用神经随机微分方程建模印度不同地区社会经济动态,兼顾趋势与波动。
Embedded Variational Neural Stochastic Differential Equations for Learning Heterogeneous Dynamics

- 结合神经SDE与变分自编码器,用区域嵌入捕捉各地独特动态
- 在奥迪沙州多地区数据上实现趋势与噪声的精准建模
- 适合研究时空异质性数据的学者,尤其关注社会经济演化
本研究针对印度奥迪沙邦多个地区的社会经济时序数据,探讨复杂且含噪数据建模的挑战。传统时间序列模型难以同时捕捉整体趋势与局部变异。为此,提出一种变分神经随机微分方程(V-NSDE)模型,融合神经SDE的表达能力与变分自编码器的生成优势。模型通过编码器将初始观测与区域嵌入映射为高斯分布,确定首个隐状态的均值与对数方差;随后,隐状态驱动神经SDE,其漂移与扩散函数由神经网络决定,依赖于时间、隐状态和区域嵌入,以学习各区域特异性动态。接着,通过概率解码器从隐轨迹重构观测值,输出每步的均值与对数方差,符合高斯似然。训练采用证据下界(ELBO)损失,加入KL散度正则项。实验表明,该模型能有效识别复杂时序模式,在不同区域生成包含明确趋势与随机波动的真实结果。
原文摘要 · Abstract (English)
This study examines the challenges of modeling complex and noisy data related to socioeconomic factors over time, with a focus on data from various districts in Odisha, India. Traditional time-series models struggle to capture both trends and variations together in this type of data. To tackle this, a Variational Neural Stochastic Differential Equation (V-NSDE) model is designed that combines the expressive dynamics of Neural SDEs with the generative capabilities of Variational Autoencoders (VAEs). This model uses an encoder and a decoder. The encoder takes the initial observations and district embeddings and translates them into a Gaussian distribution, which determines the mean and log-variance of the first latent state. Then the obtained latent state initiates the Neural SDE, which utilize neural networks to determine the drift and diffusion functions that govern continuous-time latent dynamics. These governing functions depend on the time index, latent state, and district embedding, which help the model learn the unique characteristics specific to each district. After that, using a probabilistic decoder, the observations are reconstructed from the latent trajectory. The decoder outputs a mean and log-variance for each time step, which follows the Gaussian likelihood. The Evidence Lower Bound (ELBO) training loss improves by adding a KL-divergence regularization term to the negative log-likelihood (nll). The obtained results demonstrate the effective learning of V-NSDE in recognizing complex patterns over time, yielding realistic outcomes that include clear trends and random fluctuations across different areas.
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