Deep Interacting Multiple Model Filtering

In this paper, a deep learning-based multiple model estimation framework is presented for the state estimation of hybrid dynamical systems from high dimensional observations such as camera images. A low dimensional vector which represents the measurement of the latent dynamical system and its corresponding variance are learned using a deep encoder neural network. An Interacting Multiple Model (IMM) filter is used to generate the latent state estimates and covariances using multiple dynamical models, which can be learned using backpropagation through time. The state estimates of the dynamical system and the corresponding covariance matrix are generated from the latent state estimates and covariance using a deep decoder neural network. The whole network is trained in an end-to-end manner using a loss function which minimizes the negative log-likelihood of the neural network parameters. Simulation results are presented using a 2D bouncing ball example and estimation error statistics are computed which demonstrates the accuracy and consistency of the estimation.