arXiv:2412.12886cs.LG2024-12AAAI被引 19

提出局部依赖全局独立的通道和谐策略,提升不规则多变量时间序列建模能力。

TimeCHEAT: A Channel Harmony Strategy for Irregularly Sampled Multivariate Time Series Analysis

  • 局部用通道相关策略,全局用通道独立策略,协同发挥两者优势。
  • 在三个主流任务上达到当前最优性能,显著优于传统方法。
  • 无需先验知识,通过图学习自动预测嵌入权重,通用性强。

不规则采样的多变量时间序列(ISMTS)在现实中普遍存在。由于观测间隔非均匀且各序列采样率不同,近期研究中表现更优的通道独立(CI)策略失效,原因在于采样稀疏导致信息不足,削弱了学习能力;而通道依赖(CD)策略虽容量高,却可能因各通道学习相似嵌入模式而损失多样性。现有工作将CI与CD视为互斥的全局策略,但我们发现其可局部与全局结合使用。为此,我们提出通道和谐ISMTS Transformer(TimeCHEAT),在局部采用CD策略,通过分块处理增强时间嵌入学习,减少长程无关干扰;同时引入双分图边权重预测机制,无需先验知识即可提升泛化性。在全局层面采用CI策略,使Transformer为各通道学习个性化注意力模式。实验表明,TimeCHEAT在三个主流任务上均取得当前最优表现。

原文摘要 · Abstract (English)

Irregularly sampled multivariate time series (ISMTS) are prevalent in reality. Due to their non-uniform intervals between successive observations and varying sampling rates among series, the channel-independent (CI) strategy, which has been demonstrated more desirable for complete multivariate time series forecasting in recent studies, has failed. This failure can be further attributed to the sampling sparsity, which provides insufficient information for effective CI learning, thereby reducing its capacity. When we resort to the channel-dependent (CD) strategy, even higher capacity cannot mitigate the potential loss of diversity in learning similar embedding patterns across different channels. We find that existing work considers CI and CD strategies to be mutually exclusive, primarily because they apply these strategies to the global channel. However, we hold the view that channel strategies do not necessarily have to be used globally. Instead, by appropriately applying them locally and globally, we can create an opportunity to take full advantage of both strategies. This leads us to introduce the Channel Harmony ISMTS Transformer (TimeCHEAT), which utilizes the CD locally and the CI globally. Specifically, we segment the ISMTS into sub-series level patches. Locally, the CD strategy aggregates information within each patch for time embedding learning, maximizing the use of relevant observations while reducing long-range irrelevant interference. Here, we enhance generality by transforming embedding learning into an edge weight prediction task using bipartite graphs, eliminating the need for special prior knowledge. Globally, the CI strategy is applied across patches, allowing the Transformer to learn individualized attention patterns for each channel. Experimental results indicate our proposed TimeCHEAT demonstrates competitive SOTA performance across three mainstream tasks.

时间序列通道融合Transformer不规则采样

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