不预对齐直接建图,捕捉异步多变量时间序列的复杂依赖。
STRGCN: Capturing Asynchronous Spatio-Temporal Dependencies for Irregular Multivariate Time Series Forecasting
- 用全连接图表示观测点,避免预对齐导致的数据失真。
- 在4个公开数据集上达到领先精度,内存和训练速度均具竞争力。
- 适合处理传感器频率不一、时间戳错位的真实场景预测任务。
不规则多变量时间序列(IMTS)在多个领域广泛应用,其传感器采样频率差异和异步测量带来建模挑战。现有方法通常采用预对齐策略统一数据,但会扭曲内在模式并增加计算与内存开销。为此,我们提出STRGCN——一种时空关系图卷积网络,无需预对齐即可直接捕捉IMTS中的复杂相互依赖关系。将每个观测点作为节点构建全连接图,通过映射所有节点间关系,忠实保留数据的异步特性。进一步引入分层‘三明治’结构,有策略地聚合节点以优化图嵌入,在降低计算开销的同时保持局部与全局上下文细节。在四个公开数据集上的大量实验表明,STRGCN在精度上达到当前最优水平,同时具备良好的内存占用和训练速度表现。
原文摘要 · Abstract (English)
Irregular multivariate time series (IMTS) are prevalent in real-world applications across many fields, where varying sensor frequencies and asynchronous measurements pose significant modeling challenges. Existing solutions often rely on a pre-alignment strategy to normalize data, which can distort intrinsic patterns and escalate computational and memory demands. Addressing these limitations, we introduce STRGCN, a Spatio-Temporal Relational Graph Convolutional Network that avoids pre-alignment and directly captures the complex interdependencies in IMTS by representing them as a fully connected graph. Each observation is represented as a node, allowing the model to effectively handle misaligned timestamps by mapping all inter-node relationships, thus faithfully preserving the asynchronous nature of the data. Moreover, we enhance this model with a hierarchical ``Sandwich'' structure that strategically aggregates nodes to optimize graph embeddings, reducing computational overhead while maintaining detailed local and global context. Extensive experiments on four public datasets demonstrate that STRGCN achieves state-of-the-art accuracy, competitive memory usage and training speed.
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