Pytorch implementation of the paper "Intensity-Free Learning of Temporal Point Processes", Oleksandr Shchur, Marin Biloš and Stephan Günnemann, ICLR 2020.

The master branch contains a refactored version of the code. Some of the original functionality is missing, but the code is much cleaner and should be easier to extend.

You can find the original code (used for experiments in the paper) on branch original-code.

In order to run the code, you need to install the dpp library that contains all the algorithms described in the paper

cd code
python setup.py install

A Jupyter notebook code/interactive.ipynb contains the code for training models on the datasets used in the paper. The same code can also be run as a Python script code/train.py.

You can save your custom dataset in the format used in our code as follows:

dataset = {
    "sequences": [
        {"arrival_times": [0.2, 4.5, 9.1], "marks": [1, 0, 4], "t_start": 0.0, "t_end": 10.0},
        {"arrival_times": [2.3, 3.3, 5.5, 8.15], "marks": [4, 3, 2, 2], "t_start": 0.0, "t_end": 10.0},
    ],
    "num_marks": 5,
}
torch.save(dataset, "data/my_dataset.pkl")

RecurrentTPP is the base class for marked TPP models.

You just need to inherit from it and implement the get_inter_time_dist method that defines how to obtain the distribution (an instance of torch.distributions.Distribution) over the inter-event times given the context vector. For example, have a look at the LogNormMix model from our paper. You can also change the get_features and get_context methods of RecurrentTPP to, for example, use a transformer instead of an RNN.

• In the old code we used to normalize the NLL of each sequence by the number of events --- this was incorrect. When computing NLL for multiple TPP sequences, we are only allowed to divide the NLL by the same number for each sequence.
• In the old code we didn't include the survival time of the last event (i.e. time from the last event until the end of the obseved interval) into the NLL computation. This is fixed in the refactored version (and by the way, this seems to be a common mistake in other TPP implementations online).

numpy=1.16.4
pytorch=1.2.0
scikit-learn=0.21.2
scipy=1.3.1

Please cite our paper if you use the code or datasets in your own work

@article{
    shchur2020intensity,
    title={Intensity-Free Learning of Temporal Point Processes},
    author={Oleksandr Shchur and Marin Bilo\v{s} and Stephan G\"{u}nnemann},
    journal={International Conference on Learning Representations (ICLR)},
    year={2020},
}