arXiv:2411.02694stat.MLcs.LG2024-11被引 3

解决事件时间不确定的点过程建模问题,提升医疗与犯罪预测精度

Point processes with event time uncertainty

  • 基于连续时间框架构建带时间不确定性的自激发点过程模型
  • 离散化后用梯度下降等方法优化,实现O(1/k)收敛率的参数恢复
  • 适用于非平稳与网络结构数据,适合医疗、安防等领域应用

点过程是用于建模连续时间离散事件数据(如医疗记录、犯罪报告、社交网络互动)的广泛统计模型,可捕捉历史事件对后续事件的影响。然而在许多实际场景中,事件发生时间并不精确,因此需要将时间不确定性纳入点过程建模。本文提出一种面向时间不确定的自激发点过程(即霍克斯过程)的建模框架,可定义于网络之上。首先在连续时间下建立基于真实场景假设的模型;通过引入时间网格,转化为离散时间模型,便于推断并支持梯度下降和变分不等式(VI)等一阶优化方法。我们证明了使用k步迭代的VI推断具有O(1/k)的参数恢复收敛速率。该框架通过矩阵(或网络上的张量)表示影响核,可建模非平稳过程,同时包含经典霍克斯过程作为特例。实验表明,该方法在模拟数据和真实数据集(包括脓毒症相关紊乱预测挑战赛与亚特兰大警察犯罪数据集)上均优于现有基线。

原文摘要 · Abstract (English)

Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In many applications, however, event times are not observed exactly, motivating the need to incorporate time uncertainty into point process modeling. In this work, we introduce a framework for modeling time-uncertain self-exciting point processes, known as Hawkes processes, possibly defined over a network. We begin by formulating the model in continuous time under assumptions motivated by real-world scenarios. By imposing a time grid, we obtain a discrete-time model that facilitates inference and enables computation via first-order optimization methods such as gradient descent and variational inequality (VI). We establish a parameter recovery guarantee for VI inference with an $O(1/k)$ convergence rate using $k$ steps. Our framework accommodates non-stationary processes by representing the influence kernel as a matrix (or tensor on a network), while also encompassing stationary processes, such as the classical Hawkes process, as a special case. Empirically, we demonstrate that the proposed approach outperforms existing baselines on both simulated and real-world datasets, including the sepsis-associated derangement prediction challenge and the Atlanta Police Crime Dataset.

点过程时间不确定性霍克斯过程医疗预测

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