TDSTF: Transformer-based Diffusion probabilistic model for Sparse Time series Forecasting

Time series probabilistic forecasting with multi-dimensional and sporadic data (known as sparse data) has potential to implement monitoring kinds of physiological indices of patients in Intensive Care Unit (ICU). In this paper, we propose Transformer-based Diffusion probabilistic model for Sparse Time series Forecasting (TDSTF), a new model to predict distribution of highly sparse time series. There are many works that focus on probabilistic forecasting, but few of them avoid noise that come from extreme sparsity of data. We take advantage of Triplet, a data organization that represents sparse time series in a much efficient way, for our model to bypass data redundancy in the traditional matrix form. The proposed model performed better on MIMIC-III ICU dataset than the current state-of-the-art probabilistic forecasting models. We obtained normalized average continuous ranked probability score (CRPS) of $\mathbf{0.4379}$, and mean squared error (MSE) of $\mathbf{0.4008}$ when adopting the median of the model samplings as the deterministic forecasting. Our code is provided at https://github.com/PingChang818/TDSTF.