WISDOM: Weighted incremental spatio-temporal multi-task learning via tensor decomposition

Abstract

This paper presents a novel multi-task learning framework for the accurate prediction of spatio-temporal data at multiple locations. The framework encodes the data as a third-order tensor and performs supervised tensor decomposition to identify the latent factors that capture the inherent spatiotemporal variabilities of the data and their relationship to the target variable of interest. The framework is unique in that it trains both spatial and temporal prediction models from the latent factors of the decomposed tensor and aggregates their outputs to generate its final prediction. The latent factors and model parameters are simultaneously estimated by optimizing a joint objective function. We also develop an incremental learning algorithm called WISDOM to efficiently solve the optimization problem, in which the model is gradually updated with new data, either from a previously unobserved location or from its most recent time period. WISDOM can also incorporate known patterns from the application domain to guide the tensor decomposition. Finally, we showed that WISDOM outperforms several baseline algorithms in more than 75% of the locations when applied to a global-scale climate data.