通过图一致性机制联合建模时间与通道相关性,提升带外部变量的时间序列预测精度。
GCGNet: Graph-Consistent Generative Network for Time Series Forecasting with Exogenous Variables
- 用变分生成器初猜结果,再通过图结构对齐优化相关性一致性。
- 在12个真实数据集上优于现有方法,尤其在噪声环境下表现更鲁棒。
- 适合需要高精度预测且有外部变量的工业场景,如气象、金融等。
外部变量为预测内生变量未来值提供了重要补充信息。带有外部变量的时间序列预测需同时考虑过去到未来的依赖关系(即时间相关性)以及外部变量对内生变量的影响(即通道相关性)。当未来外部变量可得时,其可能直接影响未来内生变量,这一问题尤为关键。尽管已有诸多方法研究此类预测,但大多采用分步策略,分别建模时间与通道相关性,限制了对时空联合相关性的捕捉能力。此外,现实场景中时间序列常受多种噪声影响,因此相关性建模的鲁棒性至关重要。为此,我们提出GCGNet:一种用于带外部变量时间序列预测的图一致性生成网络。首先,使用变分生成器生成粗略预测;接着,通过图结构对齐器评估生成结果与真实相关性之间的图一致性,其中相关性以图形式表示,具备抗噪能力;最后,引入图精修模块防止退化并提升精度。在12个真实世界数据集上的大量实验表明,GCGNet显著优于现有最先进基线方法。
原文摘要 · Abstract (English)
Exogenous variables offer valuable supplementary information for predicting future endogenous variables. Forecasting with exogenous variables needs to consider both past-to-future dependencies (i.e., temporal correlations) and the influence of exogenous variables on endogenous variables (i.e., channel correlations). This is pivotal when future exogenous variables are available, because they may directly affect the future endogenous variables. Many methods have been proposed for time series forecasting with exogenous variables, focusing on modeling temporal and channel correlations. However, most of them use a two-step strategy, modeling temporal and channel correlations separately, which limits their ability to capture joint correlations across time and channels. Furthermore, in real-world scenarios, time series are frequently affected by various forms of noises, underscoring the critical importance of robustness in such correlations modeling. To address these limitations, we propose GCGNet, a Graph-Consistent Generative Network for time series forecasting with exogenous variables. Specifically, GCGNet first employs a Variational Generator to produce coarse predictions. A Graph Structure Aligner then further guides it by evaluating the consistency between the generated and true correlations, where the correlations are represented as graphs, and are robust to noises. Finally, a Graph Refiner is proposed to refine the predictions to prevent degeneration and improve accuracy. Extensive experiments on 12 real-world datasets demonstrate that GCGNet outperforms state-of-the-art baselines.
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