Recurrent Neural Networks for Multivariate Time Series with Missing Values

6 Jun 2016  ·  Zhengping Che, Sanjay Purushotham, Kyunghyun Cho, David Sontag, Yan Liu ·

Multivariate time series data in practical applications, such as health care, geoscience, and biology, are characterized by a variety of missing values. In time series prediction and other related tasks, it has been noted that missing values and their missing patterns are often correlated with the target labels, a.k.a., informative missingness. There is very limited work on exploiting the missing patterns for effective imputation and improving prediction performance. In this paper, we develop novel deep learning models, namely GRU-D, as one of the early attempts. GRU-D is based on Gated Recurrent Unit (GRU), a state-of-the-art recurrent neural network. It takes two representations of missing patterns, i.e., masking and time interval, and effectively incorporates them into a deep model architecture so that it not only captures the long-term temporal dependencies in time series, but also utilizes the missing patterns to achieve better prediction results. Experiments of time series classification tasks on real-world clinical datasets (MIMIC-III, PhysioNet) and synthetic datasets demonstrate that our models achieve state-of-the-art performance and provides useful insights for better understanding and utilization of missing values in time series analysis.

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Task Dataset Model Metric Name Metric Value Global Rank Result Benchmark
Multivariate Time Series Forecasting MuJoCo RNN GRU-D MSE (10^-2, 50% missing) 5.833 # 4
Multivariate Time Series Imputation MuJoCo RNN GRU-D MSE (10^2, 50% missing) 0.748 # 4
Time Series Classification PhysioNet Challenge 2012 GRU-D AUC 84.24% # 8
AUC Stdev 0.012% # 12


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