Controlled Differential Equations on Long Sequences via Non-standard Wavelets.

Abstract

Neural Controlled Differential equations (NCDE) are a powerful mechanism to model the dynamics in temporal sequences, e.g., applications involving physiological measures, where apart from the initial condition, the dynamics also depend on subsequent measures or even a different "control" sequence. But NCDEs do not scale well to longer sequences. Existing strategies adapt rough path theory, and instead model the dynamics over summaries known as log signatures. While rigorous and elegant, invertibility of these summaries is difficult, and limits the scope of problems where these ideas can offer strong benefits (reconstruction, generative modeling). For tasks where it is sensible to assume that the (long) sequences in the training data are a fixed length of temporal measurements - this assumption holds in most experiments tackled in the literature - we describe an efficient simplification. First, we recast the regression/classification task as an integral transform. We then show how restricting the class of operators (permissible in the integral transform), allows the use of a known algorithm that leverages non-standard Wavelets to decompose the operator. Thereby, our task (learning the operator) radically simplifies. A neural variant of this idea yields consistent improvements across a wide gamut of use cases tackled in existing works. We also describe a novel application on modeling tasks involving coupled differential equations.