arXiv:2505.24704stat.MLcs.LG2025-05ICML

提出新型核强度估计器,计算效率远超现有方法。

K$^2$IE: Kernel Method-based Kernel Intensity Estimators for Inhomogeneous Poisson Processes

  • 基于再生核希尔伯特空间的最小二乘法构造新估计器
  • 在合成数据上预测性能相当,计算速度显著更快
  • 适合需要高效强度估计的时序建模场景

基于再生核希尔伯特空间(RKHS)的核方法强度估计器与经典核强度估计器(KIEs)虽共享‘核’字,但理论基础不同,各有优劣。本文提出一种基于最小二乘损失的正则化核方法,证明所得强度估计器满足特殊形式的表示定理:对偶系数为1,且等同于经典KIEs。该结果揭示了两类方法的新联系,并使我们能借助RKHS理论发展高效KIE。所提模型称为核方法基核强度估计器(K²IE)。在合成数据集上的实验表明,K²IE在预测性能上与现有方法相当,但在计算效率上显著优于当前最优核方法估计器。

原文摘要 · Abstract (English)

Kernel method-based intensity estimators, formulated within reproducing kernel Hilbert spaces (RKHSs), and classical kernel intensity estimators (KIEs) have been among the most easy-to-implement and feasible methods for estimating the intensity functions of inhomogeneous Poisson processes. While both approaches share the term "kernel", they are founded on distinct theoretical principles, each with its own strengths and limitations. In this paper, we propose a novel regularized kernel method for Poisson processes based on the least squares loss and show that the resulting intensity estimator involves a specialized variant of the representer theorem: it has the dual coefficient of unity and coincides with classical KIEs. This result provides new theoretical insights into the connection between classical KIEs and kernel method-based intensity estimators, while enabling us to develop an efficient KIE by leveraging advanced techniques from RKHS theory. We refer to the proposed model as the kernel method-based kernel intensity estimator (K$^2$IE). Through experiments on synthetic datasets, we show that K$^2$IE achieves comparable predictive performance while significantly surpassing the state-of-the-art kernel method-based estimator in computational efficiency.

点过程强度估计核方法高效计算

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