FLUID: Flow-based Unified Inference for Dynamics

TL;DR

FLUID introduces a flow-based amortized inference framework for high-dimensional nonlinear dynamical systems, enabling accurate filtering and smoothing with extrapolation capabilities.

Contribution

The paper proposes a novel unified flow-based inference method that encodes observation histories into shared summaries for filtering and smoothing, supporting extrapolation.

Findings

FLUID accurately approximates filtering distributions.

FLUID effectively recovers smoothing trajectories.

The flow-based particle filter offers diagnostics and alternative filtering.

Abstract

Bayesian filtering and smoothing for high-dimensional nonlinear dynamical systems are fundamental yet challenging problems in many areas of science and engineering. In this work, we propose FLUID, a flow-based unified amortized inference framework for filtering and smoothing dynamics. The core idea is to encode each observation history into a fixed-dimensional summary statistic and use this shared representation to learn both a forward flow for the filtering distribution and a backward flow for the backward transition kernel. Specifically, a recurrent encoder maps each observation history to a fixed-dimensional summary statistic whose dimension does not depend on the length of the time series. Conditioned on this shared summary statistic, the forward flow approximates the filtering distribution, while the backward flow approximates the backward transition kernel. The smoothing distribution over an entire trajectory is then recovered by combining the terminal filtering distribution with the learned backward flow through the standard backward recursion. By learning the underlying temporal evolution structure, FLUID also supports extrapolation beyond the training horizon. Moreover, by coupling the two flows through shared summary statistics, FLUID induces an implicit regularization across latent state trajectories and improves trajectory-level smoothing. In addition, we develop a flow-based particle filtering variant that provides an alternative filtering procedure and enables ESS-based diagnostics when explicit model factors are available. Numerical experiments demonstrate that FLUID provides accurate approximations of both filtering distributions and smoothing paths.