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Imputing Missing Events in Continuous-Time Event Streams
Hongyuan Mei · Guanghui Qin · Jason Eisner

Tue Jun 11 06:30 PM -- 09:00 PM (PDT) @ Pacific Ballroom #257

Events in the world may be caused by other, unobserved events. We consider sequences of events in continuous time. Given a probability model of complete sequences, we propose particle smoothing---a form of sequential importance sampling---to impute the missing events in an incomplete sequence. We develop a trainable family of proposal distributions based on a type of bidirectional continuous-time LSTM: Bidirectionality lets the proposals condition on future observations, not just on the past as in particle filtering. Our method can sample an ensemble of possible complete sequences (particles), from which we form a single consensus prediction that has low Bayes risk under our chosen loss metric. We experiment in multiple synthetic and real domains, using different missingness mechanisms, and modeling the complete sequences in each domain with a neural Hawkes process (Mei & Eisner 2017). On held-out incomplete sequences, our method is effective at inferring the ground-truth unobserved events, with particle smoothing consistently improving upon particle filtering.

Author Information

Hongyuan Mei (Johns Hopkins University)
Guanghui Qin (Peking University)
Jason Eisner (Johns Hopkins University + Microsoft Semantic Machines)
Jason Eisner


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