Multi-Task Multi-Dimensional Hawkes Processes for Modeling Event Sequences

Luo, Dixin; Xu, Hongteng; Zhen, Yi; Ning, Xia; Zha, Hongyuan; Yang, Xiaokang; Zhang, Wenjun

Multi-Task Multi-Dimensional Hawkes Processes for Modeling Event Sequences

Dixin Luo, Hongteng Xu, Yi Zhen, Xia Ning, Hongyuan Zha, Xiaokang Yang, Wenjun Zhang

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Proceedings of the Twenty-Fourth International Joint Conference on Artificial Intelligence. Special Track on Machine Learning. Pages 3685-3690.

Abstract

We propose a Multi-task Multi-dimensional Hawkes Process (MMHP) for modeling event sequences where there exist multiple triggering patterns within sequences and structures across sequences.MMHP is able to model the dynamics of multiple sequences jointly by imposing structural constraints and thus systematically uncover clustering structure among sequences.We propose an effective and robust optimization algorithm to learn MMHP models, which takes advantage of alternating direction method of multipliers (ADMM), majorization minimization and Euler-Lagrange equations.Our experimental results demonstrate that MMHP performs well on both synthetic and real data.

Dixin Luo, Hongteng Xu, Yi Zhen, Xia Ning, Hongyuan Zha, Xiaokang Yang, and Wenjun Zhang. 2015. Multi-Task Multi-Dimensional Hawkes Processes for Modeling Event Sequences. In Proceedings of the Twenty-Fourth International Joint Conference on Artificial Intelligence, IJCAI-15. IJCAI, 3685–3690. https://ijcai.org/proceedings/2015/518

@inproceedings{ijcai2015p518,
  title     = {Multi-Task Multi-Dimensional Hawkes Processes for Modeling Event Sequences},
  author    = {Luo, Dixin and Xu, Hongteng and Zhen, Yi and Ning, Xia and Zha, Hongyuan and Yang, Xiaokang and Zhang, Wenjun},
  booktitle = {Proceedings of the Twenty-Fourth International Joint Conference on
               Artificial Intelligence, {IJCAI-15}},
  publisher = {International Joint Conferences on Artificial Intelligence},
  editor    = {Qiang Yang and Michael Wooldridge},
  pages     = {3685--3690},
  year      = {2015},
  month     = {7},
  note      = {Special Track on Machine Learning},
  url       = {https://ijcai.org/proceedings/2015/518},
}

TY  - CPAPER
TI  - Multi-Task Multi-Dimensional Hawkes Processes for Modeling Event Sequences
AU  - Luo, Dixin
AU  - Xu, Hongteng
AU  - Zhen, Yi
AU  - Ning, Xia
AU  - Zha, Hongyuan
AU  - Yang, Xiaokang
AU  - Zhang, Wenjun
T2  - Proceedings of the Twenty-Fourth International Joint Conference on Artificial Intelligence, IJCAI-15
PB  - International Joint Conferences on Artificial Intelligence
PY  - 2015
SP  - 3685
EP  - 3690
UR  - https://ijcai.org/proceedings/2015/518
ER  -