Related papers: The SSM Toolbox for Matlab

Claims reserving, also known as Incurred But Not Reported (IBNR) claims prediction, is an important issue in general insurance. State space modeling is widely recognized as a statistically robust method for addressing this problem. In state…

Dynamic linear models (DLM) offer a very generic framework to analyse time series data. Many classical time series models can be formulated as DLMs, including ARMA models and standard multiple linear regression models. The models can be…

In the post-deep learning era, the Transformer architecture has demonstrated its powerful performance across pre-trained big models and various downstream tasks. However, the enormous computational demands of this architecture have deterred…

State-space modeling has emerged as a powerful paradigm for sequence analysis in various tasks such as natural language processing, time-series forecasting, and signal processing. In this work, we propose an \emph{Adaptive State-Space…

Many real-world dynamical systems can be described as State-Space Models (SSMs). In this formulation, each observation is emitted by a latent state, which follows first-order Markovian dynamics. A Probabilistic Deep SSM (ProDSSM)…

The goal of this paper is to provide a system identification-friendly introduction to the Structured State-space Models (SSMs). These models have become recently popular in the machine learning community since, owing to their…

We propose a new class of filtering and smoothing methods for inference in high-dimensional, nonlinear, non-Gaussian, spatio-temporal state-space models. The main idea is to combine the ensemble Kalman filter and smoother, developed in the…

Forecasting in the real world requires integrating structured time-series data with unstructured textual information, but existing methods are architecturally limited by fixed input/output horizons and are unable to model or quantify…

State Space Models (SSMs) have become the leading alternative to Transformers for sequence modeling. Their primary advantage is efficiency in long-context and long-form generation, enabled by fixed-size memory and linear scaling of…

The electricity sector is undergoing substantial transformations due to the rising electrification of demand, enhanced integration of renewable energy resources, and the emergence of new technologies. These changes are rendering the…

State-space models are ubiquitous in the statistical literature since they provide a flexible and interpretable framework for analyzing many time series. In most practical applications, the state-space model is specified through a…

State space models (SSMs) have recently emerged as a powerful framework for long sequence processing, outperforming traditional methods on diverse benchmarks. Fundamentally, SSMs can generalize both recurrent and convolutional networks and…

State Space Models (SSMs) like Mamba2 are a promising alternative to Transformers, with faster theoretical training and inference times -- especially for long context lengths. Recent work on Matryoshka Representation Learning -- and its…

Support vector machine (SVM) is one of the most studied paradigms in the realm of machine learning for classification and regression problems. It relies on vectorized input data. However, a significant portion of the real-world data exists…

Time series data is used in a wide range of real world applications. In a variety of domains , detailed analysis of time series data (via Forecasting and Anomaly Detection) leads to a better understanding of how events associated with a…

In this paper, we present a toolbox for structured model reduction developed for MATLAB. In addition to structured model reduction methods using balanced realizations of the subsystems, we introduce a numerical algorithm for structured…

For multivariate time series (MTS) tasks, previous state space models (SSMs) followed the modeling paradigm of Transformer-based methods. However, none of them explicitly model the complex dependencies of MTS: the Channel Dependency…

State space models (SSMs) are a flexible approach to modeling complex time series. However, inference in SSMs is often computationally prohibitive for long time series. Stochastic gradient MCMC (SGMCMC) is a popular method for scalable…

Simultaneous Localization and Mapping (SLAM) algorithms perform visual-inertial estimation via filtering or batch optimization methods. Empirical evidence suggests that filtering algorithms are computationally faster, while optimization…

This paper presents parallel-in-time state estimation methods for systems with Slow-Rate inTegrated Measurements (SRTM). Integrated measurements are common in various applications, and they appear in analysis of data resulting from…