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Note on Equivalence Between Recurrent Neural Network Time Series Models and Variational Bayesian Models

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arxiv 1504.08025 v2 pith:AZE3HDQK submitted 2015-04-29 cs.LG

Note on Equivalence Between Recurrent Neural Network Time Series Models and Variational Bayesian Models

classification cs.LG
keywords modelsbayesianvariationalnetworkneuralobjectiverecurrentseries
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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We observe that the standard log likelihood training objective for a Recurrent Neural Network (RNN) model of time series data is equivalent to a variational Bayesian training objective, given the proper choice of generative and inference models. This perspective may motivate extensions to both RNNs and variational Bayesian models. We propose one such extension, where multiple particles are used for the hidden state of an RNN, allowing a natural representation of uncertainty or multimodality.

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