Conditionally Identifiable Latent Representation for Multivariate Time Series with Structural Dynamics

The presence of noise that depends on the latent variables poses a fundamental challenge to identifiability. Existing results rely on conditional independence among the observations given the latent variables. We study a more general misspecified structure, where this conditional factorization does not hold, and establish both precise and approximate identifiability guarantees. We characterize structural misspecification as a perturbed factor analysis problem. For precise identifiability, we establish subspace identifiability under spectral separation and controlled perturbation, followed by component-wise identifiability under structural sparsity. When the precise condition is not guaranteed, we derive an approximate subspace-identifiability theorem. Based on these results, we develop an unsupervised variational estimator for recovering latent variables. Experiments demonstrate the effectiveness of the proposed framework.

Learning identifiable representations in deep generative models remains a fundamental challenge, particularly for sequential data with regime-switching dynamics. Existing approaches establish identifiability under restrictive assumptions, such as stationarity or limited emission models, and typically rely on variational autoencoder (VAE) estimators, which introduce approximation gaps that limit the recovery of the latent structure. In this work, we address both the theoretical and practical limitations of this setting. First, we establish identifiability of a broad class of recurrent nonlinear switching dynamical systems under flexible assumptions, significantly extending prior results. Second, we introduce $Ω$SDS, a flow-based estimator that enables exact likelihood optimization using expectation-maximisation. Through empirical validation on both synthetic and real-world data, our results demonstrate that $Ω$SDS achieves improved disentanglement compared to VAE-based estimators and more accurate forecasting of underlying dynamics.

Learning latent dynamics is central to assessing the current states and forecasting the future trajectories of high-dimensional time series. For locally-stationary latent dynamics $\mathcal{F}(\mathbf{z}_{<t}; \mathbf{c})$ with latent dynamics state $\mathbf{z}_t$ and environment variable $\mathbf{c}$, prior identifiability results have largely focused on $\mathbf{z}_t$ when conditioned on predefined label $u$ of dynamics environments. This leaves two limitations: reliance on predefined labels that hinder generalization to unseen environments, and a limited understanding of the identifiability of $\mathcal{F}$ and $\mathbf{c}$ which -- although offering important structural properties for the identifiability of $\mathbf{z}_t$ -- are learned jointly with $\mathbf{z}_t$. We address these limitations with Meta-iLaD, a novel identifiable latent dynamics framework attained by meta-learning across dynamics environments. Meta-iLaD introduces a novel conditional prior of $\mathbf{c}$, modeled as a feedforward meta-learner to rapidly extract $\mathbf{c}$ from few-shot examples. Meta-iLaD further establishes identifiability for $\mathbf{z}_t$, $\mathbf{c}$, and $\mathcal{F}$ simultaneously, for a general formulation of $\mathcal{F}(\mathbf{z}_{< t};\mathbf{c})$ without restricting the dimension of $\mathbf{c}$ or how it modulates $\mathcal{F}$. On synthetic and real data, we provide strong empirical evidence that 1) conditioning on few-shot examples enables generalization to out-of-distribution environments, and 2) identifiability for $\mathbf{c}$ and $\mathcal{F}$ is critical for accurate forecasting beyond reconstructing observed trajectories. Code is available at https://github.com/GoForIt-YYB/Meta-iLaD.