反向推断:用未来解释现在,实现更精准的时间序列预测。
Retrodictive Forecasting: A Proof-of-Concept for Exploiting Temporal Asymmetry in Time Series Prediction
- 通过逆向MAP优化,从当前观测反推最可能的未来轨迹。
- 在六个数据集上验证,对不可逆过程预测误差降低17.7%。
- 无需假设因果,适合研究时间不对称性的科研人员。
我们提出一种基于时间不对称性的反向预测范式:不从过去预测未来,而是通过条件变分自编码器(CVAE)的逆向最大后验(MAP)优化,寻找最能解释当前观测的未来状态。该方法基于信息论的时间箭头度量——正向与反向轨迹集合间的对称化KL散度,既提供理论依据,也作为适用性诊断工具。我们在六组时间序列上评估:四个具有可控时间不对称性的合成过程,以及两个ERA5再分析数据集(风速与太阳辐照度)。实验表明:诊断工具正确识别所有案例;学习到的RealNVP归一化流先验在可逆情况优于各向同性高斯基线;在不可逆情况下,反向预测未产生虚假优势,且在可逆案例中表现优于前向基线,尤其在太阳辐照度任务中比前向MLP降低17.7%的均方根误差。该工作系统验证了反向预测在统计时间不可逆时具备可行性。
原文摘要 · Abstract (English)
We propose a retrodictive forecasting paradigm for time series: instead of predicting the future from the past, we identify the future that best explains the observed present via inverse MAP optimization over a Conditional Variational Autoencoder (CVAE). This conditioning is a statistical modeling choice for Bayesian inversion; it does not assert that future events cause past observations. The approach is theoretically grounded in an information-theoretic arrow-of-time measure: the symmetrized Kullback-Leibler divergence between forward and time-reversed trajectory ensembles provides both the conceptual rationale and an operational GO/NO-GO diagnostic for applicability. We implement the paradigm as MAP inference over an inverse CVAE with a learned RealNVP normalizing-flow prior and evaluate it on six time series cases: four synthetic processes with controlled temporal asymmetry and two ERA5 reanalysis datasets (wind speed and solar irradiance). The work makes four contributions: (i) a formal retrodictive inference formulation; (ii) an inverse CVAE architecture; (iii) a model-free irreversibility diagnostic; and (iv) a falsifiable validation protocol with four pre-specified predictions. All pre-specified predictions are empirically supported: the diagnostic correctly classifies all six cases; the learned flow prior improves over an isotropic Gaussian baseline on GO cases; the inverse MAP yields no spurious advantage on time-reversible dynamics; and on irreversible GO cases, it achieves competitive or superior RMSE relative to forward baselines, with a statistically significant 17.7% reduction over a forward MLP on ERA5 solar irradiance. These results provide a structured proof-of-concept that retrodictive forecasting can constitute a viable alternative to conventional forward prediction when statistical time-irreversibility is present and exploitable.
Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品;中文卡片由大模型生成,请以原文为准。