arXiv:2604.16719cs.LG2026-04

Chronax用函数式编程重构时间序列预测,支持高效并行与不确定性量化。

Chronax: A Jax Library for Univariate Statistical Forecasting and Conformal Inference

论文配图:Chronax: A Jax Library for Univariate Statistical Forecasting and Conformal Inference
图 1 · 摘自论文原文
  • 将预处理、建模、多步预测转为纯JAX函数,实现可组合的无状态计算
  • 支持大规模多序列预测与模型无关的置信区间估计,提升推理效率
  • 适合需要高性能、可扩展预测系统的科研与工业用户

时间序列预测在能源系统、气候建模、金融和零售等领域至关重要。尽管预测方法已从传统统计模型演进至自动化神经网络,但配套软件生态仍依赖传统的Python数值栈。现有库基于解释器执行和面向对象抽象,限制了组合性、大规模并行和与现代可微分、加速器友好工作流的集成。如今的预测面临大量异构时序数据、不规则协变量和频繁重训练的需求,对可扩展性和执行效率提出新挑战。JAX通过纯函数和程序变换(如即时编译、自动向量化)提供替代范式,实现跨CPU/GPU/TPU的端到端优化。然而该范式尚未被充分融入预测系统设计。我们提出Chronax,一个原生JAX的时间序列预测库,重新构建预测抽象为函数纯净性、可组合变换和加速器就绪执行。通过将预处理、建模和多步预测表示为纯JAX函数,Chronax实现了可扩展的多序列预测、模型无关的置信区间量化,并无缝集成现代机器学习与科学计算流水线。

原文摘要 · Abstract (English)

Time-series forecasting is central to many scientific and industrial domains, such as energy systems, climate modeling, finance, and retail. While forecasting methods have evolved from classical statistical models to automated, and neural approaches, the surrounding software ecosystem remains anchored to the traditional Python numerical stack. Existing libraries rely on interpreter-driven execution and object-oriented abstractions, limiting composability, large-scale parallelism, and integration with modern differentiable and accelerator-oriented workflows. Meanwhile, today's forecasting increasingly involves large collections of heterogeneous time series data, irregular covariates, and frequent retraining, placing new demands on scalability and execution efficiency. JAX offers an alternative paradigm to traditional stateful numerical computation frameworks based on pure functions and program transformations such as just-in-time compilation and automatic vectorization, enabling end-to-end optimization across CPUs, GPUs, and TPUs. However, this modern paradigm has not yet been fully incorporated into the design of forecasting systems. We introduce Chronax, a JAX-native time-series forecasting library that rethinks forecasting abstractions around functional purity, composable transformations, and accelerator-ready execution. By representing preprocessing, modeling, and multi-horizon prediction as pure JAX functions, Chronax enables scalable multi-series forecasting, model-agnostic conformal uncertainty quantification, and seamless integration with modern machine learning and scientific computing pipelines.

时间序列JAX预测置信量化

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