The code for the paper "Dynamic Gaussian Mixture based Deep Generative Model ForRobust Forecasting on Sparse Multivariate Time Series" accepted by AAAI 2021

Prerequisites:

install conda, pytorch, matplotlib, pandas, scikit-learn tensorboardX, torchdiffeq (see the instructions in https://github.com/rtqichen/torchdiffeq)

Datasets:

The datasets we used are included in the folder 'dataset_dir'

Instructions on how to run the demo code on USHCN dataset

1. Normalize and partition the dataset for forecasting with the following commands in the terminal:

Generate processed dataset for forecasting:

cd data/
python3 generate_time_series.py --dataset USHCN

2. Run the program train.py in the main directory:

The arguments for running this program are:

--dataset: the name of the dataset (KDDCUP or USHCN or MIMIC3)

--model: the model name (DGM2_L or DGM2_O, DGM2_L uses LSTM for transition while DGM2_O uses ODE for transition)

-b: mini-batch size

--epochs: epoch count for training

--GPU: flag of using GPU or not

--GPUID: ID of the GPU for running train.py

--max_kl: the maximal coefficient for the KL divergence term in the loss function. We use annealing technique to tune the coefficient during the training process.

--use_gate: flag of using the gate function or not

--gaussian: the parameter gamma to balance the dynamic component and the basis mixture component in the dynamic gaussian mixture distribution, which will take effect when --use_gate is not used, e.g. "--gaussian 0.001"

--wait_epoch: number of epochs for the warm-up phase with annealing technique during which the coefficient for the KL divergence term in the loss function is zero. The default value is 0

--cluster_num: number of clusters for DGM2_L and DGM2_O. The default value is 20.

with GPU (suppose the GPU ID is 0):

use DGM2_L:

python3 train.py --dataset USHCN --model DGM2_L -b 100 --epochs 50 --GPU --GPUID 0 --max_kl 5 --use_gate --wait_epoch 0

or

use DGM2_O:

python3 train.py --dataset USHCN --model DGM2_O -b 100 --epochs 50 --GPU --GPUID 0 --max_kl 5 --use_gate --wait_epoch 0

without GPU:

use DGM2_L:

python3 train.py --dataset USHCN --model DGM2_L -b 100 --epochs 50 --max_kl 5 --use_gate --wait_epoch 0

or

use DHM2_O:

python3 train.py --dataset USHCN --model DGM2_O -b 100 --epochs 50 --max_kl 5 --use_gate --wait_epoch 0

Similarly, the demo code can run on other datasets

Generate processed KDDCUP dataset for forecasting:

cd data/
python3 generate_time_series.py --dataset KDDCUP

Run demo code:

python3 train.py --dataset KDDCUP --model DGM2_O -b 200 --epochs 200 --GPU --GPUID 0 --max_kl 3 --use_gate

Generate processed MIMIC3 dataset for forecasting: (Since the size of the MIMIC3 dataset is larger than the uploading limitation, we compressed this dataset)

cd dataset_dir/
unzip mimic3.zip
cd data/
python3 generate_time_series.py --dataset MIMIC3

Run demo code:

python3 train.py --dataset MIMIC3 --model DGM2_O -b 3000 --epochs 200 --GPU --GPUID 0 --max_kl 6 --use_gate --wait_epoch 60