Revitalizing Multivariate Time Series Forecasting: Learnable Decomposition with Inter-Series Dependencies and Intra-Series Variations Modeling

Conceptos Básicos

The author introduces a learnable decomposition strategy to capture dynamic trend information more reasonably and proposes a dual attention module for better time series forecasting by capturing inter-series dependencies and intra-series variations simultaneously.

Resumen

The content discusses the challenges in predicting multivariate time series due to intricate patterns, introducing a learnable decomposition strategy and a dual attention module. The experiments show significant advancements in predictive performance, demonstrating the effectiveness of the proposed methods.

The rising demands in various domains have led to an urgent need for precise multivariate time series forecasting methodologies. The foundation lies in identifying and modeling intricate patterns embedded in multivariate time series, including inter-series dependencies and intra-series variations.

Existing methods struggle with non-linear structures and complex trends in real-world data. The author's Leddam method demonstrates advancements in predictive performance across eight datasets compared to state-of-the-art methods.

A trainable convolutional kernel is introduced to enhance time series decomposition, showing superior performance over conventional moving average kernels. The dual attention module captures inter-series dependencies and intra-series variations effectively for precise forecasting.

Estadísticas

Given that, we introduce a learnable decomposition strategy to capture dynamic trend information more reasonably.
Our Leddam (LEarnable Decomposition and Dual Attention Module) not only demonstrates significant advancements in predictive performance but also the proposed decomposition strategy can be plugged into other methods with a large performance-boosting, from 11.87% to 48.56% MSE error degradation.
We propose the incorporation of a learnable convolution kernel initialized with a Gaussian distribution to enhance time series decomposition.
To evaluate the effectiveness of our method, we conducted experiments across eight open-source datasets and compared it with the state-of-the-art methods.

Citas

"Distinctive trend characteristics pose challenges for existing methods relying on basic moving average kernels."
"Our Leddam method shows advancements in predictive performance across various datasets."
"The introduction of a learnable convolutional kernel enhances time series decomposition."

Ideas clave extraídas de

Revitalizing Multivariate Time Series Forecasting

by Guoqi Yu,Jin... a las arxiv.org 03-05-2024

https://arxiv.org/pdf/2402.12694.pdf

Consultas más profundas

How can the proposed learnable decomposition strategy be applied to other forecasting models

The proposed learnable decomposition strategy can be applied to other forecasting models by integrating it into the preprocessing stage of the model. The key idea is to replace traditional moving average kernels with a trainable 1D convolutional kernel initialized using a Gaussian distribution. This allows for more precise trend extraction from time series data, capturing dynamic variations effectively. By incorporating this learnable decomposition module into other forecasting models, researchers can enhance the model's ability to identify intricate patterns in multivariate time series data. Additionally, the flexibility of the trainable kernel enables adaptation to non-linear structures and noise in raw time series, making it suitable for a wide range of forecasting applications.

What are the implications of incorporating dual attention modules for other types of data analysis beyond time series forecasting

Incorporating dual attention modules has implications beyond time series forecasting and can be beneficial for various types of data analysis tasks. The use of 'Channel-wise self-attention' and 'Auto-regressive self-attention' mechanisms allows for simultaneous modeling of inter-series dependencies and intra-series variations in complex datasets. This approach could be valuable in natural language processing tasks where understanding relationships between different elements is crucial or image recognition tasks where capturing both global context and local details is essential. By leveraging dual attention modules, analysts can improve their models' performance across diverse domains by enhancing feature extraction capabilities and capturing intricate patterns within the data.

How might non-linear structures impact the effectiveness of traditional forecasting methods

Non-linear structures pose challenges for traditional forecasting methods as they may struggle to capture complex trends accurately. In real-world data with non-linear patterns or significant noise levels, basic moving average kernels may not effectively extract trend information due to their simplistic nature. These non-linear structures can lead to inaccuracies in predictions and hinder overall forecast performance. By introducing learnable decomposition strategies that are better suited for handling non-linearities, such as using Gaussian-initialized convolutional kernels, researchers can address these challenges more effectively and improve forecast accuracy even in datasets with intricate trends or noisy components.