用神经网络+蒙特卡洛树搜索,高效发现时间序列的可解释非线性规律。
An Efficient and Generalizable Symbolic Regression Method for Time Series Analysis
- 结合神经网络与蒙特卡洛树搜索,缩小搜索空间并提升表达式质量。
- 在三个真实数据集上,效率比传统方法快数倍,且解释性更强。
- 适合需要可解释性与大规模分析的时间序列研究者。
当前时间序列分析方法在量化预测方面表现优异,能提供精确未来预测和多样统计指标,但普遍缺乏对时间序列演化模式的深入解释。为实现更全面的理解与洞察,本文采用符号回归技术,旨在推导出时间序列变量非线性动态的显式表达式。然而,此类方法在计算效率和跨数据泛化能力方面存在挑战。为此,本文提出神经增强型蒙特卡洛树搜索(NEMoTS)用于时间序列分析。NEMoTS利用蒙特卡洛树搜索的探索-利用平衡机制,显著缩减符号回归的搜索空间,并提升表达式质量。通过将神经网络与MCTS融合,NEMoTS不仅借助其强大拟合能力聚焦更相关操作,还替代了复杂耗时的模拟过程,从而大幅提升计算效率与泛化能力。在三个真实世界数据集上的实验表明,NEMoTS在性能、效率、可靠性和可解释性方面均显著优于现有方法,适用于大规模真实时间序列数据分析。
原文摘要 · Abstract (English)
Time series analysis and prediction methods currently excel in quantitative analysis, offering accurate future predictions and diverse statistical indicators, but generally falling short in elucidating the underlying evolution patterns of time series. To gain a more comprehensive understanding and provide insightful explanations, we utilize symbolic regression techniques to derive explicit expressions for the non-linear dynamics in the evolution of time series variables. However, these techniques face challenges in computational efficiency and generalizability across diverse real-world time series data. To overcome these challenges, we propose \textbf{N}eural-\textbf{E}nhanced \textbf{Mo}nte-Carlo \textbf{T}ree \textbf{S}earch (NEMoTS) for time series. NEMoTS leverages the exploration-exploitation balance of Monte-Carlo Tree Search (MCTS), significantly reducing the search space in symbolic regression and improving expression quality. Furthermore, by integrating neural networks with MCTS, NEMoTS not only capitalizes on their superior fitting capabilities to concentrate on more pertinent operations post-search space reduction, but also replaces the complex and time-consuming simulation process, thereby substantially improving computational efficiency and generalizability in time series analysis. NEMoTS offers an efficient and comprehensive approach to time series analysis. Experiments with three real-world datasets demonstrate NEMoTS's significant superiority in performance, efficiency, reliability, and interpretability, making it well-suited for large-scale real-world time series data.
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