Adaptive modeling of data streams
First Claim
1. A computer-implemented method comprising:
- receiving, by a receiving module of a computer processor, a plurality of data points forming part of a data stream;
providing a predictive model to be fitted to the data stream, wherein the predictive model is a diffusion model having a plurality of diffusion parameters;
updating, by an updating module of the computer processor, a parameter estimate for each of the diffusion parameters by;
obtaining a sample of at least one transition from the data stream, wherein each transition is defined by at least two data points; and
calculating an updated parameter estimate for the diffusion parameter using a stochastic gradient descent algorithm on the sample, wherein a partial derivative associated with the diffusion parameter at each transition is calculated while holding values associated with the other diffusion parameters at smoothed or weighted average estimates, andrepeating, by the updating module, the updating periodically, or in response to one or more further data points being added to the data stream, of the parameter estimate for each one of the diffusion parameters, thereby to permit adaptive estimation of the diffusion parameters of the diffusion model based on dynamics of the data stream.
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Abstract
A computer-implemented method for adaptive modeling of a data stream is provided. The method may comprise receiving a plurality of data points forming part of a data stream and providing a predictive model to be fitted to the data stream. The predictive model may be a diffusion model having a plurality of diffusion parameters. A parameter estimate for each one of the diffusion parameters may be updated by obtaining a sample of at least one transition from the data stream and calculating an updated parameter estimate for the diffusion parameter by using a stochastic gradient descent algorithm on the sample. The updating of the parameter estimate may be repeated periodically or in response to one or more further data points being added to the data stream, thereby to permit adaptive estimation of the diffusion parameters of the diffusion model based on dynamics of the data stream.
6 Citations
20 Claims
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1. A computer-implemented method comprising:
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receiving, by a receiving module of a computer processor, a plurality of data points forming part of a data stream; providing a predictive model to be fitted to the data stream, wherein the predictive model is a diffusion model having a plurality of diffusion parameters; updating, by an updating module of the computer processor, a parameter estimate for each of the diffusion parameters by; obtaining a sample of at least one transition from the data stream, wherein each transition is defined by at least two data points; and calculating an updated parameter estimate for the diffusion parameter using a stochastic gradient descent algorithm on the sample, wherein a partial derivative associated with the diffusion parameter at each transition is calculated while holding values associated with the other diffusion parameters at smoothed or weighted average estimates, and repeating, by the updating module, the updating periodically, or in response to one or more further data points being added to the data stream, of the parameter estimate for each one of the diffusion parameters, thereby to permit adaptive estimation of the diffusion parameters of the diffusion model based on dynamics of the data stream. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10)
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11. A computer system comprising:
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a computer processor; and a computer readable storage medium having stored thereon program instructions executable by the computer processor to direct the operation of the processor in fitting a predictive model to a data stream, wherein the predictive model is a diffusion model having a plurality of diffusion parameters, and wherein the computer processor, when executing the program instructions, comprises; a receiving module configured to receive a plurality of data points forming part of the data stream; and an updating module configured to update a parameter estimate for each of the diffusion parameters by obtaining a sample of at least one transition from the data stream, wherein each transition is defined by at least two data points; and calculating an updated parameter estimate for the diffusion parameter by using a stochastic gradient descent algorithm on the sample, wherein a partial derivative associated with the diffusion parameter is calculated while holding values associated with the other diffusion parameters at smoothed or weighted average estimates, wherein the updating module is configured to repeat the updating of the parameter estimate for each one of the diffusion parameters periodically or in response to one or more further data points being added to the data stream, thereby to permit adaptive estimation of the diffusion parameters of the diffusion model based on dynamics of the data stream. - View Dependent Claims (12, 13, 14, 15, 16, 17, 18, 19)
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20. A computer program product for adaptive modeling of a data stream, the computer program product comprising:
a computer readable storage medium having stored thereon; first program instructions executable by a computer processor to cause the computer processor to receive a plurality of data points forming part of a data stream, wherein a predictive model is to be fitted to the data stream, and wherein the predictive model is a diffusion model having a plurality of diffusion parameters; and second program instructions executable by the computer processor to cause the computer processor to update a parameter estimate for each one of the diffusion parameters by obtaining a sample of at least one transition from the data stream, wherein each transition is defined by at least two data points; and calculating an updated parameter estimate for the diffusion parameter by using a stochastic gradient descent algorithm on the sample, wherein a partial derivative associated with the diffusion parameter is calculated while holding values associated with the other diffusion parameters at smoothed or weighted average estimates, wherein the second program instructions are executable by the computer processor to cause the computer processor to repeat the updating of the parameter estimate for each one of the diffusion parameters periodically or in response to one or more further data points being added to the data stream, thereby to permit adaptive estimation of the diffusion parameters of the diffusion model based on dynamics of the data stream.
Specification