A Variational Autoencoder for Neural Temporal Point Processes with Dynamic Latent Graphs

Continuously-observed event occurrences, often exhibit selfand mutually-exciting effects, which can be well modeled using temporal point processes. Beyond that, these event dynamics may also change over time, with certain periodic trends. We propose a novel variational auto-encoder to capture such a mixture of temporal dynamics. More specifically, the whole time interval of the input sequence is partitioned into a set of sub-intervals. The event dynamics are assumed to be stationary within each sub-interval, but could be changing across those sub-intervals. In particular, we use a sequential latent variable model to learn a dependency graph between the observed dimensions, for each sub-interval. The model predicts the future event times, by using the learned dependency graph to remove the non-contributing influences of past events. By doing so, the proposed model demonstrates its higher accuracy in predicting inter-event times and event types for several real-world event sequences, compared with existing state of the art neural point processes.