Deep Explicit Duration Switching Models for Time Series, Abdul Fatir Ansari★, Konstantinos Benidis, Richard Kurle, Ali Caner Turkmen, Harold Soh★, Alex Smola, Bernie Wang, Tim Januschowski, Neural Information Processing Systems (NeurIPS), 2021
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Many complex time series can be effectively subdivided into distinct regimes that exhibit persistent dynamics. Discovering the switching behavior and the statistical patterns in these regimes is important for understanding the underlying dynamical system. We propose the Recurrent Explicit Duration Switching Dynamical System (RED-SDS), a flexible model that is capable of identifying both state- and time-dependent switching dynamics. State-dependent switching is enabled by a recurrent state-to-switch connection and an explicit duration count variable is used to improve the time-dependent switching behavior. We demonstrate how to perform efficient inference using a hybrid algorithm that approximates the posterior of the continuous states via an inference network and performs exact inference for the discrete switches and counts. The model is trained by maximizing a Monte Carlo lower bound of the marginal log-likelihood that can be computed efficiently as a byproduct of the inference routine. Empirical results on multiple datasets demonstrate that RED-SDS achieves considerable improvement in time series segmentation and competitive forecasting performance against the state of the art.
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Abdul Fatir Ansari★, Konstantinos Benidis, Richard Kurle, Ali Caner Turkmen, Harold Soh★, Alex Smola, Bernie Wang, Tim Januschowski, “Deep Explicit Duration Switching Models for Time Series”, Neural Information Processing Systems (NeurIPS), 2021
@inproceedings{ansari2021deep,
author = {Abdul Fatir Ansari and Konstantinos Benidis and Richard Kurle and Ali Caner Turkmen and Harold Soh and Alex Smola and Bernie Wang and Tim Januschowski},
title = {Deep Explicit Duration Switching Models for Time Series},
year = {2021},
booktitle = {Neural Information Processing Systems (NeurIPS)}}
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