Lou, Hang;
Li, Siran;
Ni, Hao;
(2023)
PCF-GAN: generating sequential data via the
characteristic function of measures on the path space.
In: Oh, A and Naumann, T and Globerson, A and Saenko, K and Hardt, M and Levine, S, (eds.)
Advances in Neural Information Processing Systems 36 (NeurIPS 2023).
(pp. pp. 1-27).
NeurIPS: San Diego, CA, USA.
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Abstract
Generating high-fidelity time series data using generative adversarial networks (GANs) remains a challenging task, as it is difficult to capture the temporal dependence of joint probability distributions induced by time-series data. Towards this goal, a key step is the development of an effective discriminator to distinguish between time series distributions. We propose the so-called PCF-GAN, a novel GAN that incorporates the path characteristic function (PCF) as the principled representation of time series distribution into the discriminator to enhance its generative performance. On the one hand, we establish theoretical foundations of the PCF distance by proving its characteristicity, boundedness, differentiability with respect to generator parameters, and weak continuity, which ensure the stability and feasibility of training the PCF-GAN. On the other hand, we design efficient initialisation and optimisation schemes for PCFs to strengthen the discriminative power and accelerate training efficiency. To further boost the capabilities of complex time series generation, we integrate the auto-encoder structure via sequential embedding into the PCF-GAN, which provides additional reconstruction functionality. Extensive numerical experiments on various datasets demonstrate the consistently superior performance of PCF-GAN over state-of-the-art baselines, in both generation and reconstruction quality.
| Type: | Proceedings paper |
|---|---|
| Title: | PCF-GAN: generating sequential data via the characteristic function of measures on the path space |
| Event: | 37th Conference on Neural Information Processing Systems (NeurIPS 2023) |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | https://proceedings.neurips.cc/paper_files/paper/2... |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10192387 |
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