arXiv:2410.14939cs.LG2024-10被引 13

将高阶多项式投影融入KAN网络,实现时间序列预测的参数高效与精准响应。

HiPPO-KAN: Efficient KAN Model for Time Series Analysis

  • 用HiPPO理论替代传统KAN中的局部映射,实现参数量恒定下的长序列建模。
  • 窗口长度增加时,模型性能仍优于KAN,且参数数保持不变。
  • 通过在HiPPO域直接计算系数误差,解决预测滞后问题,提升动态响应能力。

本文提出一种参数高效的时序预测模型HiPPO-KAN,通过将高阶多项式投影(HiPPO)理论引入科尔莫戈罗夫-阿诺德网络(KAN)框架,在不增加参数量的前提下显著提升长序列建模性能。实验表明,当窗口大小和预测范围变化时,HiPPO-KAN保持固定参数量,而传统KAN的参数量随窗口线性增长。尽管参数量恒定,HiPPO-KAN在大窗口条件下仍显著优于KAN。此外,针对时序模型常见的预测滞后问题,本文改进损失函数,在HiPPO域直接对系数向量计算均方误差,有效缓解延迟,使预测更贴近真实数据变化。该方法为大规模时序数据提供了高效、准确的建模新思路。

原文摘要 · Abstract (English)

In this study, we introduces a parameter-efficient model that outperforms traditional models in time series forecasting, by integrating High-order Polynomial Projection (HiPPO) theory into the Kolmogorov-Arnold network (KAN) framework. This HiPPO-KAN model achieves superior performance on long sequence data without increasing parameter count. Experimental results demonstrate that HiPPO-KAN maintains a constant parameter count while varying window sizes and prediction horizons, in contrast to KAN, whose parameter count increases linearly with window size. Surprisingly, although the HiPPO-KAN model keeps a constant parameter count as increasing window size, it significantly outperforms KAN model at larger window sizes. These results indicate that HiPPO-KAN offers significant parameter efficiency and scalability advantages for time series forecasting. Additionally, we address the lagging problem commonly encountered in time series forecasting models, where predictions fail to promptly capture sudden changes in the data. We achieve this by modifying the loss function to compute the MSE directly on the coefficient vectors in the HiPPO domain. This adjustment effectively resolves the lagging problem, resulting in predictions that closely follow the actual time series data. By incorporating HiPPO theory into KAN, this study showcases an efficient approach for handling long sequences with improved predictive accuracy, offering practical contributions for applications in large-scale time series data.

时间序列KANHiPPO参数效率

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