arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2201.05336cs.LG

IDEA: Interpretable Dynamic Ensemble Architecture for Time Series Prediction

The Hong Kong University of Science and Technology(香港科技大学)

Mengyue Zha, Kani Chen, Tong Zhang

英文摘要:

We enhance the accuracy and generalization of univariate time series point prediction by an explainable ensemble on the fly. We propose an Interpretable Dynamic Ensemble Architecture (IDEA), in which interpretable base learners give predictions independently with sparse communication as a group. The model is composed of several sequentially stacked groups connected by group backcast residuals and recurrent input competition. Ensemble driven by end-to-end training both horizontally and vertically brings state-of-the-art (SOTA) performances. Forecast accuracy improves by 2.6% over the best statistical benchmark on the TOURISM dataset and 2% over the best deep learning benchmark on the M4 dataset. The architecture enjoys several advantages, being applicable to time series from various domains, explainable to users with specialized modular structure and robust to changes in task distribution.

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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