Royal Bank of Canada
SYSTEM AND METHOD FOR GENERATIVE MODEL FOR STOCHASTIC POINT PROCESSES

Abstract:

A variational auto-encoder model is trained to generate probabilities of action categories and probabilities of inter-arrival times of next action from a sequence of past actions by generating a concatenated representation of each action and associated time, encoding the concatenated representations, determining a conditional prior distribution for a next action, determining a conditional posterior distribution for the current action, sampling a latent variable from the conditional prior distribution, generating a probability distribution over a current action category, and generating a probability distribution over inter-arrival times for the current action category.