Large quantities of asynchronous event sequence data such as crime records, emergence call logs, and financial transactions are becoming increasingly available from various fields. These event sequences often exhibit both long-term and short-term temporal dependencies. Variations of neural network based temporal point processes have been widely used for modeling such asynchronous event sequences. However, many current architectures including attention based point processes struggle with long event sequences due to computational inefficiency. To tackle the challenge, we propose an efficient sparse transformer Hawkes process (STHP), which has two components. For the first component, a transformer with a novel temporal sparse self-attention mechanism is applied to event sequences with arbitrary intervals, mainly focusing on short-term dependencies. For the second component, a transformer is applied to the time series of aggregated event counts, primarily targeting the extraction of long-term periodic dependencies. Both components complement each other and are fused together to model the conditional intensity function of a point process for future event forecasting. Experiments on real-world datasets show that the proposed STHP outperforms baselines and achieves significant improvement in computational efficiency without sacrificing prediction performance for long sequences.
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Learning network event sequences using long short‐term memory and second‐order statistic loss
Modeling temporal event sequences on the vertices of a network is an important problem with widespread applications; examples include modeling influences in social networks, preventing crimes by modeling their space–time occurrences, and forecasting earthquakes. Existing solutions for this problem use a parametric approach, whose applicability is limited to event sequences following some well‐known distributions, which is not true for many real life event datasets. To overcome this limitation, in this work, we propose a composite recurrent neural network model for learning events occurring in the vertices of a network over time. Our proposed model combines two long short‐term memory units to capture base intensity and conditional intensity of an event sequence. We also introduce a second‐order statistic loss that penalizes higher divergence between the generated and the target sequence's distribution of hop count distance of consecutive events. Given a sequence of vertices of a network in which an event has occurred, the proposed model predicts the vertex where the next event would most likely occur. Experimental results on synthetic and real‐world datasets validate the superiority of our proposed model in comparison to various baseline methods.
more » « less- NSF-PAR ID:
- 10382535
- Publisher / Repository:
- Wiley Blackwell (John Wiley & Sons)
- Date Published:
- Journal Name:
- Statistical Analysis and Data Mining: The ASA Data Science Journal
- Volume:
- 14
- Issue:
- 1
- ISSN:
- 1932-1864
- Format(s):
- Medium: X Size: p. 61-73
- Size(s):
- p. 61-73
- Sponsoring Org:
- National Science Foundation
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