arXiv:2410.16032cs.LGcs.AI2024-10ICLR被引 202

提出通用时间序列分析模型,统一处理预测、分类等8类任务

TimeMixer++: A General Time Series Pattern Machine for Universal Predictive Analysis

  • 通过多尺度时域与多分辨率频域混合策略提取自适应模式
  • 在8个时间序列任务上超越主流模型,性能全面领先
  • 适合需要统一建模框架的工业时序分析场景

时间序列分析在预测、分类、异常检测和插补等多种应用中至关重要。本文提出通用时间序列模式机(TSPM),通过强大的表征与模式提取能力,在多种时间序列任务中表现优异。传统模型难以捕捉通用模式,限制了跨任务适用性。为此,我们在时域定义多个尺度,在频域采用多种分辨率,结合多种混合策略以提取复杂、任务自适应的时间序列模式。具体包括:(1) 多分辨率时间成像(MRTI),将多尺度时间序列转化为多分辨率时间图像,同时捕捉时频域模式;(2) 时间图像分解(TID),利用双轴注意力提取季节性和趋势模式;(3) 多尺度混合(MCM),分层聚合各尺度模式;(4) 多分辨率混合(MRM),自适应融合所有分辨率表示。该方法在8项时间序列分析任务中达到当前最优性能,持续优于通用与专用模型。本工作为下一代TSPM发展奠定基础,推动时间序列分析进一步演进。

原文摘要 · Abstract (English)

Time series analysis plays a critical role in numerous applications, supporting tasks such as forecasting, classification, anomaly detection, and imputation. In this work, we present the time series pattern machine (TSPM), a model designed to excel in a broad range of time series tasks through powerful representation and pattern extraction capabilities. Traditional time series models often struggle to capture universal patterns, limiting their effectiveness across diverse tasks. To address this, we define multiple scales in the time domain and various resolutions in the frequency domain, employing various mixing strategies to extract intricate, task-adaptive time series patterns. Specifically, we introduce a general-purpose TSPM that processes multi-scale time series using (1) multi-resolution time imaging (MRTI), (2) time image decomposition (TID), (3) multi-scale mixing (MCM), and (4) multi-resolution mixing (MRM) to extract comprehensive temporal patterns. MRTI transforms multi-scale time series into multi-resolution time images, capturing patterns across both temporal and frequency domains. TID leverages dual-axis attention to extract seasonal and trend patterns, while MCM hierarchically aggregates these patterns across scales. MRM adaptively integrates all representations across resolutions. This method achieves state-of-the-art performance across 8 time series analytical tasks, consistently surpassing both general-purpose and task-specific models. Our work marks a promising step toward the next generation of TSPMs, paving the way for further advancements in time series analysis.

时间序列模式识别通用模型多尺度

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