N}(z_t\,|\,a z_{t-1},\sigma_z^2) \tag{state transition} \\ p(x_t\,|\,z_t) &= \mathcal{N}(x_t\,|\,c z_t,\sigma_x^2) \tag{observation} \end{align*}$$
  • Kalman filtering comprises inferring $p(z_t\,|\,x^t)$ from a given prior estimate $p(z_{t-1}\,|\,x^{t-1})$ and a new observation $x_t$. Let us assume that $$\begin{align} p(z_{t-1}\,|\,x^{t-1}) = \mathcal{N}(z_{t-1} \,|\, \mu_{t-1}, \sigma_{t-1}^2) \tag{prior} \end{align}$$
  • Note that everything is Gaussian, so this is in principle possible to execute inference problems analytically and the result will be a Gaussian posterior:
$$\begin{align*} \underbrace{p(z_t\,|\,x^t)}_{\text{posterior}} &= p(z_t\,|\,x_t,x^{t-1}) \propto p(x_t,z_t\,|\,x^{t-1}) \\ &\propto p(x_t\,|\,z_t) \,p(z_t\,|\,x^{t-1}) \\ &= p(x_t\,|\,z_t) \, \sum_{z_{t-1}} p(z_t,z_{t-1}\,|\,x^{t-1}) \\ &= \underbrace{p(x_t\,|\,z_t)}_{\text{observation}} \, \sum_{z_{t-1}} \underbrace{p(z_t\,|\,z_{t-1})}_{\text{state transition}} \, \underbrace{p(z_{t-1}\,|\,x^{t-1})}_{\text{prior}} \\ &= \mathcal{N}(x_t\,|\,c z_t,\sigma_x^2) \sum_{z_{t-1}} \mathcal{N}(z_t\,|\,a z_{t-1},\sigma_z^2) \, \mathcal{N}(z_{t-1} \,|\, \mu_{t-1}, \sigma_{t-1}^2) \\ &\propto \mathcal{N}\left(z_t\,\bigm| \,\frac{x_t}{c} ,\left(\frac{\sigma_x}{c}\right)^2\right) \times \mathcal{N}\left(z_t\, \bigm|\,a \mu_{t-1},\sigma_z^2 + \left(a \sigma_{t-1}\right)^2 \right) \\ &= \mathcal{N}\left( z_t \,|\, \mu_t, \sigma_t^2\right) \end{align*}$$

with $$\begin{align*} \rho_t^2 &= \sigma_z^2 + a^2 \sigma_{t-1}^2 \tag{auxiliary variable}\\ K_t &= \frac{c \rho_t^2}{c^2 \rho_t^2 + \sigma_x^2} \tag{'Kalman gain'} \\ \mu_t &= a \mu_{t-1} + K_t \cdot \left( x_t - c a \mu_{t-1}\right) \tag{posterior mean}\\ \sigma_t^2 &= \left( 1 - K_t \right) \rho_t^2 \tag{posterior variance} \end{align*}$$

  • Kalman filtering consists of computing/updating these four equations for each new observation ($x_t$).

Kalman Filtering and the Cart Position Tracking Example Revisited

  • The Kalman filter equations can also be derived for multidimensional state-space models. In particular, for the model $$\begin{align*} z_t &= A z_{t-1} + \mathcal{N}(0,\Gamma) \\ x_t &= C z_t + \mathcal{N}(0,\Sigma) \end{align*}$$ the Kalman filter update equations are given by (see Bishop, pg.639) $$\begin{align*} P_t &= A V_{t-1} A^T + \Gamma &&\text{auxiliary variable}\\ K_t &= P_t C^T \cdot \left( \Sigma + C P_t C^T\right)^{-1} &&\text{Kalman gain vector} \\ \mu_t &= A \mu_{t-1} + K_t\cdot\left(x_t - C A \mu_{t-1} \right) &&\text{posterior state mean}\\ V_t &= \left(I-K_t C \right) V_{t-1} &&\text{posterior state variance} \end{align*}$$

  • We can solve the cart tracking problem by implementing the Kalman filter, see the next code example.

In [8]:
using LinearAlgebra, PyPlot

# Specify the model parameters
Δt = 1.0                     # assume the time steps to be equal in size
A = [1.0 Δt;
     0.0 1.0]
b = [0.5*Δt^2; Δt] 
Σz = convert(Matrix,Diagonal([0.2*Δt; 0.1*Δt])) # process noise covariance
Σx = convert(Matrix,Diagonal([1.0; 2.0]))     # observation noise covariance;

# Generate noisy observations
n = 10                # perform 10 timesteps
z_start = [10.0; 2.0] # initial state
u = 0.2 * ones(n)     # constant input u
noisy_x = generateNoisyMeasurements(z_start, u, A, b, Σz, Σx);

m_z = noisy_x[1]                                    # initial predictive mean
V_z = A * (1e8*Diagonal(I,2) * A') + Σz             # initial predictive covariance

for t = 2:n
    global m_z, V_z, m_pred_z, V_pred_z
    m_pred_z = A * m_z + b * u[t]                   # predictive mean
    V_pred_z = A * V_z * A' + Σz                    # predictive covariance
    gain = V_pred_z * inv(V_pred_z + Σx)            # Kalman gain
    m_z = m_pred_z + gain * (noisy_x[t] - m_pred_z) # posterior mean update
    V_z = (Diagonal(I,2)-gain)*V_pred_z             # posterior covariance update

plotCartPrediction2(m_pred_z[1], V_pred_z[1], m_z[1], V_z[1], noisy_x[n][1], Σx[1][1]);

Extensions of Generative Gaussian Models

  • Using the methods of the previous lessons, it is possible to create your own new models based on stacking Gaussian and categorical distributions in new ways:

Recap Dynamical Models

  • Dynamical systems do not obey the sample-by-sample independence assumption, but still can be specified, and state and parameter estimation equations can be solved by similar tools as for static models.
  • Two of the more famous and powerful models with latent states include the hidden Markov model (with discrete states) and the Linear Gaussian dynamical system (with continuous states).
  • For the LGDS, the Kalman filter is a well-known recursive state estimation procedure. The Kalman filter can be derived through Bayesian update rules on Gaussian distributions.
  • If anything changes in the model, e.g., the state noise is not Gaussian, then you have to re-derive the inference equations again from scratch and it may not lead to an analytically pleasing answer.
  • $\Rightarrow$ Generally, we will want to automate the inference process. This issue is discussed in the next lesson on inference by message passing in factor graphs.
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