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arXiv 2409.14232cs.LG
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ReFine:通过重加权和微调提升极端事件的时间序列预测

ReFine: Boosting Time Series Prediction of Extreme Events by Reweighting and Fine-tuning

Florida International University(佛罗里达国际大学)

Jimeng Shi, Azam Shirali, Giri Narasimhan

AI总结:

针对极端事件罕见且属于分布外数据导致预测困难的问题,提出模型无关的重加权与微调策略,利用元学习动态优化惩罚权重并微调模型,显著提升了时间序列预测的准确性。

摘要:

极端事件非常重要,因为它们通常代表具有重大影响的事件。例如,在气候和天气方面,极端事件可能是大风暴、洪水、极端高温或寒潮等。然而,它们通常位于数据分布的尾部。因此,由于极端事件的罕见性和不规则性,准确预测这些事件具有挑战性。先前的研究也将此称为分布外(OOD)问题,该问题发生在测试数据的分布与用于训练的数据分布存在显著差异时。在这项工作中,我们提出了两种策略:重加权和微调,以应对这一挑战。重加权是一种用于迫使机器学习模型关注极端事件的策略,这是通过加权损失函数实现的,该函数对极端样本的预测误差分配比其余数据更大的惩罚。与以往基于数据分布简单启发式的直观重加权方法不同,我们采用元学习来动态优化这些惩罚权重。为了进一步提升在极端样本上的性能,我们从重加权后的模型出发,并仅使用罕见的极端样本对其进行微调。通过在多个数据集上进行的大量实验,我们经验性地验证了基于元学习的重加权方法优于现有的启发式方法,并且微调策略可以进一步提高模型性能。更重要的是,这两种策略是与模型无关的,可以在任何类型的用于时间序列预测的神经网络上实现。开源代码可在 \url{https://github.com/JimengShi/ReFine} 获取。

英文摘要:

Extreme events are of great importance since they often represent impactive occurrences. For instance, in terms of climate and weather, extreme events might be major storms, floods, extreme heat or cold waves, and more. However, they are often located at the tail of the data distribution. Consequently, accurately predicting these extreme events is challenging due to their rarity and irregularity. Prior studies have also referred to this as the out-of-distribution (OOD) problem, which occurs when the distribution of the test data is substantially different from that used for training. In this work, we propose two strategies, reweighting and fine-tuning, to tackle the challenge. Reweighting is a strategy used to force machine learning models to focus on extreme events, which is achieved by a weighted loss function that assigns greater penalties to the prediction errors for the extreme samples relative to those on the remainder of the data. Unlike previous intuitive reweighting methods based on simple heuristics of data distribution, we employ meta-learning to dynamically optimize these penalty weights. To further boost the performance on extreme samples, we start from the reweighted models and fine-tune them using only rare extreme samples. Through extensive experiments on multiple data sets, we empirically validate that our meta-learning-based reweighting outperforms existing heuristic ones, and the fine-tuning strategy can further increase the model performance. More importantly, these two strategies are model-agnostic, which can be implemented on any type of neural network for time series forecasting. The open-sourced code is available at \url{https://github.com/JimengShi/ReFine}.

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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