vLinear用线性模型高效预测多变量时间序列,速度提升5倍且精度更高。
vLinear: A Powerful Linear Model for Multivariate Time Series Forecasting
- 用可学习向量建模变量间相关性,复杂度从O(N²)降为O(N)
- 在22个基准上达顶尖性能,推理速度最快提升5倍
- 适合追求高效率与高精度的工业级时序预测场景
本文提出vLinear,一种高效且有效的基于线性模型的多变量时间序列预测方法,包含两个核心组件:vecTrans模块和WFMLoss目标函数。现有先进预测器依赖自注意力或其变体捕捉多变量相关性,计算复杂度随变量数N呈O(N²)增长。为此,我们设计了轻量级的vecTrans模块,利用可学习向量建模多变量相关性,将复杂度降至O(N),并可无缝嵌入Transformer-based模型,实现最高5倍的推理加速与稳定性能提升。此外,提出WFMLoss(加权流匹配损失),不同于传统的以速度为导向的流匹配目标,我们证明以最终序列为导向的公式能显著提升预测精度,并引入路径与预测时长远距离加权策略,聚焦更可靠的学习路径与阶段。实验表明,vLinear在22个基准和124种预测设置中达到当前最优表现;同时,WFMLoss作为即插即用目标,持续改进现有模型。代码已公开于https://anonymous.4open.science/r/vLinear。
原文摘要 · Abstract (English)
In this paper, we present \textbf{vLinear}, an effective yet efficient \textbf{linear}-based multivariate time series forecaster featuring two components: the \textbf{v}ecTrans module and the WFMLoss objective. Many state-of-the-art forecasters rely on self-attention or its variants to capture multivariate correlations, typically incurring $\mathcal{O}(N^2)$ computational complexity with respect to the number of variates $N$. To address this, we propose vecTrans, a lightweight module that utilizes a learnable vector to model multivariate correlations, reducing the complexity to $\mathcal{O}(N)$. Notably, vecTrans can be seamlessly integrated into Transformer-based forecasters, delivering up to 5$\times$ inference speedups and consistent performance gains. Furthermore, we introduce WFMLoss (Weighted Flow Matching Loss) as the objective. In contrast to typical \textbf{velocity-oriented} flow matching objectives, we demonstrate that a \textbf{final-series-oriented} formulation yields significantly superior forecasting accuracy. WFMLoss also incorporates path- and horizon-weighted strategies to focus learning on more reliable paths and horizons. Empirically, vLinear achieves state-of-the-art performance across 22 benchmarks and 124 forecasting settings. Moreover, WFMLoss serves as an effective plug-and-play objective, consistently improving existing forecasters. The code is available at https://anonymous.4open.science/r/vLinear.
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