针对不规则多变量时间序列在线预测,提出不确定性驱动的双专家校准框架。
Online Irregular Multivariate Time Series Forecasting via Uncertainty-Driven Dual-Expert Calibration

- 通过不确定性评估动态分配样本至可靠/不可靠专家
- 在多个基准上实现稳定提升且计算开销低
- 适合需要持续在线学习的实时系统场景
不规则多变量时间序列(IMTS)预测在诸多实际应用中至关重要,其特点是采样不规则且缺失模式动态变化。现有方法在离线设置下表现良好,但在在线部署时因数据分布动态漂移导致性能显著下降。为应对这一挑战,本文研究在线IMTS预测问题,提出Under-Cali:一种基于不确定性的双专家校准框架,包含三个核心组件:不确定性估计器、双专家校准模块与自适应路由模块。不确定性估计器作为核心控制信号,联合管理推理与适应过程。对每个输入批次,先评估不确定性;高不确定性样本被路由至不可靠专家进行校准,低不确定性样本则保留在可靠专家处。随后,系统使用校准后的可靠样本更新可靠专家与不确定性估计器,用挑战性样本更新不可靠专家,实现稳定高效的在线学习。Under-Cali保持源模型冻结,仅通过轻量级、模型无关的校准模块进行适应,具备高效性。在多个IMTS基准上的大量实验表明,该方法性能持续提升且计算成本低。代码已开源:https://github.com/HaonanWen/Under-Cali。
原文摘要 · Abstract (English)
Irregular multivariate time series forecasting is critical in many real-world applications, where time series are irregularly sampled and exhibit dynamically evolving missingness patterns. Although existing methods perform well in offline settings, they often suffer from significant performance degradation when deployed online due to dynamic shifts in data distribution. Maintaining forecasting capability in such dynamic scenarios typically necessitates online adaptation techniques. Since irregular sampling fundamentally undermines temporal continuity and periodicity, we cannot leverage these widely studied characteristics from regular MTS for online learning. To this end, we study the problem of online IMTS forecasting and propose Under-Cali, an uncertainty-driven dual-expert calibration framework consisting of three core components: an uncertainty estimator, a dual-expert calibration module, and an adaptive routing module. We design an uncertainty estimator that serves as the core control signal to jointly manage inference and adaptation processes. In our framework, the uncertainty estimator first assesses uncertainty for each incoming batch. The adaptive routing module then directs samples with high uncertainty to the unreliable expert for calibration, while low uncertainty samples remain with the reliable expert. Subsequently, the system updates the reliable expert and the uncertainty estimator using well-calibrated reliable samples, and updates the unreliable expert with challenging samples, enabling stable and efficient online learning. Under-Cali keeps the source forecasting model frozen and performs adaptation only through a lightweight, model-agnostic calibration module, enabling efficient adaptation. Extensive experiments on IMTS benchmarks demonstrate consistent improvements with low computational cost. Our code is available at https://github.com/HaonanWen/Under-Cali.
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