Label Attention Network for sequential multi-label classification: you were looking at a wrong self-attention

Most of the available user information can be represented as a sequence of timestamped events. Each event is assigned a set of categorical labels whose future structure is of great interest. For instance, our goal is to predict a group of items in the next customer's purchase or tomorrow's client transactions. This is a multi-label classification problem for sequential data. Modern approaches focus on transformer architecture for sequential data introducing self-attention for the elements in a sequence. In that case, we take into account events' time interactions but lose information on label inter-dependencies. Motivated by this shortcoming, we propose leveraging a self-attention mechanism over labels preceding the predicted step. As our approach is a Label-Attention NETwork, we call it LANET. Experimental evidence suggests that LANET outperforms the established models' performance and greatly captures interconnections between labels. For example, the micro-AUC of our approach is $0.9536$ compared to $0.7501$ for a vanilla transformer. We provide an implementation of LANET to facilitate its wider usage.