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Register a new userCAMul: Calibrated and Accurate Multi-view Time-Series Forecasting
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Added by
Harshavardhan Kamarthi
Publication date
2021
fields
Informatics Engineering
and research's language is
English
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Probabilistic time-series forecasting enables reliable decision making across many domains. Most forecasting problems have diverse sources of data containing multiple modalities and structures. Leveraging information as well as uncertainty from these data sources for well-calibrated and accurate forecasts is an important challenging problem. Most previous work on multi-modal learning and forecasting simply aggregate intermediate representations from each data view by simple methods of summation or concatenation and do not explicitly model uncertainty for each data-view. We propose a general probabilistic multi-view forecasting framework CAMul, that can learn representations and uncertainty from diverse data sources. It integrates the knowledge and uncertainty from each data view in a dynamic context-specific manner assigning more importance to useful views to model a well-calibrated forecast distribution. We use CAMul for multiple domains with varied sources and modalities and show that CAMul outperforms other state-of-art probabilistic forecasting models by over 25% in accuracy and calibration.
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Multi-variate time series (MTS) data is a ubiquitous class of data abstraction in the real world. Any instance of MTS is generated from a hybrid dynamical system and their specific dynamics are usually unknown. The hybrid nature of such a dynamical system is a result of complex external attributes, such as geographic location and time of day, each of which can be categorized into either spatial attributes or temporal attributes. Therefore, there are two fundamental views which can be used to analyze MTS data, namely the spatial view and the temporal view. Moreover, from each of these two views, we can partition the set of data samples of MTS into disjoint forecasting tasks in accordance with their associated attribute values. Then, samples of the same task will manifest similar forthcoming pattern, which is less sophisticated to be predicted in comparison with the original single-view setting. Considering this insight, we propose a novel multi-view multi-task (MVMT) learning framework for MTS forecasting. Instead of being explicitly presented in most scenarios, MVMT information is deeply concealed in the MTS data, which severely hinders the model from capturing it naturally. To this end, we develop two kinds of basic operations, namely task-wise affine transformation and task-wise normalization, respectively. Applying these two operations with prior knowledge on the spatial and temporal view allows the model to adaptively extract MVMT information while predicting. Extensive experiments on three datasets are conducted to illustrate that canonical architectures can be greatly enhanced by the MVMT learning framework in terms of both effectiveness and efficiency. In addition, we design rich case studies to reveal the properties of representations produced at different phases in the entire prediction procedure.
Time series has wide applications in the real world and is known to be difficult to forecast. Since its statistical properties change over time, its distribution also changes temporally, which will cause severe distribution shift problem to existing methods. However, it remains unexplored to model the time series in the distribution perspective. In this paper, we term this as Temporal Covariate Shift (TCS). This paper proposes Adaptive RNNs (AdaRNN) to tackle the TCS problem by building an adaptive model that generalizes well on the unseen test data. AdaRNN is sequentially composed of two novel algorithms. First, we propose Temporal Distribution Characterization to better characterize the distribution information in the TS. Second, we propose Temporal Distribution Matching to reduce the distribution mismatch in TS to learn the adaptive TS model. AdaRNN is a general framework with flexible distribution distances integrated. Experiments on human activity recognition, air quality prediction, and financial analysis show that AdaRNN outperforms the latest methods by a classification accuracy of 2.6% and significantly reduces the RMSE by 9.0%. We also show that the temporal distribution matching algorithm can be extended in Transformer structure to boost its performance.
Electronic health record (EHR) data is sparse and irregular as it is recorded at irregular time intervals, and different clinical variables are measured at each observation point. In this work, we propose a multi-view features integration learning from irregular multivariate time series data by self-attention mechanism in an imputation-free manner. Specifically, we devise a novel multi-integration attention module (MIAM) to extract complex information inherent in irregular time series data. In particular, we explicitly learn the relationships among the observed values, missing indicators, and time interval between the consecutive observations, simultaneously. The rationale behind our approach is the use of human knowledge such as what to measure and when to measure in different situations, which are indirectly represented in the data. In addition, we build an attention-based decoder as a missing value imputer that helps empower the representation learning of the inter-relations among multi-view observations for the prediction task, which operates at the training phase only. We validated the effectiveness of our method over the public MIMIC-III and PhysioNet challenge 2012 datasets by comparing with and outperforming the state-of-the-art methods for in-hospital mortality prediction.
Time series forecasting is a key component in many industrial and business decision processes and recurrent neural network (RNN) based models have achieved impressive progress on various time series forecasting tasks. However, most of the existing methods focus on single-task forecasting problems by learning separately based on limited supervised objectives, which often suffer from insufficient training instances. As the Transformer architecture and other attention-based models have demonstrated its great capability of capturing long term dependency, we propose two self-attention based sharing schemes for multi-task time series forecasting which can train jointly across multiple tasks. We augment a sequence of paralleled Transformer encoders with an external public multi-head attention function, which is updated by all data of all tasks. Experiments on a number of real-world multi-task time series forecasting tasks show that our proposed architectures can not only outperform the state-of-the-art single-task forecasting baselines but also outperform the RNN-based multi-task forecasting method.
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.
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