Fast Learning of Multidimensional Hawkes Processes via Frank-Wolfe

12/12/2022

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by   Renbo Zhao, et al.

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MIT

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JPMorgan Chase & Co.

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Hawkes processes have recently risen to the forefront of tools when it comes to modeling and generating sequential events data. Multidimensional Hawkes processes model both the self and cross-excitation between different types of events and have been applied successfully in various domain such as finance, epidemiology and personalized recommendations, among others. In this work we present an adaptation of the Frank-Wolfe algorithm for learning multidimensional Hawkes processes. Experimental results show that our approach has better or on par accuracy in terms of parameter estimation than other first order methods, while enjoying a significantly faster runtime.