Switching Poisson Gamma Dynamical Systems

We propose Switching Poisson gamma dynamical systems (SPGDS) to model sequentially observed multivariate count data. Different from previous models, SPGDS assigns its latent variables into mixture of gamma distributed parameters to model complex sequences and describe the nonlinear dynamics, meanwhile, capture various temporal dependencies. For efficient inference, we develop a scalable hybrid stochastic gradient-MCMC and switching recurrent autoencoding variational inference, which is scalable to large scale sequences and fast in out-of-sample prediction. Experiments on both unsupervised and supervised tasks demonstrate that the proposed model not only has excellent fitting and prediction performance on complex dynamic sequences, but also separates different dynamical patterns within them.