Time-series Generation by Contrastive Imitation
Daniel Jarrett Ioana Bica Mihaela van der Schaar
Consider learning a generative model for time-series data. The sequential
setting poses a unique challenge: Not only should the generator capture the
conditional dynamics of (stepwise) transitions, but its open-loop rollouts
should also preserve the joint distribution of (multi-step) trajectories. On
one hand, autoregressive models trained by MLE allow learning and computing
explicit transition distributions, but suffer from compounding error during
rollouts. On the other hand, adversarial models based on GAN training alleviate
such exposure bias, but transitions are implicit and hard to assess. In this
work, we study a generative framework that seeks to combine the strengths of
both: Motivated by a moment-matching objective to mitigate compounding error,
we optimize a local (but forward-looking) transition policy, where the
reinforcement signal is provided by a global (but stepwise-decomposable) energy
model trained by contrastive estimation. At training, the two components are
learned cooperatively, avoiding the instabilities typical of adversarial
objectives. At inference, the learned policy serves as the generator for
iterative sampling, and the learned energy serves as a trajectory-level measure
for evaluating sample quality. By expressly training a policy to imitate
sequential behavior of time-series features in a dataset, this approach
embodies "generation by imitation". Theoretically, we illustrate the
correctness of this formulation and the consistency of the algorithm.
Empirically, we evaluate its ability to generate predictively useful samples
from real-world datasets, verifying that it performs at the standard of
existing benchmarks.