提出主动适应概念漂移的框架,提升在线时间序列预测稳定性。
Proactive Model Adaptation Against Concept Drift for Online Time Series Forecasting
- 通过估计新旧数据间概念漂移,提前调整模型参数。
- 在5个真实数据集上优于现有方法,显著提升模型抗漂移能力。
- 适合需要长期稳定预测的工业时序场景使用。
时间序列预测常面临概念漂移问题,即数据分布随时间变化导致模型性能下降。现有在线学习方法虽持续用近期观测更新模型,但忽略了真实未来值需在预测期后才能获取这一时间延迟,造成训练与测试样本间的时序错位。我们实证发现该延迟会引入概念漂移,使模型适配过时信息。本文提出Proceed框架,先估计近期训练样本与当前测试样本之间的概念漂移,再通过适配生成器将漂移转化为参数调整,实现对测试样本的主动适应。为增强泛化能力,Proceed在合成的多样化概念漂移数据上训练。在五个真实世界数据集上的大量实验表明,Proceed相比最先进在线学习方法带来更显著的性能提升,显著增强了模型对概念漂移的鲁棒性。代码已公开于https://github.com/SJTU-DMTai/OnlineTSF。
原文摘要 · Abstract (English)
Time series forecasting always faces the challenge of concept drift, where data distributions evolve over time, leading to a decline in forecast model performance. Existing solutions are based on online learning, which continually organize recent time series observations as new training samples and update model parameters according to the forecasting feedback on recent data. However, they overlook a critical issue: obtaining ground-truth future values of each sample should be delayed until after the forecast horizon. This delay creates a temporal gap between the training samples and the test sample. Our empirical analysis reveals that the gap can introduce concept drift, causing forecast models to adapt to outdated concepts. In this paper, we present Proceed, a novel proactive model adaptation framework for online time series forecasting. Proceed first estimates the concept drift between the recently used training samples and the current test sample. It then employs an adaptation generator to efficiently translate the estimated drift into parameter adjustments, proactively adapting the model to the test sample. To enhance the generalization capability of the framework, Proceed is trained on synthetic diverse concept drifts. Extensive experiments on five real-world datasets across various forecast models demonstrate that Proceed brings more performance improvements than the state-of-the-art online learning methods, significantly facilitating forecast models' resilience against concept drifts. Code is available at https://github.com/SJTU-DMTai/OnlineTSF.
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