Open vincehass opened 1 year ago
Hello @vincehass, thanks for your interest! I will get back to you with more details next week.
Hello again,
@vincehass, here's an update about this. The code was significantly refactored since the submission to arrive to this "cleaner implementation" of TACTiS. The implementation for the unaligned time series and irregular sampling is only available in the previous version of the code, which is not compatible with the current one.
If you'd like to implement it, here's what would need to be changed:
TemporalEncoder
class (see here) is based on the Temporal Transformer architecture of Tashiro et al. (2021). In the code, you can see that it alternates between doing self-attention over the series and the time steps, which only works for aligned time series. If you'd like to make a version of TACTiS that supports unaligned series, you should replace this with a regular Transformer and pass it as argument to the TACTiS class's constructor. This will come at the cost of reduced scalability.Given these two modifications, you would obtain a version of TACTiS that works with unaligned and non-uniformely sampled time series. If you would like to implement this, we would be happy to guide you and receive your contribution via a pull request!
Let me know if you'd like additional details.
Alex
Hello in the previous @aldro61 talk given at MS Montreal office, we have discussed the irregular sampling code portion, is it possible for you to added to the repo, I found it very interesting. Thank you!