Learning from irregularly-sampled time series: A missing data perspective

SCX Li, B Marlin - International Conference on Machine …, 2020 - proceedings.mlr.press
International Conference on Machine Learning, 2020proceedings.mlr.press
Irregularly-sampled time series occur in many domains including healthcare. They can be
challenging to model because they do not naturally yield a fixed-dimensional representation
as required by many standard machine learning models. In this paper, we consider irregular
sampling from the perspective of missing data. We model observed irregularly-sampled time
series data as a sequence of index-value pairs sampled from a continuous but unobserved
function. We introduce an encoder-decoder framework for learning from such generic …
Abstract
Irregularly-sampled time series occur in many domains including healthcare. They can be challenging to model because they do not naturally yield a fixed-dimensional representation as required by many standard machine learning models. In this paper, we consider irregular sampling from the perspective of missing data. We model observed irregularly-sampled time series data as a sequence of index-value pairs sampled from a continuous but unobserved function. We introduce an encoder-decoder framework for learning from such generic indexed sequences. We propose learning methods for this framework based on variational autoencoders and generative adversarial networks. For continuous irregularly-sampled time series, we introduce continuous convolutional layers that can efficiently interface with existing neural network architectures. Experiments show that our models are able to achieve competitive or better classification results on irregularly-sampled multivariate time series compared to recent RNN models while offering significantly faster training times.
proceedings.mlr.press