Real-world data can be multimodal distributed, e.g., data describing the
opinion divergence in a community, the interspike interval distribution of
neurons, and the oscillators natural frequencies. Generating multimodal
distributed real-world data has become a challenge to existing generative
adversarial networks (GANs). For example, neural stochastic differ
提出一种基于神经随机微分方程的时间序列变点检测算法,该算法使用生成对抗网络框架下的神经随机微分方程模型,通过 GAN 鉴别器的输出在前向传递中检测变点,并通过交替更新来学习未知的变点和不同变点对应的神经随机微分方程模型的参数。结果表明,该方法在合成和实际数据集上的性能比经典变点检测基准、标准 GAN-based 神经随机微分方程模型和其他深度生成模型更好。