arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2106.15580cs.LGstat.ML
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连续潜在流程

Continuous Latent Process Flows

Borealis AI;Simon Fraser University(西蒙菲莎大学);York University(约克大学);Vector Institute

Ruizhi Deng, Marcus A. Brubaker, Greg Mori, Andreas M. Lehrmann

摘要:

在许多学科中,都存在对任意时间戳的连续时间序列动态的部分观测。使用具有连续动态的统计模型来拟合这类数据不仅在直观层面上很有希望,而且还具有实际好处,包括能够生成连续轨迹并对以前看不见的时间戳进行推断。尽管在这一领域取得了令人兴奋的进展,现有的模型仍然面临着挑战,在其代表性的权力和质量的变分近似。我们用连续潜在过程流(CLPF)来应对这些挑战,CLPF是一种原则性架构,它使用随机微分方程驱动的时间相关归一化流将连续潜在过程解码为连续可观察过程。为了优化我们的模型使用最大似然,我们提出了一种新的分段构造的变分后验过程,并推导出相应的变分下界使用轨迹重新加权。我们的消融研究证明了我们的贡献在不规则时间网格上的各种推理任务的有效性。与最先进的基线的比较显示,我们的模型在合成和真实世界的时间序列数据上都具有良好的性能。

英文摘要:

Partial observations of continuous time-series dynamics at arbitrary time stamps exist in many disciplines. Fitting this type of data using statistical models with continuous dynamics is not only promising at an intuitive level but also has practical benefits, including the ability to generate continuous trajectories and to perform inference on previously unseen time stamps. Despite exciting progress in this area, the existing models still face challenges in terms of their representational power and the quality of their variational approximations. We tackle these challenges with continuous latent process flows (CLPF), a principled architecture decoding continuous latent processes into continuous observable processes using a time-dependent normalizing flow driven by a stochastic differential equation. To optimize our model using maximum likelihood, we propose a novel piecewise construction of a variational posterior process and derive the corresponding variational lower bound using trajectory re-weighting. Our ablation studies demonstrate the effectiveness of our contributions in various inference tasks on irregular time grids. Comparisons to state-of-the-art baselines show our model's favourable performance on both synthetic and real-world time-series data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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