Multi-Scale Adaptive Graph Neural Network for Multivariate Time Series Forecasting

Multivariate time series (MTS) forecasting plays an important role in the automation and optimization of intelligent applications. It is a challenging task, as we need to consider both complex intra-variable dependencies and inter-variable dependencies. Existing works only learn temporal patterns with the help of single inter-variable dependencies. However, there are multi-scale temporal patterns in many real-world MTS. Single inter-variable dependencies make the model prefer to learn one type of prominent and shared temporal patterns. In this paper, we propose a multi-scale adaptive graph neural network (MAGNN) to address the above issue. MAGNN exploits a multi-scale pyramid network to preserve the underlying temporal dependencies at different time scales. Since the inter-variable dependencies may be different under distinct time scales, an adaptive graph learning module is designed to infer the scale-specific inter-variable dependencies without pre-defined priors. Given the multi-scale feature representations and scale-specific inter-variable dependencies, a multi-scale temporal graph neural network is introduced to jointly model intra-variable dependencies and inter-variable dependencies. After that, we develop a scale-wise fusion module to effectively promote the collaboration across different time scales, and automatically capture the importance of contributed temporal patterns. Experiments on four real-world datasets demonstrate that MAGNN outperforms the state-of-the-art methods across various settings.

Scale-Aware Neural Architecture Search for Multivariate Time Series Forecasting

Multivariate time series (MTS) forecasting has attracted much attention in many intelligent applications. It is not a trivial task, as we need to consider both intra-variable dependencies and inter-variable dependencies. However, existing works are designed for specific scenarios, and require much domain knowledge and expert efforts, which is difficult to transfer between different scenarios. In this paper, we propose a scale-aware neural architecture search framework for MTS forecasting (SNAS4MTF). A multi-scale decomposition module transforms raw time series into multi-scale sub-series, which can preserve multi-scale temporal patterns. An adaptive graph learning module infers the different inter-variable dependencies under different time scales without any prior knowledge. For MTS forecasting, a search space is designed to capture both intra-variable dependencies and inter-variable dependencies at each time scale. The multi-scale decomposition, adaptive graph learning, and neural architecture search modules are jointly learned in an end-to-end framework. Extensive experiments on two real-world datasets demonstrate that SNAS4MTF achieves a promising performance compared with the state-of-the-art methods.

Learning from Multiple Time Series: A Deep Disentangled Approach to Diversified Time Series Forecasting

Time series forecasting is a significant problem in many applications, e.g., financial predictions and business optimization. Modern datasets can have multiple correlated time series, which are often generated with global (shared) regularities and local (specific) dynamics. In this paper, we seek to tackle such forecasting problems with DeepDGL, a deep forecasting model that disentangles dynamics into global and local temporal patterns. DeepDGL employs an encoder-decoder architecture, consisting of two encoders to learn global and local temporal patterns, respectively, and a decoder to make multi-step forecasting. Specifically, to model complicated global patterns, the vector quantization (VQ) module is introduced, allowing the global feature encoder to learn a shared codebook among all time series. To model diversified and heterogenous local patterns, an adaptive parameter generation module enhanced by the contrastive multi-horizon coding (CMC) is proposed to generate the parameters of the local feature encoder for each individual time series, which maximizes the mutual information between the series-specific context variable and the long/short-term representations of the corresponding time series. Our experiments on several real-world datasets show that DeepDGL outperforms existing state-of-the-art models.