arXiv:2505.00590cs.LG2025-05

提出动态权重线性模型,解决不规则多变量时间序列预测难题

Unlocking the Potential of Linear Networks for Irregular Multivariate Time Series Forecasting

  • 用可变权重线性网络动态调整时序依赖建模
  • 在4个数据集上准确率提升11%,运行时间减少52%
  • 适合处理采样不规则、存在缺失值的工业级时序数据

时间序列预测在金融、交通、能源、医疗和气候等领域具有重要意义。尽管线性网络因计算成本低且能有效建模时序依赖而被广泛应用,但现有研究主要集中在规则采样和完整观测的多变量时间序列上。实际中常遇到采样间隔不一、存在缺失值的不规则多变量时间序列,其内部不一致性和跨序列异步性阻碍了传统静态权重线性网络的有效建模。为此,本文提出新模型AiT:通过自适应线性网络根据观测时间点动态调整权重,缓解内部不一致性;同时结合Transformer模块对变量语义嵌入建模,有效捕捉变量间相关性,避免跨序列异步问题。在四个基准数据集上的实验证明,AiT相较现有最先进方法,预测准确率提升11%,运行时间降低52%。

原文摘要 · Abstract (English)

Time series forecasting holds significant importance across various industries, including finance, transportation, energy, healthcare, and climate. Despite the widespread use of linear networks due to their low computational cost and effectiveness in modeling temporal dependencies, most existing research has concentrated on regularly sampled and fully observed multivariate time series. However, in practice, we frequently encounter irregular multivariate time series characterized by variable sampling intervals and missing values. The inherent intra-series inconsistency and inter-series asynchrony in such data hinder effective modeling and forecasting with traditional linear networks relying on static weights. To tackle these challenges, this paper introduces a novel model named AiT. AiT utilizes an adaptive linear network capable of dynamically adjusting weights according to observation time points to address intra-series inconsistency, thereby enhancing the accuracy of temporal dependencies modeling. Furthermore, by incorporating the Transformer module on variable semantics embeddings, AiT efficiently captures variable correlations, avoiding the challenge of inter-series asynchrony. Comprehensive experiments across four benchmark datasets demonstrate the superiority of AiT, improving prediction accuracy by 11% and decreasing runtime by 52% compared to existing state-of-the-art methods.

时间序列线性网络不规则数据自适应模型

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