XLinear用轻量MLP模型高效融合时序与外部变量信息,提升长期预测精度。
XLinear: A Lightweight and Accurate MLP-Based Model for Long-Term Time Series Forecasting with Exogenous Inputs
- 以主变量为枢纽,通过MLP建模时序与外部变量的双向依赖关系。
- 在7个基准和5个真实数据集上,精度优于主流模型且计算开销更低。
- 适合外部数据成本低、影响显著的长期预测场景,如气象或水温预测。
尽管长期时间序列预测模型普遍假设变量重要性均等,但现实应用中常存在不对称因果关系与不同数据采集成本。例如,低成本的局部天气数据可单向影响湖泊表层温度等内生变量。利用这些关联,在外部输入可用时可实现更优预测。基于Transformer的模型虽能捕捉长程依赖,但计算开销大且存在置换不变性问题;基于补丁的变体虽提升效率,却可能遗漏局部时序模式。为此,本文提出XLinear,一种基于多层感知机(MLP)的轻量级时间序列预测模型。XLinear以一个内生变量生成全局令牌作为枢纽,与外部变量交互,并采用带Sigmoid激活的MLP同时提取时序模式与变量间依赖关系。其预测头整合这些信号以预测内生序列。我们在七个标准基准和五个含外部输入的真实数据集上评估了XLinear。相比现有最先进模型,XLinear在多变量和受外部变量影响的单变量预测中均表现出更优的准确性与效率。
原文摘要 · Abstract (English)
Despite the prevalent assumption of uniform variable importance in long-term time series forecasting models, real world applications often exhibit asymmetric causal relationships and varying data acquisition costs. Specifically, cost-effective exogenous data (e.g., local weather) can unilaterally influence dynamics of endogenous variables, such as lake surface temperature. Exploiting these links enables more effective forecasts when exogenous inputs are readily available. Transformer-based models capture long-range dependencies but incur high computation and suffer from permutation invariance. Patch-based variants improve efficiency yet can miss local temporal patterns. To efficiently exploit informative signals across both the temporal dimension and relevant exogenous variables, this study proposes XLinear, a lightweight time series forecasting model built upon MultiLayer Perceptrons (MLPs). XLinear uses a global token derived from an endogenous variable as a pivotal hub for interacting with exogenous variables, and employs MLPs with sigmoid activation to extract both temporal patterns and variate-wise dependencies. Its prediction head then integrates these signals to forecast the endogenous series. We evaluate XLinear on seven standard benchmarks and five real-world datasets with exogenous inputs. Compared with state-of-the-art models, XLinear delivers superior accuracy and efficiency for both multivariate forecasts and univariate forecasts influenced by exogenous inputs.
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