Efficient Inference for Coupled Hidden Markov Models in Continuous Time and Discrete Space.

Abstract

Systems of interacting continuous-time Markov chains are a powerful model class, but inference is typically intractable in high-dimensional settings. Auxiliary information, such as noisy observations, is typically only available at discrete times, and incorporating it via a Doob's $h$ -transform gives rise to an intractable posterior process that requires approximation. We introduce Latent Interacting Particle Systems, a model class parameterizing the generator of each Markov chain in the system. Our inference method involves estimating look-ahead functions (twist potentials) that anticipate future information, for which we introduce an efficient parameterization. We incorporate this approximation in a twisted Sequential Monte Carlo sampling scheme. We demonstrate the effectiveness of our approach on a challenging posterior inference task for a latent SIRS model on a graph, and on a neural model for wildfire spread dynamics trained on real data.