arXiv:2410.19464cs.LGcs.AI2024-10被引 3

提出LOCAL方法,高效推断时间序列中的动态因果结构。

LOCAL: Learning with Orientation Matrix to Infer Causal Structure from Time Series Data

  • 基于拟最大似然分数函数,无需约束直接学习动态因果图
  • 在合成与真实数据上优于现有方法,显著提升效率与准确性
  • 适合需要快速、可解释因果建模的高维时间序列研究者

从时间序列观测数据中发现底层有向无环图(DAG)极具挑战性,源于变量间动态特性与复杂非线性交互。现有方法通常通过优化目标函数搜索最优DAG,但随着变量维度增加,计算开销呈指数增长。为此,我们提出LOCAL,一种高效、易实现且无约束的动态因果结构恢复方法。LOCAL首次将基于拟最大似然的评分函数用于学习等价于真实结构的动态DAG。在此基础上,引入两个自适应模块:渐近因果掩码学习(ACML)与动态图参数学习(DGPL)。ACML利用可学习优先向量与Gumbel-Sigmoid函数构建因果掩码,确保无环性同时优化计算效率;DGPL将因果学习转化为分解矩阵乘积,捕捉高维数据中的动态因果结构并提升可解释性。在合成与真实数据集上的大量实验表明,LOCAL显著优于现有方法,展现出作为鲁棒高效动态因果发现工具的巨大潜力。

原文摘要 · Abstract (English)

Discovering the underlying Directed Acyclic Graph (DAG) from time series observational data is highly challenging due to the dynamic nature and complex nonlinear interactions between variables. Existing methods typically search for the optimal DAG by optimizing an objective function but face scalability challenges, as their computational demands grow exponentially with the dimensional expansion of variables. To this end, we propose LOCAL, a highly efficient, easy-to-implement, and constraint-free method for recovering dynamic causal structures. LOCAL is the first attempt to formulate a quasi-maximum likelihood-based score function for learning the dynamic DAG equivalent to the ground truth. Building on this, we introduce two adaptive modules that enhance the algebraic characterization of acyclicity: Asymptotic Causal Mask Learning (ACML) and Dynamic Graph Parameter Learning (DGPL). ACML constructs causal masks using learnable priority vectors and the Gumbel-Sigmoid function, ensuring DAG formation while optimizing computational efficiency. DGPL transforms causal learning into decomposed matrix products, capturing dynamic causal structure in high-dimensional data and improving interpretability. Extensive experiments on synthetic and real-world datasets demonstrate that LOCAL significantly outperforms existing methods and highlight LOCAL's potential as a robust and efficient method for dynamic causal discovery.

因果发现时间序列动态图

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