Efficient Learning of Deep State Space Models via Importance Smoothing

In many domains, practitioners seek models that produce accurate forecasts while faithfully capturing latent system dynamics. Existing approaches typically sacrifice one of these goals: deep state space models often assume Gaussian latent transitions, limiting fit and forecasting, while diffusion models are highly expressive but lack principled inference for the underlying dynamics. To combine the strengths of both, we introduce the Diffusion-Driven State Space Model (DDSSM), which replaces the conventional Gaussian transition distribution with a diffusion model. Our DDSSM resolves the open problem of how to jointly train an autoencoder and a diffusion model on sequential data, thereby extending the literature on latent diffusion models for time series. Moreover, we find that the DDSSM empirically outperforms a state-of-the-art deep SSM at fitting and forecasting a simulated time series with multimodal transitions.

State Space Models (SSMs) have emerged as a powerful paradigm for efficient long-sequence modeling, offering parallel training and fast linear-time recurrent inference. However, like other recurrent architectures, SSMs must compress an unbounded history into a fixed-size state, which limits context retention and makes precise retrieval over long-range context inherently difficult. To overcome this limitation, we propose Delay State Space Models (DSSMs), a delay differential equation (DDE)-inspired extension of diagonal SSMs that augments discrete SSM recurrences with explicit delayed-state feedback. Making explicit delayed feedback practical requires new stability parameterization, history management, and FFT-training tools. We address these challenges with a practical discretization and parameterization grounded in a simple delay-independent stability condition. To bypass direct time-domain kernel construction, we derive the DSSM transfer function and compute kernels in the frequency domain, using a kernel contour shift to suppress aliasing and recover accurate FFT training. Empirically, DSSMs substantially improve targeted delayed-retrieval tasks while outperforming S4D on most standard sequence metrics and remaining close on the others.

State-space models (SSMs) face a fundamental trade-off between efficiency and expressivity that is mainly dictated by the structure of the model's transition matrix. Unstructured transition matrices enable maximal expressivity, as measured by their ability to model finite-state automaton (FSA) transitions, but come at a prohibitively high compute and memory cost. In contrast, most structured transition matrix forms are highly efficient both in runtime and memory consumption, but suffer from limited expressivity. Building on recent work on structured sparse SSMs, we propose Flash PD-SSM, a novel SSM that achieves comparable throughput to widely-used structured SSMs with significantly better expressivity guarantees. Flash PD-SSM maintains a trainable set of structured sparse matrices, a single one of which is discretely selected at each time-step, enabling FSA expressiveness at the level of unstructured matrices while maintaining the efficiency required for training models at scale. First, we validate Flash PD-SSM against a suite of alternative models on synthetic mechanistic and state-tracking tasks, finding that its theoretical expressivity is achieved in practice. Second, on multivariate time-series tasks involving sequences of length over 17,000, we find that Flash PD-SSM defines a new state-of-the-art (SoTA) accuracy among competing SSM methods. Finally, we demonstrate that Flash PD-SSM is an effective drop-in replacement for hybrid LLMs, yielding improvements both in natural language state-tracking and in common language modeling scenarios. The model exhibits increased throughput and decreased memory consumption compared to SSMs widely used in frontier language models.