Multi-directional Recurrent Neural Networks: A Novel Method for Estimating Missing Data

Most time-series datasets with multiple data streams have (many) missing measurements that need to be estimated. Most existing methods address this estimation problem either by interpolating within data streams or imputing across data streams; we develop a novel approach that does both. Our approach is based on a deep learning architecture that we call a Multidirectional Recurrent Neural Network (M-RNN). An M-RNN differs from a bi-directional RNN in that it operates across streams in addition to within streams, and because the timing of inputs into the hidden layers is both lagged and advanced. To demonstrate the power of our approach we apply it to a familiar real-world medical dataset and demonstrate significantly improved performance.