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arXiv 2201.12886cs.LGcs.AI
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N-HiTS:时间序列预测的神经递阶插值方法

N-HiTS: Neural Hierarchical Interpolation for Time Series Forecasting

Carnegie Mellon University(卡内基梅隆大学);Unity Technologies;Nixtla

Cristian Challu, Kin G. Olivares, Boris N. Oreshkin, Federico Garza, Max Mergenthaler-Canseco, Artur Dubrawski

摘要:

神经预测的最新进展加速了大规模预测系统性能的提高。然而,长期预测仍然是一项非常困难的任务。两个常见的挑战困扰的任务是预测的波动性和它们的计算复杂性。我们介绍N-HiTS,一个模型,它解决了这两个挑战,将新的分层插值和多速率数据采样技术。这些技术使所提出的方法能够顺序地组装其预测,强调具有不同频率和尺度的分量,同时分解输入信号并合成预测。我们证明了分层插值技术可以有效地近似任意长的视野中存在的光滑性。此外,我们从长期预测文献中进行了广泛的大规模数据集实验,证明了我们的方法相对于最先进方法的优势,其中N-HiTS比最新的Transformer架构提供了近20%的平均准确度提高,同时将计算时间减少了一个数量级(50倍)。我们的代码可在bit.ly/3VA5DoT上获得

英文摘要:

Recent progress in neural forecasting accelerated improvements in the performance of large-scale forecasting systems. Yet, long-horizon forecasting remains a very difficult task. Two common challenges afflicting the task are the volatility of the predictions and their computational complexity. We introduce N-HiTS, a model which addresses both challenges by incorporating novel hierarchical interpolation and multi-rate data sampling techniques. These techniques enable the proposed method to assemble its predictions sequentially, emphasizing components with different frequencies and scales while decomposing the input signal and synthesizing the forecast. We prove that the hierarchical interpolation technique can efficiently approximate arbitrarily long horizons in the presence of smoothness. Additionally, we conduct extensive large-scale dataset experiments from the long-horizon forecasting literature, demonstrating the advantages of our method over the state-of-the-art methods, where N-HiTS provides an average accuracy improvement of almost 20% over the latest Transformer architectures while reducing the computation time by an order of magnitude (50 times). Our code is available at bit.ly/3VA5DoT

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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