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Unsupervised Learning of Observation Functions in State-space Models by Nonparametric Moment Methods by An, Qingci; Kevrekidis, Yannis; Lu, Fei; Maggioni, Mauro is a scholarly article available to read on EtoBox.

What is Unsupervised Learning of Observation Functions in State-space Models by Nonparametric Moment Methods about?

We investigate the unsupervised learning of non-invertible observation functions in nonlinear state-space models. Assuming abundant data of the observation process along with the distribution of the state process, we introduce a nonparametric generalized moment method to estimate the observation function via constrained regression. The major challenge comes from the non-invertibility of the observation function and the lack of data pairs between the state and observation. We address the fundamental issue of identifiability from quadratic loss functionals and show that the function space of identifiability is the closure of a RKHS that is intrinsic to the state process. Numerical results show that the first two moments and temporal correlations, along with upper and lower bounds, can identify functions ranging from piecewise polynomials to smooth functions, leading to convergent estimators. The limitations of this method, such as non-identifiability due to symmetry and stationarity, are also discussed.

Author

An, Qingci; Kevrekidis, Yannis; Lu, Fei; Maggioni, Mauro

Published

2022

Language

EN