Closed-form Continuous-Depth Models

Abstract: Continuous-depth neural models, where the derivative of the model's hidden state is defined by a neural network, have enabled strong sequential data processing capabilities. However, these models rely on advanced numerical differential equation (DE) solvers resulting in a significant overhead both in terms of computational cost and model complexity. In this paper, we present a new family of models, termed Closed-form Continuous-depth (CfC) networks, that are simple to describe and at least one order of magnitude faster while exhibiting equally strong modeling abilities compared to their ODE-based counterparts. The models are hereby derived from the analytical closed-form solution of an expressive subset of time-continuous models, thus alleviating the need for complex DE solvers all together. In our experimental evaluations, we demonstrate that CfC networks outperform advanced, recurrent models over a diverse set of time-series prediction tasks, including those with long-term dependencies and irregularly sampled data. We believe our findings open new opportunities to train and deploy rich, continuous neural models in resource-constrained settings, which demand both performance and efficiency.