Scalable Joint Models for Reliable Uncertainty-Aware Event Prediction

Hossein Soleimani, James Hensman, Suchi Saria

Research output: Contribution to journalArticle

Abstract

Missing data and noisy observations pose significant challenges for reliably predicting events from irregularly sampled multivariate time series (longitudinal) data. Imputation methods, which are typically used for completing the data prior to event prediction, lack a principled mechanism to account for the uncertainty due to missingness. Alternatively, state-of-the-art joint modeling techniques can be used for jointly modeling the longitudinal and event data and compute event probabilities conditioned on the longitudinal observations. These approaches, however, make strong parametric assumptions and do not easily scale to multivariate signals with many observations. Our proposed approach consists of several key innovations. First, we develop a flexible and scalable joint model based upon sparse multiple-output Gaussian processes. Unlike state-of-the-art joint models, the proposed model can explain highly challenging structure including non-Gaussian noise while scaling to large data. Second, we derive an optimal policy for predicting events using the distribution of the event occurrence estimated by the joint model. The derived policy trades-off the cost of a delayed detection versus incorrect assessments and abstains from making decisions when the estimated event probability does not satisfy the derived confidence criteria. Experiments on a large dataset show that the proposed framework significantly outperforms state-of-the-art techniques in event prediction.

Original languageEnglish (US)
Pages (from-to)1948-1963
Number of pages16
JournalIEEE Transactions on Pattern Analysis and Machine Intelligence
Volume40
Issue number8
DOIs
StatePublished - Aug 1 2018

Keywords

  • Uncertainty-aware prediction
  • joint modeling
  • missing data
  • scalable Gaussian processes
  • survival analysis
  • time series

ASJC Scopus subject areas

  • Software
  • Computer Vision and Pattern Recognition
  • Computational Theory and Mathematics
  • Artificial Intelligence
  • Applied Mathematics

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