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arXiv 2102.08466cs.LGcs.DB
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具有模式、缺失值和离群值的真实世界张量流的鲁棒因子分解

Robust Factorization of Real-world Tensor Streams with Patterns, Missing Values, and Outliers

KAIST(韩国科学技术院)

Dongjin Lee, Kijung Shin

摘要:

考虑以张量流的形式实时收集多个季节性时间序列。真实世界的张量流通常包括缺失的条目(例如,由于网络断开)和同时意外的异常值(例如,由于系统错误)。给定这样一个真实世界的张量流,我们如何才能实时准确地估计缺失的条目并预测未来的进化?在这项工作中,我们回答了这个问题,通过引入SOFIA,一个强大的因子分解方法为现实世界的张量流。简而言之,SOFIA平滑而紧密地集成了张量因子分解、离群值去除和时间模式检测,它们自然地相互加强。此外,SOFIA以在线方式在线性时间内将其整合,尽管存在缺失条目。我们的实验表明,SOFIA是(a)鲁棒性和准确性:产生高达76%的较低的插补误差和71%的较低的预测误差;(b)快速:高达935倍的速度比第二个最准确的竞争对手;和(c)可扩展性:与每个时间步的新条目的数量线性扩展。

英文摘要:

Consider multiple seasonal time series being collected in real-time, in the form of a tensor stream. Real-world tensor streams often include missing entries (e.g., due to network disconnection) and at the same time unexpected outliers (e.g., due to system errors). Given such a real-world tensor stream, how can we estimate missing entries and predict future evolution accurately in real-time? In this work, we answer this question by introducing SOFIA, a robust factorization method for real-world tensor streams. In a nutshell, SOFIA smoothly and tightly integrates tensor factorization, outlier removal, and temporal-pattern detection, which naturally reinforce each other. Moreover, SOFIA integrates them in linear time, in an online manner, despite the presence of missing entries. We experimentally show that SOFIA is (a) robust and accurate: yielding up to 76% lower imputation error and 71% lower forecasting error; (b) fast: up to 935X faster than the second-most accurate competitor; and (c) scalable: scaling linearly with the number of new entries per time step.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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