用独立卷积捕捉多变量时间序列局部变化,提升预测精度
IConv: Focusing on Local Variation with Channel Independent Convolution for Multivariate Time Series Forecasting
- 通道独立卷积分别处理各变量时序依赖,适应不同分布
- 结合MLP趋势建模与大核CNN局部特征提取,显著提升性能
- 适合具有复杂季节性和残差模式的工业/金融时间序列预测
现实世界的时间序列数据常表现出非平稳性,包括趋势变化、不规则季节性和残差。尽管基于多层感知机(MLP)的模型因计算高效且能捕捉长期依赖而表现优异,但其线性结构在处理分布各异的通道时存在局限,难以建模如季节模式和残差等局部变化。相比之下,卷积神经网络(CNN)能更有效地捕捉这些细节。为此,本文提出将MLP与CNN结合:用MLP建模整体趋势,用CNN通过多样化卷积核捕捉与趋势预测协同的细粒度局部模式。为聚焦局部变化,提出IConv——一种新型卷积架构,实现通道独立处理以建模多样化的局部时序依赖,并采用大核尺寸;同时通过独立的跨通道层降低计算开销。在多个时间序列数据集上的实验验证了该方法在多变量时间序列预测中的优越性。
原文摘要 · Abstract (English)
Real-world time-series data often exhibit non-stationarity, including changing trends, irregular seasonality, and residuals. In terms of changing trends, recently proposed multi-layer perceptron (MLP)-based models have shown excellent performance owing to their computational efficiency and ability to capture long-term dependency. However, the linear nature of MLP architectures poses limitations when applied to channels with diverse distributions, resulting in local variations such as seasonal patterns and residual components being ignored. However, convolutional neural networks (CNNs) can effectively incorporate these variations. To resolve the limitations of MLP, we propose combining them with CNNs. The overall trend is modeled using an MLP to consider long-term dependencies. The CNN uses diverse kernels to model fine-grained local patterns in conjunction with MLP trend predictions. To focus on modeling local variation, we propose IConv, a novel convolutional architecture that processes the temporal dependency channel independently and considers the inter-channel relationship through distinct layers. Independent channel processing enables the modeling of diverse local temporal dependencies and the adoption of a large kernel size. Distinct inter-channel considerations reduce computational cost. The proposed model is evaluated through extensive experiments on time-series datasets. The results reveal the superiority of the proposed method for multivariate time-series forecasting.
Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品;中文卡片由大模型生成,请以原文为准。