Multiplicative Forests for Continuous-Time Processes

Part of Advances in Neural Information Processing Systems 25 (NIPS 2012)

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Jeremy Weiss, Sriraam Natarajan, David Page


Learning temporal dependencies between variables over continuous time is an important and challenging task. Continuous-time Bayesian networks effectively model such processes but are limited by the number of conditional intensity matrices, which grows exponentially in the number of parents per variable. We develop a partition-based representation using regression trees and forests whose parameter spaces grow linearly in the number of node splits. Using a multiplicative assumption we show how to update the forest likelihood in closed form, producing efficient model updates. Our results show multiplicative forests can be learned from few temporal trajectories with large gains in performance and scalability.