提出新模型提升多变量时间序列预测精度,无需人工设计条件先验。
Channel-aware Contrastive Conditional Diffusion for Multivariate Probabilistic Time Series Forecasting
- 设计通道感知的去噪网络,处理变量间关联与内部变化。
- 引入基于去噪的时序对比学习,增强历史与未来预测的互信息。
- 在66.67%和83.33%测试场景中优于现有最先进方法。
从实际应用中准确预测多变量时间序列轨迹对合理决策至关重要。近期方法主要将生成式条件扩散模型用于估计目标时间预测分布,但如何高效利用隐含的时间预测信息以增强条件扩散学习仍具挑战。为此,我们提出通用的通道感知对比条件扩散模型CCDM,实现理想的多变量概率预测,无需依赖精心设计的时序条件归纳偏置。具体而言,我们首先设计一种以通道为中心的条件去噪网络,有效管理变量内差异与变量间相关性,支持不同预测时长与变量数量的可扩展性;随后,提出一种专用的基于去噪的时序对比学习,显式放大历史观测与未来预测间的预测互信息。该方法可与常规的逐步去噪扩散训练协同互补,在未知测试时间序列上提升预测精度与泛化能力。此外,我们从神经互信息与时序分布泛化角度提供了理论分析。所提CCDM在综合基准上表现优异,相较当前最优扩散预测器,在66.67%的案例中取得最低均方误差(MSE),在83.33%案例中获得最佳连续分级概率评分(CRPS)。代码已公开于https://github.com/LSY-Cython/CCDM。
原文摘要 · Abstract (English)
Forecasting faithful trajectories of multivariate time series from practical scopes is essential for reasonable decision-making. Recent methods majorly tailor generative conditional diffusion models to estimate the target temporal predictive distribution. However, it remains an obstacle to enhance the exploitation efficiency of given implicit temporal predictive information to bolster conditional diffusion learning. To this end, we propose a generic channel-aware Contrastive Conditional Diffusion model entitled CCDM to achieve desirable Multivariate probabilistic forecasting, obviating the need for curated temporal conditioning inductive biases. In detail, we first design a channel-centric conditional denoising network to manage intra-variate variations and cross-variate correlations, which can lead to scalability on diverse prediction horizons and channel numbers. Then, we devise an ad-hoc denoising-based temporal contrastive learning to explicitly amplify the predictive mutual information between past observations and future forecasts. It can coherently complement naive step-wise denoising diffusion training and improve the forecasting accuracy and generality on unknown test time series. Besides, we offer theoretic insights on the benefits of such auxiliary contrastive training refinement from both neural mutual information and temporal distribution generalization aspects. The proposed CCDM can exhibit superior forecasting capability compared to current state-of-the-art diffusion forecasters over a comprehensive benchmark, with best MSE and CRPS outcomes on $66.67\%$ and $83.33\%$ cases. Our code is publicly available at https://github.com/LSY-Cython/CCDM.
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