arXiv:2410.09836cs.LGstat.ML2024-10NeurIPS被引 29

针对时间序列片段分布漂移问题,提出按模式分专家的动态预测方法。

Learning Pattern-Specific Experts for Time Series Forecasting Under Patch-level Distribution Shift

  • 用时频双域编码捕捉动态特征,识别不同数据片段的模式差异。
  • 通过子空间聚类划分模式,再由专用专家模型分别建模,提升精度。
  • 特别适合长期预测场景,对模式变化敏感的应用值得参考。

时间序列预测旨在基于历史数据预测未来值,因其广泛应用而备受关注。然而,真实世界的时间序列常呈现复杂非均匀分布,不同段落(如季节、运行状态或语义)具有各异模式,导致预测困难。现有方法通常训练单一模型以覆盖所有模式,难以应对片段间的模式漂移,泛化能力差。为此,本文提出TFPS,一种新型架构,通过构建模式特异性专家实现更精准、可适应的预测。TFPS采用时频双域编码器,同时捕捉时间与频率域特征,全面理解时序动态;利用子空间聚类动态识别数据片段中的不同模式;再由模式特异性专家建模这些独特模式,为每个片段提供定制化预测。通过显式学习和适应演化模式,TFPS显著提升预测准确性。在多个真实数据集上的大量实验表明,该方法优于当前先进模型,尤其在长期预测中表现突出。代码与数据已开源:https://github.com/syrGitHub/TFPS。

原文摘要 · Abstract (English)

Time series forecasting, which aims to predict future values based on historical data, has garnered significant attention due to its broad range of applications. However, real-world time series often exhibit complex non-uniform distribution with varying patterns across segments, such as season, operating condition, or semantic meaning, making accurate forecasting challenging. Existing approaches, which typically train a single model to capture all these diverse patterns, often struggle with the pattern drifts between patches and may lead to poor generalization. To address these challenges, we propose TFPS, a novel architecture that leverages pattern-specific experts for more accurate and adaptable time series forecasting. TFPS employs a dual-domain encoder to capture both time-domain and frequency-domain features, enabling a more comprehensive understanding of temporal dynamics. It then uses subspace clustering to dynamically identify distinct patterns across data patches. Finally, pattern-specific experts model these unique patterns, delivering tailored predictions for each patch. By explicitly learning and adapting to evolving patterns, TFPS achieves significantly improved forecasting accuracy. Extensive experiments on real-world datasets demonstrate that TFPS outperforms state-of-the-art methods, particularly in long-term forecasting, through its dynamic and pattern-aware learning approach. The data and codes are available: https://github.com/syrGitHub/TFPS.

时间序列模式识别长程预测专家网络

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