论文标题
出口:针对时间序列分类和预测的基于外推和基于插值的神经控制的微分方程
EXIT: Extrapolation and Interpolation-based Neural Controlled Differential Equations for Time-series Classification and Forecasting
论文作者
论文摘要
受微分方程式启发的深度学习是最近的研究趋势,它标志着许多机器学习任务的最先进的表现。其中,使用神经控制的微分方程(NCDE)进行时间序列建模被认为是突破。在许多情况下,基于NCDE的模型不仅比复发性神经网络(RNN)提供了更好的准确性,而且还可以处理不规则的时间序列。在这项工作中,我们通过重新设计其核心部分来增强NCDES,即从离散的时间序列输入产生连续路径。 NCDE通常使用插值算法将离散的时间序列样本转换为连续路径。但是,我们向i)提出了使用编码器解码器体系结构生成另一条潜在的连续路径,该架构对应于NCDE的插值过程,即我们的基于神经网络的插值与现有的显式插值相对,以及II)利用解码器的生成特征,即超出时间的数据。因此,我们的NCDE设计可以使用插值和推断的信息用于下游机器学习任务。在我们使用5个现实世界数据集和12个基线的实验中,我们的外推和基于插值的NCDES优于非平凡边缘的现有基线。
Deep learning inspired by differential equations is a recent research trend and has marked the state of the art performance for many machine learning tasks. Among them, time-series modeling with neural controlled differential equations (NCDEs) is considered as a breakthrough. In many cases, NCDE-based models not only provide better accuracy than recurrent neural networks (RNNs) but also make it possible to process irregular time-series. In this work, we enhance NCDEs by redesigning their core part, i.e., generating a continuous path from a discrete time-series input. NCDEs typically use interpolation algorithms to convert discrete time-series samples to continuous paths. However, we propose to i) generate another latent continuous path using an encoder-decoder architecture, which corresponds to the interpolation process of NCDEs, i.e., our neural network-based interpolation vs. the existing explicit interpolation, and ii) exploit the generative characteristic of the decoder, i.e., extrapolation beyond the time domain of original data if needed. Therefore, our NCDE design can use both the interpolated and the extrapolated information for downstream machine learning tasks. In our experiments with 5 real-world datasets and 12 baselines, our extrapolation and interpolation-based NCDEs outperform existing baselines by non-trivial margins.