Neural Temporal Point Processes: A Review

Abstract: Temporal point processes (TPP) are probabilistic generative models for continuous-time event sequences. Neural TPPs combine the fundamental ideas from point process literature with deep learning approaches, thus enabling construction of flexible and efficient models. The topic of neural TPPs has attracted significant attention in the recent years, leading to the development of numerous new architectures and applications for this class of models. In this review paper we aim to consolidate the existing body of knowledge on neural TPPs. Specifically, we focus on important design choices and general principles for defining neural TPP models. Next, we provide an overview of application areas commonly considered in the literature. We conclude this survey with the list of open challenges and important directions for future work in the field of neural TPPs.