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Register a new userAutoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting
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Added by
Haixu Wu
Publication date
2021
fields
Informatics Engineering
and research's language is
English
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Extending the forecasting time is a critical demand for real applications, such as extreme weather early warning and long-term energy consumption planning. This paper studies the textit{long-term forecasting} problem of time series. Prior Transformer-based models adopt various self-attention mechanisms to discover the long-range dependencies. However, intricate temporal patterns of the long-term future prohibit the model from finding reliable dependencies. Also, Transformers have to adopt the spar
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Traffic forecasting influences various intelligent transportation system (ITS) services and is of great significance for user experience as well as urban traffic control. It is challenging due to the fact that the road network contains complex and time-varying spatial-temporal dependencies. Recently, deep learning based methods have achieved promising results by adopting graph convolutional network (GCN) to extract the spatial correlations and recurrent neural network (RNN) to capture the temporal dependencies. However, the existing methods often construct the graph only based on road network connectivity, which limits the interaction between roads. In this work, we propose Geographic and Long term Temporal Graph Convolutional Recurrent Neural Network (GLT-GCRNN), a novel framework for traffic forecasting that learns the rich interactions between roads sharing similar geographic or longterm temporal patterns. Extensive experiments on a real-world traffic state dataset validate the effectiveness of our method by showing that GLT-GCRNN outperforms the state-of-the-art methods in terms of different metrics.
Tabular datasets are ubiquitous in data science applications. Given their importance, it seems natural to apply state-of-the-art deep learning algorithms in order to fully unlock their potential. Here we propose neural network models that represent tabular time series that can optionally leverage their hierarchical structure. This results in two architectures for tabular time series: one for learning representations that is analogous to BERT and can be pre-trained end-to-end and used in downstream tasks, and one that is akin to GPT and can be used for generation of realistic synthetic tabular sequences. We demonstrate our models on two datasets: a synthetic credit card transaction dataset, where the learned representations are used for fraud detection and synthetic data generation, and on a real pollution dataset, where the learned encodings are used to predict atmospheric pollutant concentrations. Code and data are available at https://github.com/IBM/TabFormer.
Recently, pure transformer-based models have shown great potentials for vision tasks such as image classification and detection. However, the design of transformer networks is challenging. It has been observed that the depth, embedding dimension, and number of heads can largely affect the performance of vision transformers. Previous models configure these dimensions based upon manual crafting. In this work, we propose a new one-shot architecture search framework, namely AutoFormer, dedicated to vision transformer search. AutoFormer entangles the weights of different blocks in the same layers during supernet training. Benefiting from the strategy, the trained supernet allows thousands of subnets to be very well-trained. Specifically, the performance of these subnets with weights inherited from the supernet is comparable to those retrained from scratch. Besides, the searched models, which we refer to AutoFormers, surpass the recent state-of-the-arts such as ViT and DeiT. In particular, AutoFormer-tiny/small/base achieve 74.7%/81.7%/82.4% top-1 accuracy on ImageNet with 5.7M/22.9M/53.7M parameters, respectively. Lastly, we verify the transferability of AutoFormer by providing the performance on downstream benchmarks and distillation experiments. Code and models are available at https://github.com/microsoft/AutoML.
Seasonal time series Forecasting remains a challenging problem due to the long-term dependency from seasonality. In this paper, we propose a two-stage framework to forecast univariate seasonal time series. The first stage explicitly learns the long-range time series structure in a time window beyond the forecast horizon. By incorporating the learned long-range structure, the second stage can enhance the prediction accuracy in the forecast horizon. In both stages, we integrate the auto-regressive model with neural networks to capture both linear and non-linear characteristics in time series. Our framework achieves state-of-the-art performance on M4 Competition Hourly datasets. In particular, we show that incorporating the intermediate results generated in the first stage to existing forecast models can effectively enhance their prediction performance.
Forecasting windmill time series is often the basis of other processes such as anomaly detection, health monitoring, or maintenance scheduling. The amount of data generated on windmill farms makes online learning the most viable strategy to follow. Such settings require retraining the model each time a new batch of data is available. However, update the model with the new information is often very expensive to perform using traditional Recurrent Neural Networks (RNNs). In this paper, we use Long Short-term Cognitive Networks (LSTCNs) to forecast windmill time series in online settings. These recently introduced neural systems consist of chained Short-term Cognitive Network blocks, each processing a temporal data chunk. The learning algorithm of these blocks is based on a very fast, deterministic learning rule that makes LSTCNs suitable for online learning tasks. The numerical simulations using a case study with four windmills showed that our approach reported the lowest forecasting errors with respect to a simple RNN, a Long Short-term Memory, a Gated Recurrent Unit, and a Hidden Markov Model. What is perhaps more important is that the LSTCN approach is significantly faster than these state-of-the-art models.
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