通用时间序列模型架构已饱和,该转向领域专用或元学习方法。
Position: The Inevitable End of One-Architecture-Fits-All-Domains in Time Series Forecasting
- 指出通用模型在多领域间存在性能与泛化不可兼得的矛盾
- 实证显示近年通用模型性能已达瓶颈,难以提升
- 建议研究者聚焦特定领域或发展元学习以突破瓶颈
近期研究质疑了神经网络架构在时间序列预测任务中的有效性和鲁棒性。本文系统总结了这些质疑,并深入分析其根本局限:即单个(或少数相似)领域最优表现与跨通用领域泛化能力之间的不可调和矛盾。此外,面向通用领域的时间序列神经网络架构日趋复杂,近年来性能几乎达到饱和。结果导致为通用领域设计的模型对金融、气象、交通等特定领域而言已缺乏实际启发,各领域均独立发展自身方法,极少借鉴近2-3年时间序列社区的架构进展。因此,我们呼吁时间序列研究界停止对通用领域神经网络架构的过度投入——此类研究已趋于饱和且远离特定领域的最新水平。未来应转向两类方向:一是针对特定领域开发深度学习方法;二是探索适用于通用领域的元学习方法。
原文摘要 · Abstract (English)
Recent work has questioned the effectiveness and robustness of neural network architectures for time series forecasting tasks. We summarize these concerns and analyze groundly their inherent limitations: i.e. the irreconcilable conflict between single (or few similar) domains SOTA and generalizability over general domains for time series forecasting neural network architecture designs. Moreover, neural networks architectures for general domain time series forecasting are becoming more and more complicated and their performance has almost saturated in recent years. As a result, network architectures developed aiming at fitting general time series domains are almost not inspiring for real world practices for certain single (or few similar) domains such as Finance, Weather, Traffic, etc: each specific domain develops their own methods that rarely utilize advances in neural network architectures of time series community in recent 2-3 years. As a result, we call for the time series community to shift focus away from research on time series neural network architectures for general domains: these researches have become saturated and away from domain-specific SOTAs over time. We should either (1) focus on deep learning methods for certain specific domain(s), or (2) turn to the development of meta-learning methods for general domains.
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