Attentive Neural Controlled Differential Equations for Time-series Classification and Forecasting

Neural networks inspired by differential equations have proliferated for the past several years, of which neural ordinary differential equations (NODEs) and neural controlled differential equations (NCDEs) are two representative examples. In theory, NCDEs exhibit better representation learning capability for time-series data than NODEs. In particular, it is known that NCDEs are suitable for processing irregular time-series data. Whereas NODEs have been successfully extended to adopt attention, methods to integrate attention into NCDEs have not yet been studied. To this end, we present {{A}}ttentive {{N}}eural {{C}}ontrolled {{D}}ifferential {{E}}quations (ANCDEs) for time-series classification and forecasting, where dual NCDEs are used: one for generating attention values, and the other for evolving hidden vectors for a downstream machine learning task. We conduct experiments on three real-world time-series datasets and ten baselines. After dropping some values, we also conduct experiments on irregular time-series. Our method consistently shows the best accuracy in all cases by non-trivial margins. Our visualizations also show that the presented attention mechanism works as intended by focusing on crucial information.