Synergetic Learning of Heterogeneous Temporal Sequences for Multi-Horizon Probabilistic Forecasting

Time-series is ubiquitous across applications, such as transportation, finance and healthcare. Time-series is often influenced by external factors, especially in the form of asynchronous events, making forecasting difficult. However, existing models are mainly designated for either synchronous time-series or asynchronous event sequence, and can hardly provide a synthetic way to capture the relation between them. We propose Variational Synergetic Multi-Horizon Network (VSMHN), a novel deep conditional generative model. To learn complex correlations across heterogeneous sequences, a tailored encoder is devised to combine the advances in deep point processes models and variational recurrent neural networks. In addition, an aligned time coding and an auxiliary transition scheme are carefully devised for batched training on unaligned sequences. Our model can be trained effectively using stochastic variational inference and generates probabilistic predictions with Monte-Carlo simulation. Furthermore, our model produces accurate, sharp and more realistic probabilistic forecasts. We also show that modeling asynchronous event sequences is crucial for multi-horizon time-series forecasting.

Do RNN and LSTM have Long Memory?

The LSTM network was proposed to overcome the difficulty in learning long-term dependence, and has made significant advancements in applications. With its success and drawbacks in mind, this paper raises the question - do RNN and LSTM have long memory? We answer it partially by proving that RNN and LSTM do not have long memory from a statistical perspective. A new definition for long memory networks is further introduced, and it requires the model weights to decay at a polynomial rate. To verify our theory, we convert RNN and LSTM into long memory networks by making a minimal modification, and their superiority is illustrated in modeling long-term dependence of various datasets.