Ricky T. Q. Chen, Brandon Amos, Maximilian Nickel

Abstract. We propose a new class of parameterizations for spatio-temporal point processes which leverage Neural ODEs as a computational method and enable flexible, high-fidelity models of discrete events that are localized in continuous time and space. Central to our approach is a combination of recurrent continuous-time neural networks with two novel neural architectures, i.e., Jump and Attentive Continuous-time Normalizing Flows. This approach allows us to learn complex distributions for both the spatial and temporal domain and to condition non-trivially on the observed event history. We validate our models on data sets from a wide variety of contexts such as seismology, epidemiology, urban mobility, and neuroscience.

TL;DR. We explore a natural extension of deep generative modeling to time-stamped heterogeneous data sets, enabling high-fidelity models for a large variety of spatio-temporal domains.

Caption. A Neural STPP modeling a process where each observation increases the probability of observing from the next cluster in a clock-wise order. Slowly reverts back to the marginal distribution after a period of no new observations.

Dependencies:

• PyTorch 1.6+ (https://pytorch.org/)
• torchdiffeq 0.1.0+ (pip install torchdiffeq)

Run at the root of this repo:

python setup.py build_ext --inplace

Code to automatically download and preprocess most data sets can also be found in the data folder. Simply run

python download_and_preprocess_<data>.py

where data is one of citibike|covid19|earthquakes.

The BOLD5000 dataset requires manually downloading files from their website. Specifically, the files satisfying {}_Unfilt_BOLD_CSI1_Sess-{}_Run-{} should be unzipped and placed in the data/bold5000/ folder.

# data should be one of earthquakes_jp|fmri|citibikes|covid_nj_cases|pinwheel.
data=earthquakes_jp

# train a self-exciting baseline.
python train_stpp.py --data $data --model gmm --tpp hawkes

# train a time-varying CNF.
python train_stpp.py --data $data --model tvcnf

# train a Jump CNF.
python train_stpp.py --data $data --model jumpcnf --tpp neural --solve_reverse

# train an Attentive CNF.
python train_stpp.py --data $data --model attncnf --tpp neural --l2_attn

See additional arguments using python train_stpp.py --help.

If you find this repository helpful in your publications, please consider citing our paper.

@inproceedings{chen2021neuralstpp,
title={Neural Spatio-Temporal Point Processes},
author={Ricky T. Q. Chen and Brandon Amos and Maximilian Nickel},
booktitle={International Conference on Learning Representations},
year={2021},
}

This repository is licensed under the CC BY-NC 4.0 License.