arXiv:2511.22853cs.LG2025-11NeurIPS被引 3

用流模型提升VAE生成时间序列效率,一步完成长期预测。

TARFVAE: Efficient One-Step Generative Time Series Forecasting via TARFLOW based VAE

  • 结合Transformer流与VAE,用正向传播实现快速生成。
  • 在多个数据集上优于主流确定性与生成模型,长期预测更优。
  • 适合需要高效概率预测的金融、医疗等场景。

时间序列广泛应用于金融、医疗等领域。尽管生成模型因图像和视频生成进展而受关注,但现有方法多依赖循环生成或反复去噪,导致预测耗时,尤其在长期预测中表现不佳。本文提出TARFVAE,将基于Transformer的自回归流(TARFLOW)与变分自编码器(VAE)结合,实现高效的单步生成式时间序列预测。通过引入TARFLOW模块,突破高斯假设限制,增强潜在空间表达能力,并仅使用正向传播避免反向自回归操作,实现快速生成。生成时直接从先验潜变量采样,经VAE解码器输出全时域预测。仅用简单MLP结构,TARFVAE在多个基准数据集上超越当前最优确定性与生成模型,在不同预测时长下均表现优异,验证了其作为高效且强大的生成式时间序列预测方案的有效性。

原文摘要 · Abstract (English)

Time series data is ubiquitous, with forecasting applications spanning from finance to healthcare. Beyond popular deterministic methods, generative models are gaining attention due to advancements in areas like image synthesis and video generation, as well as their inherent ability to provide probabilistic predictions. However, existing generative approaches mostly involve recurrent generative operations or repeated denoising steps, making the prediction laborious, particularly for long-term forecasting. Most of them only conduct experiments for relatively short-term forecasting, with limited comparison to deterministic methods in long-term forecasting, leaving their practical advantages unclear. This paper presents TARFVAE, a novel generative framework that combines the Transformer-based autoregressive flow (TARFLOW) and variational autoencoder (VAE) for efficient one-step generative time series forecasting. Inspired by the rethinking that complex architectures for extracting time series representations might not be necessary, we add a flow module, TARFLOW, to VAE to promote spontaneous learning of latent variables that benefit predictions. TARFLOW enhances VAE's posterior estimation by breaking the Gaussian assumption, thereby enabling a more informative latent space. TARFVAE uses only the forward process of TARFLOW, avoiding autoregressive inverse operations and thus ensuring fast generation. During generation, it samples from the prior latent space and directly generates full-horizon forecasts via the VAE decoder. With simple MLP modules, TARFVAE achieves superior performance over state-of-the-art deterministic and generative models across different forecast horizons on benchmark datasets while maintaining efficient prediction speed, demonstrating its effectiveness as an efficient and powerful solution for generative time series forecasting.

时间序列生成模型VAE高效预测

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