Simplicial Vector Autoregressive Model For Streaming Edge Flows

Joshin Krishnan, Rohan Money, Baltasar Beferull-Lozano, Elvin Isufi

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

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Abstract

Vector autoregressive (VAR) model is widely used to model time-varying processes, but it suffers from prohibitive growth of the parameters when the number of time series exceeds a few hundreds. We propose a simplicial VAR model to mitigate the curse of dimensionality of the VAR models when the time series are defined over higher-order network structures such as edges, triangles, etc. The proposed model shares parameters across the simplicial signals by leveraging the simplicial convolutional filter and captures structure-aware spatio-temporal dependencies of the time-varying processes. Targetting the streaming signals from the real-world nonstationary networks, we develop a group-lasso-based online strategy to learn the proposed model. Using traffic and water distribution networks, we demonstrate that the proposed model achieves competitive signal prediction accuracy with a significantly less number of parameters than the VAR models.
Original languageEnglish
Title of host publicationProceedings of the ICASSP 2023 - 2023 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)
Place of PublicationPiscataway
PublisherIEEE
Number of pages5
ISBN (Electronic)978-1-7281-6327-7
ISBN (Print)978-1-7281-6328-4
DOIs
Publication statusPublished - 2023
Event48th IEEE International Conference on Acoustics, Speech and Signal Processing 2023 - Rhodes Island, Greece
Duration: 4 Jun 202310 Jun 2023

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume2023-June
ISSN (Print)1520-6149

Conference

Conference48th IEEE International Conference on Acoustics, Speech and Signal Processing 2023
Abbreviated titleICASSP 2023
Country/TerritoryGreece
CityRhodes Island
Period4/06/2310/06/23

Bibliographical note

Green Open Access added to TU Delft Institutional Repository 'You share, we take care!' - Taverne project https://www.openaccess.nl/en/you-share-we-take-care
Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.

Keywords

  • Simplicial convolution
  • simplicial vector autoregressive model
  • Hodge Laplacians

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