arXiv:2605.30213cs.LG2026-05

不插值直接用增量构建时间序列表示,更准更快。

Faithful Embeddings of Irregular and Asynchronous Data for Online Log-NCDEs

论文配图:Faithful Embeddings of Irregular and Asynchronous Data for Online Log-NCDEs
图 1 · 摘自论文原文
  • 用增量组合代替插值,直接构造对数签名
  • 在稀疏异步数据上准确率提升12%-18%
  • 适合在线处理实时时间序列数据

连续时间模型天然适用于不规则和异步数据。核心设计在于如何将离散观测嵌入连续时间。现有基于插值或填补的嵌入方法需重构连续路径,使模型对重构方式敏感。本文证明:只要嵌入映射连续且单射,输入空间的紧集泛化性可传递至数据空间,无需中间重构。基于此,结合矩形控制路径的神经控制微分方程(NCDEs),我们提出一种连续且单射的Log-NCDE嵌入方法。该方法将观测记录为增量,并在任意查询区间内组合形成对数签名,实现无需先插值的区间级摘要,支持在线计算。在合成受控动力系统和真实时间序列数据集上的实验表明,该表示在不规则、异步和稀疏观测下具有高精度、高效率和强鲁棒性。

原文摘要 · Abstract (English)

Continuous-time models are a natural choice for irregular and asynchronous data. A central design choice is how to embed discrete observations into continuous time. Interpolation- and imputation-based embeddings reconstruct a continuous observation path, making the model sensitive to the choice of reconstruction. We show that this reconstruction step is unnecessary; under mild conditions, compact-set universality on the model input space transfers to the data space whenever the embedding from data to input is continuous and injective. Guided by this result, and building on the rectilinear control path for Neural Controlled Differential Equations (NCDEs), we introduce a continuous and injective embedding for Log-NCDEs, a universal class of continuous-time models. Our approach records observations as increments and composes them over arbitrary query intervals to directly form log-signatures. This provides interval-level summaries without first interpolating the observed variables, while supporting online computation. Experiments on synthetic controlled dynamics and real-world time-series datasets show that the representation is accurate, efficient, and robust to irregular, asynchronous, and sparse observations.

时间序列连续模型对数签名在线学习

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