Papers › Beyond expectation: Deep joint mean and quantile regression for spatio-temporal problems

Beyond expectation: Deep joint mean and quantile regression for spatio-temporal problems

27 Aug 2018arXiv:1808.08798archive 2025-07-28

Filipe Rodrigues, Francisco C. Pereira

Spatio-temporal problems are ubiquitous and of vital importance in many research fields. Despite the potential already demonstrated by deep learning methods in modeling spatio-temporal data, typical approaches tend to focus solely on conditional expectations of the output variables being modeled. In this paper, we propose a multi-output multi-quantile deep learning approach for jointly modeling several conditional quantiles together with the conditional expectation as a way to provide a more complete "picture" of the predictive density in spatio-temporal problems. Using two large-scale datasets from the transportation domain, we empirically demonstrate that, by approaching the quantile regression problem from a multi-task learning perspective, it is possible to solve the embarrassing quantile crossings problem, while simultaneously significantly outperforming state-of-the-art quantile regression methods. Moreover, we show that jointly modeling the mean and several conditional quantiles not only provides a rich description about the predictive density that can capture heteroscedastic properties at a neglectable computational overhead, but also leads to improved predictions of the conditional expectation due to the extra information and a regularization effect induced by the added quantiles.

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fmpr/DeepJMQR mentioned on GitHubtfGPL-3.0 report

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