arXiv:2505.14737cs.LGcs.AI2025-05被引 4

提出长时序多变量历史表征框架,提升时间序列预测精度。

Leveraging Multivariate Long-Term History Representation for Time Series Forecasting

  • 用分段上下文编码器提取长期历史特征,降噪并保留关键模式
  • 非参数层级检索器无训练地选出最相关的历史表示,提升效率
  • 适合处理快速变化的复杂时间序列,尤其在高波动场景表现优异

多变量时间序列(MTS)预测在工业与学术领域应用广泛。近年来,时空图神经网络(STGNN)在建模时空相关性方面取得显著进展,但受限于计算复杂度,多数方法仅关注短期和局部依赖。尽管部分方法尝试引入单变量历史信息,仍忽视了跨变量的长期时空相似性与相关性,而这些是精准预测的关键。为此,本文提出长时序多变量历史表征(LMHR)增强型STGNN框架。具体包括:长时历史编码器(LHEncoder)将长期历史编码为分段上下文表示,降低点级噪声;非参数层级表示检索器(HRetriever)在建模长期时空依赖时融入空间信息,并无需额外训练即可选取最有价值表示;基于Transformer的聚合器(TAggregator)利用排序位置嵌入,高效融合稀疏检索到的上下文表示。实验表明,LMHR在多个真实数据集上,平均预测范围下优于典型STGNN 10.72%,优于当前先进方法4.12%;在数据集中波动最剧烈的前10%模式上,预测准确率提升9.8%。

原文摘要 · Abstract (English)

Multivariate Time Series (MTS) forecasting has a wide range of applications in both industry and academia. Recent advances in Spatial-Temporal Graph Neural Network (STGNN) have achieved great progress in modelling spatial-temporal correlations. Limited by computational complexity, most STGNNs for MTS forecasting focus primarily on short-term and local spatial-temporal dependencies. Although some recent methods attempt to incorporate univariate history into modeling, they still overlook crucial long-term spatial-temporal similarities and correlations across MTS, which are essential for accurate forecasting. To fill this gap, we propose a framework called the Long-term Multivariate History Representation (LMHR) Enhanced STGNN for MTS forecasting. Specifically, a Long-term History Encoder (LHEncoder) is adopted to effectively encode the long-term history into segment-level contextual representations and reduce point-level noise. A non-parametric Hierarchical Representation Retriever (HRetriever) is designed to include the spatial information in the long-term spatial-temporal dependency modelling and pick out the most valuable representations with no additional training. A Transformer-based Aggregator (TAggregator) selectively fuses the sparsely retrieved contextual representations based on the ranking positional embedding efficiently. Experimental results demonstrate that LMHR outperforms typical STGNNs by 10.72% on the average prediction horizons and state-of-the-art methods by 4.12% on several real-world datasets. Additionally, it consistently improves prediction accuracy by 9.8% on the top 10% of rapidly changing patterns across the datasets.

时间序列图神经网络长期依赖预测

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