Learning dynamics governing physical and spatiotemporal processes is a challenging problem, especially in scenarios where states are partially measured. In this work, we tackle the problem of learning dynamics governing these systems when parts of the system's states are not measured, specifically when the dynamics generating the non-measured states are unknown. Inspired by state estimation theory and Physics Informed Neural ODEs, we present a sequential optimization framework in which dynamics governing unmeasured processes can be learned. We demonstrate the performance of the proposed approach leveraging numerical simulations and a real dataset extracted from an electro-mechanical positioning system. We show how the underlying equations fit into our formalism and demonstrate the improved performance of the proposed method when compared with baselines.

Gaussian processes are expressive, non-parametric statistical models that are well-suited to learn nonlinear dynamical systems. However, large-scale inference in these state space models is a challenging problem. In this paper, we propose CBF-SSM a scalable model that employs a structured variational approximation to maintain temporal correlations. In contrast to prior work, our approach applies to the important class of unstable systems, where state uncertainty grows unbounded over time. For these systems, our method contains a probabilistic, model-based backward pass that infers latent states during training. We demonstrate state-of-the-art performance in our experiments. Moreover, we show that CBF-SSM can be combined with physical models in the form of ordinary differential equations to learn a reliable model of a physical flying robotic vehicle.

We identify a new variational inference scheme for dynamical systems whose transition function is modelled by a Gaussian process. Inference in this setting has either employed computationally intensive MCMC methods, or relied on factorisations of the variational posterior. As we demonstrate in our experiments, the factorisation between latent system states and transition function can lead to a miscalibrated posterior and to learning unnecessarily large noise terms. We eliminate this factorisation by explicitly modelling the dependence between state trajectories and the Gaussian process posterior. Samples of the latent states can then be tractably generated by conditioning on this representation. The method we obtain (VCDT: variationally coupled dynamics and trajectories) gives better predictive performance and more calibrated estimates of the transition function, yet maintains the same time and space complexities as mean-field methods. Code is available at: github.com/ialong/GPt.

State-space models (SSMs) are a highly expressive model class for learning patterns in time series data and for system identification. Deterministic versions of SSMs (e.g. LSTMs) proved extremely successful in modeling complex time series data. Fully probabilistic SSMs, however, are often found hard to train, even for smaller problems. To overcome this limitation, we propose a novel model formulation and a scalable training algorithm based on doubly stochastic variational inference and Gaussian processes. In contrast to existing work, the proposed variational approximation allows one to fully capture the latent state temporal correlations. These correlations are the key to robust training. The effectiveness of the proposed PR-SSM is evaluated on a set of real-world benchmark datasets in comparison to state-of-the-art probabilistic model learning methods. Scalability and robustness are demonstrated on a high dimensional problem.