arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2406.03751cs.LG
收藏

时间序列预测的自适应多尺度分解框架

Adaptive Multi-Scale Decomposition Framework for Time Series Forecasting

Tsinghua Shenzhen International Graduate School(清华大学深圳国际研究生院);Tongji University(同济大学);Shenzhen University(深圳大学)

Yifan Hu, Peiyuan Liu, Peng Zhu, Dawei Cheng, Tao Dai

AI总结:

针对Transformer和MLP方法在时间序列预测中的各自局限,提出基于MLP的自适应多尺度分解框架,通过多尺度分解与聚合模块建模依赖关系,在多数据集预测任务中实现最优性能与高效计算。

摘要:

基于Transformer和基于MLP的方法已成为时间序列预测(TSF)中的领先方法。Transformer方法擅长捕捉长程依赖,但计算复杂度高且易过拟合;MLP方法计算高效且善于建模时间动态,却难以有效捕捉复杂时间模式。为应对这些挑战,我们提出基于MLP的自适应多尺度分解(AMD)框架,将时间序列分解为多尺度的不同时间模式,通过多尺度可分解混合(MDM)块以残差方式分解和聚合模式,结合双依赖交互(DDI)块和自适应多预测器合成(AMS)块建模时间与通道依赖,并利用自相关优化多尺度数据整合。实验表明,该框架克服现有方法局限,在多数据集的长短时预测任务中均达最优性能,且效率更高。

英文摘要:

Transformer-based and MLP-based methods have emerged as leading approaches in time series forecasting (TSF). While Transformer-based methods excel in capturing long-range dependencies, they suffer from high computational complexities and tend to overfit. Conversely, MLP-based methods offer computational efficiency and adeptness in modeling temporal dynamics, but they struggle with capturing complex temporal patterns effectively. To address these challenges, we propose a novel MLP-based Adaptive Multi-Scale Decomposition (AMD) framework for TSF. Our framework decomposes time series into distinct temporal patterns at multiple scales, leveraging the Multi-Scale Decomposable Mixing (MDM) block to dissect and aggregate these patterns in a residual manner. Complemented by the Dual Dependency Interaction (DDI) block and the Adaptive Multi-predictor Synthesis (AMS) block, our approach effectively models both temporal and channel dependencies and utilizes autocorrelation to refine multi-scale data integration. Comprehensive experiments demonstrate that our AMD framework not only overcomes the limitations of existing methods but also consistently achieves state-of-the-art performance in both long-term and short-term forecasting tasks across various datasets, showcasing superior efficiency. Code is available at https://github.com/TROUBADOUR000/AMD

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。

↑