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 language | English |
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Title of host publication | Proceedings of the ICASSP 2023 - 2023 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) |
Place of Publication | Piscataway |
Publisher | IEEE |
Number of pages | 5 |
ISBN (Electronic) | 978-1-7281-6327-7 |
ISBN (Print) | 978-1-7281-6328-4 |
DOIs | |
Publication status | Published - 2023 |
Event | 48th IEEE International Conference on Acoustics, Speech and Signal Processing 2023 - Rhodes Island, Greece Duration: 4 Jun 2023 → 10 Jun 2023 |
Publication series
Name | ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings |
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Volume | 2023-June |
ISSN (Print) | 1520-6149 |
Conference
Conference | 48th IEEE International Conference on Acoustics, Speech and Signal Processing 2023 |
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Abbreviated title | ICASSP 2023 |
Country/Territory | Greece |
City | Rhodes Island |
Period | 4/06/23 → 10/06/23 |
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-careOtherwise 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