Log Neural Controlled Differential Equations: The Lie Brackets Make a Difference

Abstract: The vector field of a controlled differential equation (CDE) describes the relationship between a control path and the evolution of a solution path. Neural CDEs (NCDEs) treat time series data as observations from a control path, parameterise a CDE's vector field using a neural network, and use the solution path as a continuously evolving hidden state. As their formulation makes them robust to irregular sampling rates, NCDEs are a powerful approach for modelling real-world data. Building on neural rough differential equations (NRDEs), we introduce Log-NCDEs, a novel and effective method for training NCDEs. The core component of Log-NCDEs is the Log-ODE method, a tool from the study of rough paths for approximating a CDE's solution. On a range of multivariate time series classification benchmarks, Log-NCDEs are shown to achieve a higher average test set accuracy than NCDEs, NRDEs, and two state-of-the-art models, S5 and the linear recurrent unit.