Factorized Inference in Deep Markov Models for Incomplete Multimodal Time Series

Abstract: Integrating deep learning with latent state space models has the potential to yield temporal models that are powerful, yet tractable and interpretable. Unfortunately, current models are not designed to handle missing data or multiple data modalities, which are both prevalent in real-world data. In this work, we introduce a factorized inference method for Multimodal Deep Markov Models (MDMMs), allowing us to filter and smooth in the presence of missing data, while also performing uncertainty-aware multimodal fusion. We derive this method by factorizing the posterior p(z|x) for non-linear state space models, and develop a variational backward-forward algorithm for inference. Because our method handles incompleteness over both time and modalities, it is capable of interpolation, extrapolation, conditional generation, label prediction, and weakly supervised learning of multimodal time series. We demonstrate these capabilities on both synthetic and real-world multimodal data under high levels of data deletion. Our method performs well even with more than 50% missing data, and outperforms existing deep approaches to inference in latent time series.