GRU-ODE-Bayes: Continuous modeling of sporadically-observed time series [article]

Edward De Brouwer and Jaak Simm and Adam Arany and Yves Moreau
2019 arXiv   pre-print
Modeling real-world multidimensional time series can be particularly challenging when these are sporadically observed (i.e., sampling is irregular both in time and across dimensions)-such as in the case of clinical patient data. To address these challenges, we propose (1) a continuous-time version of the Gated Recurrent Unit, building upon the recent Neural Ordinary Differential Equations (Chen et al., 2018), and (2) a Bayesian update network that processes the sporadic observations. We bring
more » ... ese two ideas together in our GRU-ODE-Bayes method. We then demonstrate that the proposed method encodes a continuity prior for the latent process and that it can exactly represent the Fokker-Planck dynamics of complex processes driven by a multidimensional stochastic differential equation. Additionally, empirical evaluation shows that our method outperforms the state of the art on both synthetic data and real-world data with applications in healthcare and climate forecast. What is more, the continuity prior is shown to be well suited for low number of samples settings.
arXiv:1905.12374v2 fatcat:cr3vfswbwrfd7kukvico3r5h2e