Efficient processing of large-scale time series data is an intricate problem in machine learning. Conventional sensor signal processing pipelines with hand engineered feature extraction often involve huge computational cost with high dimensional data. Deep recurrent neural networks have shown promise in automated feature learning for improved time-series processing. However, generic deep recurrent models grow in scale and depth with increased complexity of the data. This is particularly challenging in presence of high dimensional data with temporal and spatial characteristics. Consequently, this work proposes a novel deep cellular recurrent neural network (DCRNN) architecture to efficiently process complex multi-dimensional time series data with spatial information. The cellular recurrent architecture in the proposed model allows for location-aware synchronous processing of time series data from spatially distributed sensor signal sources. Extensive trainable parameter sharing due to cellularity in the proposed architecture ensures efficiency in the use of recurrent processing units with high-dimensional inputs. This study also investigates the versatility of the proposed DCRNN model for classification of multi-class time series data from different application domains. Consequently, the proposed DCRNN architecture is evaluated using two time-series datasets: a multichannel scalp EEG dataset for seizure detection, and a machine fault detection dataset obtained in-house. The results suggest that the proposed architecture achieves state-of-the-art performance while utilizing substantially less trainable parameters when compared to comparable methods in the literature.
In this paper, we propose a novel algorithm to detect anomaly in terms of Key Parameter Indicators (KPI)s over live cellular networks based on the combination of Recurrent Neural Networks (RNN), and Convolutional Neural Networks (CNN), as Recurrent Convolutional Neural Networks (R-CNN). CNN models the spatial correlations and information, whereas, RNN models the temporal correlations and information. In this paper, the studied cellular network consists of 2G, 3G, 4G, and 4.5G technologies, and the KPIs include Voice and data traffic of the cells. The data and voice traffic are extremely import…
Recurrent neural networks (RNNs) provide state-of-the-art performances in a wide variety of tasks that require memory. These performances can often be achieved thanks to gated recurrent cells such as gated recurrent units (GRU) and long short-term memory (LSTM). Standard gated cells share a layer internal state to store information at the network level, and long term memory is shaped by network-wide recurrent connection weights. Biological neurons on the other hand are capable of holding information at the cellular level for an arbitrary long amount of time through a process called bistability…
This paper describes the method of visualization of periodic constituents and instability areas in series of measurements, being based on the algorithm of smoothing out and concept of one-dimensional cellular automata. A method can be used at the analysis of temporal series, related to the volumes of thematic publications in web-space.
UC San Diego（加州大学圣地亚哥分校）；USC（南加州大学）；Children’s Hospital LA（洛杉矶儿童医院）
We present a novel application of LSTM recurrent neural networks to multilabel classification of diagnoses given variable-length time series of clinical measurements. Our method outperforms a strong baseline on a variety of metrics.
Time series forecasting is difficult. It is difficult even for recurrent neural networks with their inherent ability to learn sequentiality. This article presents a recurrent neural network based time series forecasting framework covering feature engineering, feature importances, point and interval predictions, and forecast evaluation. The description of the method is followed by an empirical study using both LSTM and GRU networks.
Oxford-Man Institute of Quantitative Finance（牛津-曼氏定量金融学研究所）
Despite the recent popularity of deep generative state space models, few comparisons have been made between network architectures and the inference steps of the Bayesian filtering framework -- with most models simultaneously approximating both state transition and update steps with a single recurrent neural network (RNN). In this paper, we introduce the Recurrent Neural Filter (RNF), a novel recurrent autoencoder architecture that learns distinct representations for each Bayesian filtering step, captured by a series of encoders and decoders. Testing this on three real-world time series dataset…
We observe that the standard log likelihood training objective for a Recurrent Neural Network (RNN) model of time series data is equivalent to a variational Bayesian training objective, given the proper choice of generative and inference models. This perspective may motivate extensions to both RNNs and variational Bayesian models. We propose one such extension, where multiple particles are used for the hidden state of an RNN, allowing a natural representation of uncertainty or multimodality.
This paper compares recurrent neural networks (RNNs) with different types of gated cells for forecasting time series with multiple seasonality. The cells we compare include classical long short term memory (LSTM), gated recurrent unit (GRU), modified LSTM with dilation, and two new cells we proposed recently, which are equipped with dilation and attention mechanisms. To model the temporal dependencies of different scales, our RNN architecture has multiple dilated recurrent layers stacked with hierarchical dilations. The proposed RNN produces both point forecasts and predictive intervals (PIs) …
University of North Carolina at Chapel Hill（北卡罗来纳大学教堂山分校）
Time series imputation is a fundamental task for understanding time series with missing data. Existing methods either do not directly handle irregularly-sampled data or degrade severely with sparsely observed data. In this work, we reformulate time series as permutation-equivariant sets and propose a novel imputation model NRTSI that does not impose any recurrent structures. Taking advantage of the permutation equivariant formulation, we design a principled and efficient hierarchical imputation procedure. In addition, NRTSI can directly handle irregularly-sampled time series, perform multiple-…
Columbia University（哥伦比亚大学）；Tencent AI Lab（腾讯人工智能实验室）；Tencent（腾讯）
Time series prediction has been studied in a variety of domains. However, it is still challenging to predict future series given historical observations and past exogenous data. Existing methods either fail to consider the interactions among different components of exogenous variables which may affect the prediction accuracy, or cannot model the correlations between exogenous data and target data. Besides, the inherent temporal dynamics of exogenous data are also related to the target series prediction, and thus should be considered as well. To address these issues, we propose an end-to-end de…
Recent research demonstrate that prediction of time series by recurrent neural networks (RNNs) based on the noisy input generates a smooth anticipated trajectory. We examine the internal dynamics of RNNs and establish a set of conditions required for such behavior. Based on this analysis we propose a new approximate algorithm and show that it significantly speeds up the predictive process without loss of accuracy.
Time series forecasting based on deep architectures has been gaining popularity in recent years due to their ability to model complex non-linear temporal dynamics. The recurrent neural network is one such model capable of handling variable-length input and output. In this paper, we leverage recent advances in deep generative models and the concept of state space models to propose a stochastic adaptation of the recurrent neural network for multistep-ahead time series forecasting, which is trained with stochastic gradient variational Bayes. In our model design, the transition function of the rec…
Hybrid LSTM-fully convolutional networks (LSTM-FCN) for time series classification have produced state-of-the-art classification results on univariate time series. We show that replacing the LSTM with a gated recurrent unit (GRU) to create a GRU-fully convolutional network hybrid model (GRU-FCN) can offer even better performance on many time series datasets. The proposed GRU-FCN model outperforms state-of-the-art classification performance in many univariate and multivariate time series datasets. In addition, since the GRU uses a simpler architecture than the LSTM, it has fewer training parame…
The task of clustering unlabeled time series and sequences entails a particular set of challenges, namely to adequately model temporal relations and variable sequence lengths. If these challenges are not properly handled, the resulting clusters might be of suboptimal quality. As a key solution, we present a joint clustering and feature learning framework for time series based on deep learning. For a given set of time series, we train a recurrent network to represent, or embed, each time series in a vector space such that a divergence-based clustering loss function can discover the underlying c…
We consider a setting where multiple entities inter-act with each other over time and the time-varying statuses of the entities are represented as multiple correlated time series. For example, speed sensors are deployed in different locations in a road network, where the speed of a specific location across time is captured by the corresponding sensor as a time series, resulting in multiple speed time series from different locations, which are often correlated. To enable accurate forecasting on correlated time series, we proposes graph attention recurrent neural networks.First, we build a graph…
University of Oxford（牛津大学）；Mind Foundry Ltd.（思维铸造有限公司）
Recurrent neural networks (RNNs) are state-of-the-art in several sequential learning tasks, but they often require considerable amounts of data to generalise well. For many time series forecasting (TSF) tasks, only a few dozens of observations may be available at training time, which restricts use of this class of models. We propose a novel RNN-based model that directly addresses this problem by learning a shared feature embedding over the space of many quantised time series. We show how this enables our RNN framework to accurately and reliably forecast unseen time series, even when there is l…
University of Florida（佛罗里达大学）；UiT - The Arctic University of Norway（挪威北极圈大学）
We propose causal recurrent variational autoencoder (CR-VAE), a novel generative model that is able to learn a Granger causal graph from a multivariate time series x and incorporates the underlying causal mechanism into its data generation process. Distinct to the classical recurrent VAEs, our CR-VAE uses a multi-head decoder, in which the $p$-th head is responsible for generating the $p$-th dimension of $\mathbf{x}$ (i.e., $\mathbf{x}^p$). By imposing a sparsity-inducing penalty on the weights (of the decoder) and encouraging specific sets of weights to be zero, our CR-VAE learns a sparse adj…
Institute for Infocomm Research（资讯通信研究院）；Agency for Science, Technology and Research (A*STAR)（新加坡科技研究局（A*STAR））
Real-world clinical time series data sets exhibit a high prevalence of missing values. Hence, there is an increasing interest in missing data imputation. Traditional statistical approaches impose constraints on the data-generating process and decouple imputation from prediction. Recent works propose recurrent neural network based approaches for missing data imputation and prediction with time series data. However, they generate deterministic outputs and neglect the inherent uncertainty. In this work, we introduce a unified Bayesian recurrent framework for simultaneous imputation and prediction…
Inspired by the tremendous success of deep Convolutional Neural Networks as generic feature extractors for images, we propose TimeNet: a deep recurrent neural network (RNN) trained on diverse time series in an unsupervised manner using sequence to sequence (seq2seq) models to extract features from time series. Rather than relying on data from the problem domain, TimeNet attempts to generalize time series representation across domains by ingesting time series from several domains simultaneously. Once trained, TimeNet can be used as a generic off-the-shelf feature extractor for time series. The …
Rice University（莱斯大学）；Facebook AI Research（Facebook人工智能研究院）
Kernels derived from deep neural networks (DNNs) in the infinite-width regime provide not only high performance in a range of machine learning tasks but also new theoretical insights into DNN training dynamics and generalization. In this paper, we extend the family of kernels associated with recurrent neural networks (RNNs), which were previously derived only for simple RNNs, to more complex architectures including bidirectional RNNs and RNNs with average pooling. We also develop a fast GPU implementation to exploit the full practical potential of the kernels. Though RNNs are typically only ap…
Surrogate testing techniques have been used widely to investigate the presence of dynamical nonlinearities, an essential ingredient of deterministic chaotic processes. Traditional surrogate testing subscribes to statistical hypothesis testing and investigates potential differences in discriminant statistics between the given empirical sample and its surrogate counterparts. The choice and estimation of the discriminant statistics can be challenging across short time series. Also, conclusion based on a single empirical sample is an inherent limitation. The present study proposes a recurrent neur…
The use of sensors available through smart devices has pervaded everyday life in several applications including human activity monitoring, healthcare, and social networks. In this study, we focus on the use of smartwatch accelerometer sensors to recognize eating activity. More specifically, we collected sensor data from 10 participants while consuming pizza. Using this information, and other comparable data available for similar events such as smoking and medication-taking, and dissimilar activities of jogging, we developed a LSTM-ANN architecture that has demonstrated 90% success in identifyi…
Time series are widely used as signals in many classification/regression tasks. It is ubiquitous that time series contains many missing values. Given multiple correlated time series data, how to fill in missing values and to predict their class labels? Existing imputation methods often impose strong assumptions of the underlying data generating process, such as linear dynamics in the state space. In this paper, we propose BRITS, a novel method based on recurrent neural networks for missing value imputation in time series data. Our proposed method directly learns the missing values in a bidirec…
Time Series forecasting (univariate and multivariate) is a problem of high complexity due the different patterns that have to be detected in the input, ranging from high to low frequencies ones. In this paper we propose a new model for timeseries prediction that utilizes convolutional layers for feature extraction, a recurrent encoder and a linear autoregressive component. We motivate the model and we test and compare it against a baseline of widely used existing architectures for univariate and multivariate timeseries. The proposed model appears to outperform the baselines in almost every cas…
Fourier-Enhanced Recurrent Neural Networks for Electrical Load Time Series Downscaling
Department of Statistics University of Chicago Chicago, IL, USA（统计学系 芝加哥大学）；Computer Science Division Argonne National Laboratory（计算机科学 division 阿贡国家实验室）
Traditional Recurrent Neural Networks assume vectorized data as inputs. However many data from modern science and technology come in certain structures such as tensorial time series data. To apply the recurrent neural networks for this type of data, a vectorisation process is necessary, while such a vectorisation leads to the loss of the precise information of the spatial or longitudinal dimensions. In addition, such a vectorized data is not an optimum solution for learning the representation of the longitudinal data. In this paper, we propose a new variant of tensorial neural networks which d…
University of Southern California（南加州大学）；New York University（纽约大学）
Multivariate time series data in practical applications, such as health care, geoscience, and biology, are characterized by a variety of missing values. In time series prediction and other related tasks, it has been noted that missing values and their missing patterns are often correlated with the target labels, a.k.a., informative missingness. There is very limited work on exploiting the missing patterns for effective imputation and improving prediction performance. In this paper, we develop novel deep learning models, namely GRU-D, as one of the early attempts. GRU-D is based on Gated Recurr…
Humboldt-Universität zu Berlin（柏林洪堡大学）；Bosch Center for AI（博世人工智能中心）
Recurrent neural networks (RNNs) are a popular choice for modeling sequential data. Modern RNN architectures assume constant time-intervals between observations. However, in many datasets (e.g. medical records) observation times are irregular and can carry important information. To address this challenge, we propose continuous recurrent units (CRUs) -- a neural architecture that can naturally handle irregular intervals between observations. The CRU assumes a hidden state, which evolves according to a linear stochastic differential equation and is integrated into an encoder-decoder framework. T…
Nowadays, modern earth observation programs produce huge volumes of satellite images time series (SITS) that can be useful to monitor geographical areas through time. How to efficiently analyze such kind of information is still an open question in the remote sensing field. Recently, deep learning methods proved suitable to deal with remote sensing data mainly for scene classification (i.e. Convolutional Neural Networks - CNNs - on single images) while only very few studies exist involving temporal deep learning approaches (i.e Recurrent Neural Networks - RNNs) to deal with remote sensing time …
Rethinking Recurrent Neural Networks for Time Series Forecasting: A Reinforced Recurrent Encoder with Prediction-Oriented Proximal Policy Optimization
School of Management, Huazhong University of Science and Technology（华中科技大学管理学院）；Center for Applied Mathematics, École des Ponts ParisTech（巴黎高等理工学院应用数学中心）；School of Mechanical Engineering, Dalian Jiaotong University（大连交通大学机械工程学院）；School of Computer Science and Technology, Huazhong University of Science and Technology（华中科技大学计算机科学与技术学院）
ETH Zurich（苏黎世联邦理工学院）；Tri-Institutional Training Program in Computational Biology and Medicine, Weill Cornell Medical（威尔康奈尔医学院计算生物学与医学三机构联合培养项目）
Generative Adversarial Networks (GANs) have shown remarkable success as a framework for training models to produce realistic-looking data. In this work, we propose a Recurrent GAN (RGAN) and Recurrent Conditional GAN (RCGAN) to produce realistic real-valued multi-dimensional time series, with an emphasis on their application to medical data. RGANs make use of recurrent neural networks in the generator and the discriminator. In the case of RCGANs, both of these RNNs are conditioned on auxiliary information. We demonstrate our models in a set of toy datasets, where we show visually and quantitat…
Paul Wurth S.A.（保尔沃斯公司）；UFR Sciences et Technologie（科学与技术学院）；DataThings S.A.R.L.（DataThings有限责任公司）；Université de La Rochelle（拉罗谢尔大学）
Data-driven model interpretability is a requirement to gain the acceptance of process engineers to rely on the prediction of a data-driven model to regulate industrial processes in the ironmaking industry. In the research presented in this paper, we focus on the development of an interpretable multivariate time series forecasting deep learning architecture for the temperature of the hot metal produced by a blast furnace. A Long Short-Term Memory (LSTM) based architecture enhanced with attention mechanism and guided backpropagation is proposed to accommodate the prediction with a local temporal…
University of Minnesota, Twin Cities（明尼苏达大学双城分校）；IBM Research, T. J. Watson Research Center（IBM研究院托马斯·J·沃森研究中心）
Multivariate time-series modeling and forecasting is an important problem with numerous applications. Traditional approaches such as VAR (vector auto-regressive) models and more recent approaches such as RNNs (recurrent neural networks) are indispensable tools in modeling time-series data. In many multivariate time series modeling problems, there is usually a significant linear dependency component, for which VARs are suitable, and a nonlinear component, for which RNNs are suitable. Modeling such times series with only VAR or only RNNs can lead to poor predictive performance or complex models …
Hochschule Bonn-Rhein-Sieg（波恩-莱茵-锡格应用技术大学）；Fraunhofer Center for Machine Learning and SCAI（弗劳恩霍夫机器学习中心与SCAI）
Ice accumulation in the blades of wind turbines can cause them to describe anomalous rotations or no rotations at all, thus affecting the generation of electricity and power output. In this work, we investigate the problem of ice accumulation in wind turbines by framing it as anomaly detection of multi-variate time series. Our approach focuses on two main parts: first, learning low-dimensional representations of time series using a Variational Recurrent Autoencoder (VRAE), and second, using unsupervised clustering algorithms to classify the learned representations as normal (no ice accumulated…
With the advent of Big Data, nowadays in many applications databases containing large quantities of similar time series are available. Forecasting time series in these domains with traditional univariate forecasting procedures leaves great potentials for producing accurate forecasts untapped. Recurrent neural networks (RNNs), and in particular Long Short-Term Memory (LSTM) networks, have proven recently that they are able to outperform state-of-the-art univariate time series forecasting methods in this context when trained across all available time series. However, if the time series database …
Long-term prediction of multivariate time series is still an important but challenging problem. The key to solve this problem is to capture the spatial correlations at the same time, the spatio-temporal relationships at different times and the long-term dependence of the temporal relationships between different series. Attention-based recurrent neural networks (RNN) can effectively represent the dynamic spatio-temporal relationships between exogenous series and target series, but it only performs well in one-step time prediction and short-term time prediction. In this paper, inspired by human …
University of California, San Diego（加州大学圣迭戈分校）；NEC Laboratories America, Inc.（NEC美国实验室公司）
The Nonlinear autoregressive exogenous (NARX) model, which predicts the current value of a time series based upon its previous values as well as the current and past values of multiple driving (exogenous) series, has been studied for decades. Despite the fact that various NARX models have been developed, few of them can capture the long-term temporal dependencies appropriately and select the relevant driving series to make predictions. In this paper, we propose a dual-stage attention-based recurrent neural network (DA-RNN) to address these two issues. In the first stage, we introduce an input …
UiT The Arctic University of Norway（挪威北极大学）；Universidad Rey Juan Carlos（胡安·卡洛斯国王大学）
Clinical measurements that can be represented as time series constitute an important fraction of the electronic health records and are often both uncertain and incomplete. Recurrent neural networks are a special class of neural networks that are particularly suitable to process time series data but, in their original formulation, cannot explicitly deal with missing data. In this paper, we explore imputation strategies for handling missing values in classifiers based on recurrent neural network (RNN) and apply a recently proposed recurrent architecture, the Gated Recurrent Unit with Decay, spec…
Recurrent Neural Networks (RNN) have become competitive forecasting methods, as most notably shown in the winning method of the recent M4 competition. However, established statistical models such as ETS and ARIMA gain their popularity not only from their high accuracy, but they are also suitable for non-expert users as they are robust, efficient, and automatic. In these areas, RNNs have still a long way to go. We present an extensive empirical study and an open-source software framework of existing RNN architectures for forecasting, that allow us to develop guidelines and best practices for th…
The Ubicomp Digital 2020 -- Time Series Classification Challenge from STABILO is a challenge about multi-variate time series classification. The data collected from 100 volunteer writers, and contains 15 features measured with multiple sensors on a pen. In this paper,we use a neural network to classify the data into 52 classes, that is lower and upper cases of Arabic letters. The proposed architecture of the neural network a is CNN-LSTM network. It combines convolutional neural network (CNN) for short term context with along short term memory layer (LSTM) for also long term dependencies. We re…
Shanghai Jiao Tong University（上海交通大学）；IBM Research - China（IBM中国研究院）；Georgia Institute of Technology（佐治亚理工学院）
A variety of real-world processes (over networks) produce sequences of data whose complex temporal dynamics need to be studied. More especially, the event timestamps can carry important information about the underlying network dynamics, which otherwise are not available from the time-series evenly sampled from continuous signals. Moreover, in most complex processes, event sequences and evenly-sampled times series data can interact with each other, which renders joint modeling of those two sources of data necessary. To tackle the above problems, in this paper, we utilize the rich framework of (…
StateFlow: Dual-State Recurrent Modeling for Long-Horizon Time Series Forecasting
Department of Computer Science, Illinois Institute of Technology, Chicago, IL, USA（伊利诺伊理工学院计算机科学系）；Department of Computer Science, Emory University, Atlanta, GA, USA（埃默里大学计算机科学系）
Millimeter wave (mmWave) is a key technology to support high data rate demands for 5G applications. Highly directional transmissions are crucial at these frequencies to compensate for high isotropic pathloss. This reliance on di- rectional beamforming, however, makes the cell discovery (cell search) challenging since both base station (gNB) and user equipment (UE) jointly perform a search over angular space to locate potential beams to initiate communication. In the cell discovery phase, sequential beam sweeping is performed through the angular coverage region in order to transmit synchronizat…
Bidirectional recurrent neural networks (RNN) are trained to predict both in the positive and negative time directions simultaneously. They have not been used commonly in unsupervised tasks, because a probabilistic interpretation of the model has been difficult. Recently, two different frameworks, GSN and NADE, provide a connection between reconstruction and probabilistic modeling, which makes the interpretation possible. As far as we know, neither GSN or NADE have been studied in the context of time series before. As an example of an unsupervised task, we study the problem of filling in gaps …
We extend Neural Processes (NPs) to sequential data through Recurrent NPs or RNPs, a family of conditional state space models. RNPs model the state space with Neural Processes. Given time series observed on fast real-world time scales but containing slow long-term variabilities, RNPs may derive appropriate slow latent time scales. They do so in an efficient manner by establishing conditional independence among subsequences of the time series. Our theoretically grounded framework for stochastic processes expands the applicability of NPs while retaining their benefits of flexibility, uncertainty…
As large-scale time-series data can easily be found in real-world applications, multivariate time-series anomaly detection has played an essential role in diverse industries. It enables productivity improvement and maintenance cost reduction by preventing malfunctions and detecting anomalies based on time-series data. However, multivariate time-series anomaly detection is challenging because real-world time-series data exhibit complex temporal dependencies. For this task, it is crucial to learn a rich representation that effectively contains the nonlinear temporal dynamics of normal behavior. …
