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arXiv 2406.13871cs.LG
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基于非重尾高斯损失加权采样器的鲁棒时间序列预测

Robust Time Series Forecasting with Non-Heavy-Tailed Gaussian Loss-Weighted Sampler

Université Paris-Est Créteil(巴黎东部克雷泰伊大学);HN-Services(HN服务公司);ESIEE Paris(巴黎ESIEE学院)

Jiang You, Arben Cela, René Natowicz, Jacob Ouanounou, Patrick Siarry

AI总结:

针对多变量时间序列预测中重尾损失导致的过拟合与训练低效问题,提出高斯损失加权采样器,通过加权构建非重尾损失分布,提升训练效率与预测精度。

摘要:

多变量时间序列预测是一项计算密集型任务,面临极端样本或冗余样本的挑战。近期的重采样方法旨在通过根据样本的运行损失对其重新加权来提升训练效率,但这些方法并未解决重尾分布损失带来的问题,比如对异常值的过拟合。为解决这些问题,我们提出了一种新方法:高斯损失加权采样器,它将样本的运行损失与高斯分布权重相乘。该方法降低了选择损失极低或极高样本的概率,同时更倾向于选择损失接近平均值的样本。由于它在理论上构建了非重尾的加权损失分布,与现有方法相比有几个突出优势:1)缓解了学习冗余简单样本的低效性以及对异常值的过拟合问题;2)通过优先学习损失接近平均值的样本提升了训练效率。在真实世界时间序列预测数据集上的应用表明,在通道独立设置下,采用均方误差度量的预测质量提升了1%-4%。代码将在审稿后1日上线。

英文摘要:

Forecasting multivariate time series is a computationally intensive task challenged by extreme or redundant samples. Recent resampling methods aim to increase training efficiency by reweighting samples based on their running losses. However, these methods do not solve the problems caused by heavy-tailed distribution losses, such as overfitting to outliers. To tackle these issues, we introduce a novel approach: a Gaussian loss-weighted sampler that multiplies their running losses with a Gaussian distribution weight. It reduces the probability of selecting samples with very low or very high losses while favoring those close to average losses. As it creates a weighted loss distribution that is not heavy-tailed theoretically, there are several advantages to highlight compared to existing methods: 1) it relieves the inefficiency in learning redundant easy samples and overfitting to outliers, 2) It improves training efficiency by preferentially learning samples close to the average loss. Application on real-world time series forecasting datasets demonstrate improvements in prediction quality for 1%-4% using mean square error measurements in channel-independent settings. The code will be available online after 1 the review.

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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