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Selectively outputting relevant information from the current state allows the LSTM network to maintain useful, long-term dependencies to make predictions, both in current and future time-steps. LSTM has wide applications in classification, [5] [6] data processing, time series analysis tasks, [7] speech recognition, [8] [9] machine translation ...
Time Aware LSTM (T-LSTM) is a long short-term memory (LSTM) unit capable of handling irregular time intervals in longitudinal patient records. T-LSTM was developed by researchers from Michigan State University , IBM Research , and Cornell University and was first presented in the Knowledge Discovery and Data Mining (KDD) conference. [ 1 ]
That is, LSTM can learn tasks that require memories of events that happened thousands or even millions of discrete time steps earlier. Problem-specific LSTM-like topologies can be evolved. [ 56 ] LSTM works even given long delays between significant events and can handle signals that mix low and high-frequency components.
TD-Lambda is a learning algorithm invented by Richard S. Sutton based on earlier work on temporal difference learning by Arthur Samuel. [11] This algorithm was famously applied by Gerald Tesauro to create TD-Gammon, a program that learned to play the game of backgammon at the level of expert human players.
The general structure of RNN and BRNN can be depicted in the right diagram. By using two time directions, input information from the past and future of the current time frame can be used unlike standard RNN which requires the delays for including future information. [1]
Forecasting on time series is usually done using automated statistical software packages and programming languages, such as Julia, Python, R, SAS, SPSS and many others. Forecasting on large scale data can be done with Apache Spark using the Spark-TS library, a third-party package.
Figure 1. Probabilistic parameters of a hidden Markov model (example) X — states y — possible observations a — state transition probabilities b — output probabilities. In its discrete form, a hidden Markov process can be visualized as a generalization of the urn problem with replacement (where each item from the urn is returned to the original urn before the next step). [7]
The use of Just-in-Time compilation has emerged recently as a possible solution to overcome some of the bottlenecks of interpreted languages. The C++ heyoka and python package heyoka.py make large use of this technique to offer advanced differentiable programming capabilities (also at high orders).