ZENO: Nonlinear filtering with Zakai Equation Neural Operators

Abstract

State inference and parameter learning for nonlinear filters is a core computation for scientific machine learning with varied applications in engineering and neuroscience. The unnormalized filtering distribution is governed by the Zakai equation, a stochastic partial differential equation (SPDE) that combines the forward Kolmogorov operator (known as the Fokker-Planck equation) with observed likelihood updates. Although solving these high-dimensional SPDEs is often impossible analytically and intractable numerically, advances in operator learning and physics-informed machine learning have made it feasible. Harnessing these advances, we introduce the Zakai Equation Neural Operator (ZENO), a model that optimizes a neural operator against a Zakai Equation based physics-informed loss to approximate the exact unnormalized filtering distribution for latent stochastic dynamical systems. We use this ZENO-inferred posterior distribution in an expectation-maximization (EM) framework to perform parameter learning and state inference. We demonstrate ZENO's ability to accurately infer the posterior distribution and learn its corresponding SDE parameters in three simulated stochastic dynamical systems (Double-Well bistable system, Van Der Pol (VDP) oscillator, and Lorenz system) and compare its performance against established methods for latent SDE inference and learning. We show that ZENO recovers previously observed limit cycles representing forward and backward locomotion from a whole-brain imaging dataset of immobilized \textit{C. elegans} nematodes. ZENO is a novel approach to the problem of nonlinear filtering and dynamical inference through the lens of partial differential equations and operator theory.