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Long Short-Term Memory (LSTM) is one of the most powerful sequence models for user browsing history \citetan2016improved,korpusik2016recurrent or natural language text \citemikolov2010recurrent.Despite the strong performance, it has not gained popularity for user-facing applications, mainly owing to a large number of parameters and lack of interpretability. Recently \citetzaheer2017latent introduced latent LSTM Allocation (LLA) to address these problems by incorporating topic models with LSTM, where the topic model maps observed words in each sequence to topics that evolve using an LSTM model. In our experiments, we found the resulting model, although powerful and interpretable, to show shortcomings when applied to sequence data that exhibit multi-modes of behaviors with abrupt dynamic changes. To address this problem we introduce thLLA: a threading LLA model. thLLA has the ability to break each sequence into a set of segments and then model the dynamic in each segment using an LSTM mixture. In that way, thLLA can model abrupt changes in sequence dynamics and provides a better fit for sequence data while still being interpretable and requiring fewer parameters. In addition, thLLA uncovers hidden themes in the data via its dynamic mixture components. However, such generalization and interpretability come at a cost of complex dependence structure, for which inference would be extremely non-trivial. To remedy this, we present an efficient sampler based on particle MCMC method for inference that can draw from the joint posterior directly. Experimental results confirm the superiority of thLLA and the stability of the new inference algorithm on a variety of domains.

Uncovering Hidden Structure in Sequence Data via Threading Recurrent Models