arXiv:2606.02138cs.LGcs.AI2026-06

提出新模型提升时间序列预测在异常情况下的可靠性。

VLBM: Variational Latent Basis Modeling for OOD Robust Multivariate Time Series Forecasting

论文配图:VLBM: Variational Latent Basis Modeling for OOD Robust Multivariate Time Series Forecasting
图 1 · 摘自论文原文
  • 分离稳定动态与异常偏差,用潜在基学习核心模式。
  • 在12个真实数据集上平均误差降低15.08%(MAE)。
  • 适合需要高鲁棒性的交通、电力等关键系统部署。

多变量时间序列预测中的分布外(OOD)事件虽罕见但常导致重大风险,使常规平均性能评估不足。标准混合分布训练中,频繁的分布内(ID)模式会掩盖稀少的OOD信号,导致基准准确率无法反映实际可靠性。为此,我们提出变分潜在基模型(VLBM),一种理论指导的潜在预测框架,可分离稳定动态与由OOD引发的偏差。VLBM学习共享潜在基,定义低秩子空间表征稳定ID动态,将输入显式分解为基空间分量与正交残差分量,并对齐未来感知后验与未来无感先验,使测试时潜在推断仅依赖历史输入。在涵盖交通、气象、电力等领域的12个基准任务(含新构建的真实世界交通OOD数据集)上,VLBM实现最优的OOD鲁棒性与ID精度,相比最强基线平均降低15.08%(MAE)和7.74%(MSE)。在合成仿真数据集上,也持续表现最佳,更精准追踪OOD脉冲恢复。结果验证了潜在结构化预测在混合ID/OOD条件下的稳健性。代码已开源:https://github.com/leijieruilq/VLBM_OOD_forecast。

原文摘要 · Abstract (English)

Out of distribution (OOD) events in multivariate time series forecasting are rare but often dominate real world risk, making average case forecasting insufficient for reliable deployment. Under standard average risk training on mixed ID/OOD distributions, optimization signals from rare OOD events can be overwhelmed by frequent in distribution (ID) patterns, so strong benchmark accuracy may not translate into reliability under high impact shifts. To address this issue, we propose VLBM (Variational Latent Basis Model), a theory guided latent forecasting framework that separates stable dynamics from OOD induced deviations. VLBM learns a shared latent basis that defines a low rank subspace for stable ID dynamics, explicitly decomposes inputs into basis subspace components and orthogonal residual components, and aligns a future aware posterior with a future blind prior so that test time latent inference depends only on historical input. Across 12 benchmark tasks spanning transportation, weather, power systems, and other real world domains, including newly constructed real world OOD traffic datasets, VLBM achieves state of the art OOD robustness and ID accuracy, with average MAE and MSE gains of 15.08\% and 7.74\% over the strongest baseline. On a synthetic simulation dataset, VLBM also consistently achieves the best performance and better tracks OOD pulse recovery. These results support latent structured forecasting as a principled route to robust prediction under mixed ID and OOD conditions. The code is available at https://github.com/leijieruilq/VLBM_OOD_forecast.

时间序列异常检测鲁棒预测

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