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arXiv 2407.01622cs.LG
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解决时间序列预测中的预测延迟:一种带导数正则化的连续 GRU 方法

Addressing Prediction Delays in Time Series Forecasting: A Continuous GRU Approach with Derivative Regularization

Yonsei University(延世大学);KAIST(韩国科学技术院)

Sheo Yon Jhin, Seojin Kim, Noseong Park

AI总结:

本文针对 MSE 训练导致的时间序列预测延迟问题,提出基于 NODE 的连续时间 GRU,并通过时间导数正则化降低延迟,在多数据集上改善 MSE、DTW 和 TDI。

摘要:

时间序列预测一直是经济分析、气象学等众多不同应用领域中的重要方向。大多数时间序列预测模型使用均方误差(MSE)进行训练。然而,这种基于 MSE 的训练会导致一种被称为预测延迟的局限。预测延迟意味着真实值先于预测出现,它可能在金融和天气预报等多种领域造成严重问题——事实上,即使预测的 MSE 可能很低,落后于真实观测值的预测在实际中也没有意义。本文对传统时间序列预测任务提出了一种新的视角,并介绍了一种缓解预测延迟的新解决方案。我们提出一种基于神经常微分方程(NODE)的连续时间门控循环单元(GRU),该方法能够监督显式时间导数。我们以连续时间方式推广了 GRU 架构,并通过时间导数正则化来最小化预测延迟。我们的方法在 MSE、动态时间规整(DTW)和时间失真指数(TDI)等指标上表现更优。此外,我们还在多种数据集上证明了该方法具有较低的预测延迟。

英文摘要:

Time series forecasting has been an essential field in many different application areas, including economic analysis, meteorology, and so forth. The majority of time series forecasting models are trained using the mean squared error (MSE). However, this training based on MSE causes a limitation known as prediction delay. The prediction delay, which implies the ground-truth precedes the prediction, can cause serious problems in a variety of fields, e.g., finance and weather forecasting -- as a matter of fact, predictions succeeding ground-truth observations are not practically meaningful although their MSEs can be low. This paper proposes a new perspective on traditional time series forecasting tasks and introduces a new solution to mitigate the prediction delay. We introduce a continuous-time gated recurrent unit (GRU) based on the neural ordinary differential equation (NODE) which can supervise explicit time-derivatives. We generalize the GRU architecture in a continuous-time manner and minimize the prediction delay through our time-derivative regularization. Our method outperforms in metrics such as MSE, Dynamic Time Warping (DTW) and Time Distortion Index (TDI). In addition, we demonstrate the low prediction delay of our method in a variety of datasets.

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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