Title: Oh SnapMMD! Forecasting stochastic dynamics beyond the Schrödinger bridge’s end
Primary area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
Keywords: Schrödinger Bridges, Forecasting, Stochastic Dynamics, Trajectory Inference

Abstract: Scientists often want to make predictions beyond the observed time horizon of “snapshot” data following latent stochastic dynamics. For example, in time course single-cell mRNA profiling, scientists have access to cellular transcriptional state measurements (snapshots) from different biological replicates at different time points, but they cannot access the trajectory of any one cell because  measurement destroys the cell. Researchers want to forecast (e.g.) differentiation outcomes from early state measurements of stem cells. Recent Schrödinger-bridge (SB) methods are natural for interpolating between snapshots. But past SB papers have not addressed forecasting. Some natural immediate extensions of existing methods would (1) reduce to following pre-set reference dynamics (chosen before seeing data) or (2) require the user to choose a fixed, state-independent volatility since they minimize a Kullback–Leibler divergence. Either case can lead to poor forecasting quality. In the present work, we propose a new framework, SnapMMD, that learns dynamics by directly fitting the joint distribution of both state measurements and observation time with a maximum mean discrepancy (MMD) loss. Unlike past work, our method allows us to infer unknown and state-dependent volatilities from the observed data. We show in a variety of real and synthetic experiments that our method delivers accurate forecasts. Moreover, our approach allows us to learn in the presence of incomplete state measurements and yields an $R^2$-style statistic that diagnoses fit. We also find that our method's performance at interpolation (and general velocity-field reconstruction) is at least as good as (and often better than) state-of-the-art in almost all of our experiments.

TL;DR: We propose a new method to forecast stochastic dynamics from snapshot data.