提出KAFNet模型,用高效方法重振零填充对齐技术,提升异步多变量时间序列预测性能。
Revitalizing Canonical Pre-Alignment for Irregular Multivariate Time Series Forecasting
- 基于原始零填充对齐,通过卷积与频域注意力优化处理稀疏序列
- 参数量减少7.2倍,训练推理速度提升8.4倍,性能超越现有基线
- 适合需要高效率和强跨变量关联建模的工业级时间序列场景
不规则多变量时间序列(IMTS)因采样不均与变量异步性,广泛应用于各类预测任务,但建模效率仍具挑战。经典预对齐方法(CPA)在全局时间戳上补零以缓解异步并统一序列长度,但密集零填充显著拉长序列,带来巨大计算开销。近期图模型虽避开CPA,依赖分块策略,却难以捕捉全局变量间相关性。本文主张保留CPA,并由模型有效处理预对齐序列,实现性能超越当前图基基线。提出KAFNet:融合预卷积模块平滑序列并缓解稀疏性;时序核聚合模块学习压缩并建模序列内不规则性;频率线性注意力块在频域低开销建模跨序列相关性。在多个IMTS数据集上的实验表明,KAFNet达到领先性能,参数量减少7.2倍,训练与推理加速8.4倍。
原文摘要 · Abstract (English)
Irregular multivariate time series (IMTS), characterized by uneven sampling and inter-variate asynchrony, fuel many forecasting applications yet remain challenging to model efficiently. Canonical Pre-Alignment (CPA) has been widely adopted in IMTS modeling by padding zeros at every global timestamp, thereby alleviating inter-variate asynchrony and unifying the series length, but its dense zero-padding inflates the pre-aligned series length, especially when numerous variates are present, causing prohibitive compute overhead. Recent graph-based models with patching strategies sidestep CPA, but their local message passing struggles to capture global inter-variate correlations. Therefore, we posit that CPA should be retained, with the pre-aligned series properly handled by the model, enabling it to outperform state-of-the-art graph-based baselines that sidestep CPA. Technically, we propose KAFNet, a compact architecture grounded in CPA for IMTS forecasting that couples (1) Pre-Convolution module for sequence smoothing and sparsity mitigation, (2) Temporal Kernel Aggregation module for learnable compression and modeling of intra-series irregularity, and (3) Frequency Linear Attention blocks for the low-cost inter-series correlations modeling in the frequency domain. Experiments on multiple IMTS datasets show that KAFNet achieves state-of-the-art forecasting performance, with a 7.2$\times$ parameter reduction and a 8.4$\times$ training-inference acceleration.
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