arXiv:2606.09917cs.LG2026-06被引 1

用几何约束提升时间序列预测,让模型更懂变量间动态关系。

SPDM: Geometry-Modulated State Space Modeling with Manifold Constraints for Time Series Forecasting

论文配图:SPDM: Geometry-Modulated State Space Modeling with Manifold Constraints for Time Series Forecasting
图 1 · 摘自论文原文
  • 将变量相关性建模为流形上的连续轨迹,利用几何特性正则化模型。
  • 在11个真实数据集上达到顶尖性能,显著优于现有方法。
  • 适合关注时序建模与几何结构结合的研究者或工业应用者。

多变量时间序列预测需要捕捉交互变量间持续演化的相关结构。现有状态空间模型通过扫描分词后的时空序列处理时间序列,忽略了演化中的几何结构。我们通过引入流形约束来解决这一局限:将跨变量相关结构视为对称正定流形上的连续轨迹,其黎曼几何特征、切空间线性及弗雷歇均值中心性作为原理性的几何正则项,引导并稳定状态空间模型的选择性扫描动态。我们提出SPDM,一种几何感知的状态空间架构,通过两个协同机制实现该原则:一是流形轨迹路径,将动态演化的协方差矩阵从对称正定流形投影到欧氏切空间;二是几何门控机制,直接根据流形轨迹导出的几何信号调制状态空间模型内部的选择性参数。参数化设计保持了Mamba并行扫描的线性时间复杂度,同时嵌入丰富的结构约束,使架构在保持预测精度的同时兼具计算效率。在11个真实世界基准数据集上的广泛实验表明其达到最先进性能,进一步研究证实几何约束的状态空间动态是其性能提升的主要因素。

原文摘要 · Abstract (English)

Multivariate time series forecasting requires capturing the continuously evolving correlation structure among interacting variables. Existing state-space models process time series by scanning tokenized temporal or spatial sequences, discarding the evolutionary geometric structure. We address this limitation by introducing manifold constraints into state-space modeling: treating the cross-variable correlation structure as a continuous trajectory on the symmetric positive definite manifold, whose Riemannian geometric features, tangent space linearity, and Frechet mean centrality act as a principled geometric regularizer that guides and stabilizes the selective scanning dynamics of SSMs. We propose SPDM, a geometry-aware SSM architecture that realizes this principle through two cooperating mechanisms: a manifold trajectory path that projects dynamically evolving covariance matrices from the SPD manifold to a Euclidean tangent space, and a geometric gating scheme that directly modulates SSM's internal selective parameters based on geometric signals derived from the manifold trajectory. The parameterization preserves the linear-time complexity of the Mamba parallel scan while embedding rich structural constraints, making the architecture preserve prediction accuracy and computational efficiency simultaneously. Extensive experiments on eleven real-world benchmark datasets establish state-of-the-art forecasting performance, and further studies confirm that geometrically constrained state-space dynamics are the dominant architectural factor behind its performance gains.

时间序列状态空间几何建模流形

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