ScoreGrad is a EBM make use of iterative conditional SDE sampling via diffusion to perform multi-variate probabilistic time series prediction. Basically it uses RNN/LSTM/GRU to encode past time series as a condition and sample a probability distribution of predicting time series based on this.
- Paper link: https://arxiv.org/abs/2106.10121
- Code release: https://github.com/yantijin/ScoreGradPred
Architecture
Conditioner
As a conditional generation task, it use an RNN/LSTM and extracts last hidden state as feature. For a time