Deep Fourier Kernel for Self-Attentive Point Processes

Shixiang Zhu; Minghe Zhang; Ruyi Ding; Yao Xie

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arXiv · 2002.07281

Deep Fourier Kernel for Self-Attentive Point Processes

Shixiang Zhu·Minghe Zhang·Ruyi Ding·Yao Xie

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Abstract

We present a novel attention-based model for discrete event data to capture complex non-linear temporal dependence structures. We borrow the idea from the attention mechanism and incorporate it into the point processes' conditional intensity function. We further introduce a novel score function using Fourier kernel embedding, whose spectrum is represented using neural networks, which drastically differs from the traditional dot-product kernel and can capture a more complex similarity structure. We establish our approach's theoretical properties and demonstrate our approach's competitive performance compared to the state-of-the-art for synthetic and real data.

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Shixiang Zhu, Minghe Zhang, Ruyi Ding, Yao Xie. 2020-02-17. Deep Fourier Kernel for Self-Attentive Point Processes. https://arxiv.org/abs/2002.07281

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