提出分阶段粗到细框架,用多尺度规律序列提升不规则时间序列分析效果
MuSiCNet: A Gradual Coarse-to-Fine Framework for Irregularly Sampled Multivariate Time Series Analysis
- 从粗到细构建多尺度规律序列,逐步细化不规则时间序列表示
- 在三个主流任务上均达到当前最优性能,分类、插值和预测均表现优异
- 适合处理医疗、金融等真实世界中的不规则多变量时间序列数据
不规则采样多变量时间序列(ISMTS)在现实中广泛存在。现有方法通常将其视为带有缺失值的同步规则采样序列,忽略了不规则性主要源于采样率变化。本文提出新视角:不规则性在某种意义上是相对的。通过从低到高人工设定采样率,可将原始不规则序列转化为由粗到细的一系列相对规律序列。我们发现,这些粗粒度的相对规律序列不仅能缓解不规则带来的挑战,还能提供全局时间信息,成为表示学习的宝贵资源。因此,遵循‘先看全局,再看细节’的思路,提出多尺度多相关注意力网络(MuSiCNet),通过多尺度迭代优化表示。每个尺度内,利用时间注意力与频率相关矩阵聚合序列内与跨序列信息;相邻尺度间,采用包含对比学习与重构结果调整的表示修正方法,提升表示一致性。MuSiCNet在分类、插值、预测三个主流任务中持续达到当前最优(SOTA)性能。
原文摘要 · Abstract (English)
Irregularly sampled multivariate time series (ISMTS) are prevalent in reality. Most existing methods treat ISMTS as synchronized regularly sampled time series with missing values, neglecting that the irregularities are primarily attributed to variations in sampling rates. In this paper, we introduce a novel perspective that irregularity is essentially relative in some senses. With sampling rates artificially determined from low to high, an irregularly sampled time series can be transformed into a hierarchical set of relatively regular time series from coarse to fine. We observe that additional coarse-grained relatively regular series not only mitigate the irregularly sampled challenges to some extent but also incorporate broad-view temporal information, thereby serving as a valuable asset for representation learning. Therefore, following the philosophy of learning that Seeing the big picture first, then delving into the details, we present the Multi-Scale and Multi-Correlation Attention Network (MuSiCNet) combining multiple scales to iteratively refine the ISMTS representation. Specifically, within each scale, we explore time attention and frequency correlation matrices to aggregate intra- and inter-series information, naturally enhancing the representation quality with richer and more intrinsic details. While across adjacent scales, we employ a representation rectification method containing contrastive learning and reconstruction results adjustment to further improve representation consistency. MuSiCNet is an ISMTS analysis framework that competitive with SOTA in three mainstream tasks consistently, including classification, interpolation, and forecasting.
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