A Nonparametric Spatio-temporal SDE Model

Oct 19, 2018 Blind Submission readers: everyone
  • Abstract: We propose a nonparametric spatio-temporal stochastic differential equation (SDE) model that can learn the underlying dynamics of arbitrary continuous-time systems without prior knowledge. We augment the input space of the drift function of an SDE with a temporal component to account for spatio-temporal patterns. The experiments on a real world data set demonstrate that the spatio-temporal model is better able to fit the data than the spatial model and also reduce the forecasting error.
  • Keywords: stochastic differential equation, gaussian processes, spatiotemporal drift
  • TL;DR: We propose a nonparametric spatio-temporal stochastic differential equation (SDE) model by augmenting the input space of the drift function of an SDE with a temporal component
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