用傅里叶域建模时间序列,更好捕捉周期与长期依赖。
Modeling Time Series Dynamics with Fourier Ordinary Differential Equations
- 将时间序列转到频域,用傅里叶变换发现隐藏周期模式。
- 引入可学习的逐元素滤波器,提升离散观测下的精度。
- 适合需要同时捕捉长短期动态的时序预测任务。
神经微分方程(NODEs)在建模时间序列方面表现出强大能力,但其依赖时域表示,难以捕捉长期依赖和周期结构;且连续模型与离散数据间存在不匹配,导致细节丢失和预测不准。为此,本文提出傅里叶微分方程(FODEs),将时间序列通过快速傅里叶变换(FFT)转入频域,揭示时域中难以察觉的全局模式与周期行为。同时引入可学习的逐元素滤波机制,使连续模型输出与离散观测对齐,保持数据粒度并提升精度。在多个时间序列数据集上的实验表明,FODEs 在准确率和效率上均优于现有方法,能有效捕捉长短周期动态,提供稳健的时间序列建模框架。
原文摘要 · Abstract (English)
Neural ODEs (NODEs) have emerged as powerful tools for modeling time series data, offering the flexibility to adapt to varying input scales and capture complex dynamics. However, they face significant challenges: first, their reliance on time-domain representations often limits their ability to capture long-term dependencies and periodic structures; second, the inherent mismatch between their continuous-time formulation and the discrete nature of real-world data can lead to loss of granularity and predictive accuracy. To address these limitations, we propose Fourier Ordinary Differential Equations (FODEs), an approach that embeds the dynamics in the Fourier domain. By transforming time-series data into the frequency domain using the Fast Fourier Transform (FFT), FODEs uncover global patterns and periodic behaviors that remain elusive in the time domain. Additionally, we introduce a learnable element-wise filtering mechanism that aligns continuous model outputs with discrete observations, preserving granularity and enhancing accuracy. Experiments on various time series datasets demonstrate that FODEs outperform existing methods in terms of both accuracy and efficiency. By effectively capturing both long- and short-term patterns, FODEs provide a robust framework for modeling time series dynamics.
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