SrVARM: State regularized vector autoregressive model for joint learning of hidden state transitions and state-dependent inter-variable dependencies from multi-variate time series

Tsung Yu Hsieh, Yiwei Sun, Xianfeng Tang, Suhang Wang, Vasant G. Honavar

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Many applications, e.g., healthcare, education, call for effective methods methods for constructing predictive models from high dimensional time series data where the relationship between variables can be complex and vary over time. In such settings, the underlying system undergoes a sequence of unobserved transitions among a finite set of hidden states. Furthermore, the relationships between the observed variables and their temporal dynamics may depend on the hidden state of the system. To further complicate matters, the hidden state sequences underlying the observed data from different individuals may not be aligned relative to a common frame of reference. Against this background, we consider the novel problem of jointly learning the state-dependent inter-variable relationships as well as the pattern of transitions between hidden states from multi-variate time series data. To solve this problem, we introduce the State-Regularized Vector Autoregressive Model (SrVARM) which combines a state-regularized recurrent neural network to learn the dynamics of transitions between discrete hidden states with an augmented autoregressive model which models the inter-variable dependencies in each state using a state-dependent directed acyclic graph (DAG). We propose an efficient algorithm for training SrVARM by leveraging a recently introduced reformulation of the combinatorial problem of optimizing the DAG structure with respect to a scoring function into a continuous optimization problem. We report results of extensive experiments with simulated data as well as a real-world benchmark that show that SrVARM outperforms state-of-the-art baselines in recovering the unobserved state transitions and discovering the state-dependent relationships among variables.

Original languageEnglish (US)
Title of host publicationThe Web Conference 2021 - Proceedings of the World Wide Web Conference, WWW 2021
PublisherAssociation for Computing Machinery, Inc
Pages2270-2280
Number of pages11
ISBN (Electronic)9781450383127
DOIs
StatePublished - Apr 19 2021
Event2021 World Wide Web Conference, WWW 2021 - Ljubljana, Slovenia
Duration: Apr 19 2021Apr 23 2021

Publication series

NameThe Web Conference 2021 - Proceedings of the World Wide Web Conference, WWW 2021

Conference

Conference2021 World Wide Web Conference, WWW 2021
Country/TerritorySlovenia
CityLjubljana
Period4/19/214/23/21

All Science Journal Classification (ASJC) codes

  • Computer Networks and Communications
  • Software

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