Learning Mixtures of Linear Dynamical Systems via Hybrid Tensor-EM Method

Linear dynamical systems (LDSs) have been powerful tools for modeling high-dimensional time-series data across many domains, including neuroscience. However, a single LDS often struggles to capture the heterogeneity of neural data, where trajectories recorded under different conditions can have variations in their dynamics. Mixtures of linear dynamical systems (MoLDS) provide a path to model these variations in temporal dynamics for different observed trajectories. However, MoLDS remains difficult to apply in complex and noisy settings, limiting its practical use in neural data analysis. Tensor-based moment methods can provide global identifiability guarantees for MoLDS, but their practical performance degrades in high-noise or complex scenarios. Commonly used expectation-maximization (EM) methods offer flexibility in fitting latent models but are highly sensitive to initialization and prone to poor local minima. Here, we propose a tensor-based moment method that provides identifiability guarantees for learning MoLDS, which can be followed by EM updates to combine the strengths of both approaches. The novelty in our approach lies in the construction of moment tensors using the input-output data, on which we then apply Simultaneous Matrix Diagonalization (SMD) to recover globally consistent estimates of mixture weights and system parameters. These estimates can then be refined through a full Kalman EM algorithm, with closed-form updates for all LDS parameters. We validate our framework on synthetic benchmarks and real-world datasets. On synthetic data, the proposed Tensor-EM method achieves more reliable recovery and improved robustness compared to either pure tensor or randomly initialized EM methods. We then apply this method to two neural datasets from non-human primates doing reaching tasks. For both datasets, our method successfully models and clusters different conditions as separate subsystems. These results demonstrate that MoLDS provides an effective framework for modeling complex neural data in different brain regions, and that Tensor-EM is a principled and reliable approach to MoLDS learning for these applications.