用离线聚类提取时间模式,实现高效精准多变量预测
Accurate and Efficient Multivariate Time Series Forecasting via Offline Clustering
- 离线聚类生成时间片段原型,简化长程依赖建模
- 在线推理时仅需线性计算,复杂度从平方降至线性
- 适用于交通、气象等需快速高精度预测的场景
准确高效的多变量时间序列(MTS)预测对交通管理、天气预报等应用至关重要,依赖于捕捉长期时间依赖性和实体间交互。现有基于Transformer的方法在所有时间步上计算成对依赖,导致计算复杂度随输入长度呈平方增长。为此,我们提出一种新方法FOCUS:通过离线聚类提取时间片段的原型,这些原型概括了真实系统中的高层次事件,总结了相似时间片段的关键特征。在线阶段,FOCUS动态适配当前输入与这些高阶事件之间的依赖关系,实现精准且高效的预测。由于在离线阶段已识别出原型,在线阶段长程依赖建模的复杂度降为线性。在多个基准测试上的实验表明,FOCUS在保持最先进准确率的同时显著降低计算成本。
原文摘要 · Abstract (English)
Accurate and efficient multivariate time series (MTS) forecasting is essential for applications such as traffic management and weather prediction, which depend on capturing long-range temporal dependencies and interactions between entities. Existing methods, particularly those based on Transformer architectures, compute pairwise dependencies across all time steps, leading to a computational complexity that scales quadratically with the length of the input. To overcome these challenges, we introduce the Forecaster with Offline Clustering Using Segments (FOCUS), a novel approach to MTS forecasting that simplifies long-range dependency modeling through the use of prototypes extracted via offline clustering. These prototypes encapsulate high-level events in the real-world system underlying the data, summarizing the key characteristics of similar time segments. In the online phase, FOCUS dynamically adapts these patterns to the current input and captures dependencies between the input segment and high-level events, enabling both accurate and efficient forecasting. By identifying prototypes during the offline clustering phase, FOCUS reduces the computational complexity of modeling long-range dependencies in the online phase to linear scaling. Extensive experiments across diverse benchmarks demonstrate that FOCUS achieves state-of-the-art accuracy while significantly reducing computational costs.
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