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arXiv 2602.04714cs.LG
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有界回避多时间尺度时间序列预测

Bounded-Abstention Multi-horizon Time-series Forecasting

DTAI lab & Leuven.AI(DTAI实验室及Leuven.AI);KU Leuven(卢万大学);Computer Science Dept(计算机科学系);University of Pisa(比萨大学);DISI, University of Trento(特伦托大学DISI)

Luca Stradiotti, Laurens Devos, Anna Monreale, Jesse Davis, Andrea Pugnana

AI总结:

本文提出了一种针对多时间尺度时间序列预测的回避学习方法,通过理论分析和算法设计,提升了预测准确性并优于现有基线。

摘要:

多时间尺度时间序列预测涉及同时对连续的后续时间步进行预测。这项任务出现在许多应用领域,如医疗和金融,其中预测错误可能导致高成本并降低信任度。回避学习框架通过允许模型在预测风险较高时回避预测来解决这些问题。然而,现有的回避策略不适合多时间尺度设置:它们针对每个实例提供单一预测的问题。因此,它们忽略了多时间尺度预测器提供的结构化和相关性质。我们正式化了多时间尺度预测设置中的回避学习问题,并表明其结构性质允许更丰富的回避问题集。具体来说,我们提出了三种自然的模型如何在多时间尺度预测中回避的观念。我们对每个问题进行理论分析,推导出最优的回避策略,并提出一个实现该策略的算法。对24个数据集的广泛评估显示,我们提出的算法显著优于现有基线。

英文摘要:

Multi-horizon time-series forecasting involves simultaneously making predictions for a consecutive sequence of subsequent time steps. This task arises in many application domains, such as healthcare and finance, where mispredictions can have a high cost and reduce trust. The learning with abstention framework tackles these problems by allowing a model to abstain from offering a prediction when it is at an elevated risk of making a misprediction. Unfortunately, existing abstention strategies are ill-suited for the multi-horizon setting: they target problems where a model offers a single prediction for each instance. Hence, they ignore the structured and correlated nature of the predictions offered by a multi-horizon forecaster. We formalize the problem of learning with abstention for multi-horizon forecasting setting and show that its structured nature admits a richer set of abstention problems. Concretely, we propose three natural notions of how a model could abstain for multi-horizon forecasting. We theoretically analyze each problem to derive the optimal abstention strategy and propose an algorithm that implements it. Extensive evaluation on 24 datasets shows that our proposed algorithms significantly outperforms existing baselines.

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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