ETSformer: Exponential Smoothing Transformers for Time-series Forecasting

Gerald Woo, Chenghao Liu, Doyen Sahoo, Akshat Kumar, Steven Hoi

Keywords: time-series, forecasting, transformer, decomposition, season-trend, interpretable

Abstract: Transformers have recently been actively studied for time-series forecasting. While often showing promising results in various scenarios, traditional Transformers are not designed to fully exploit the characteristics of time-series data and thus suffer some fundamental limitations, e.g., they are generally not decomposable or interpretable, and are neither effective nor efficient for long-term forecasting. In this paper, we propose ETSformer, a novel time-series Transformer architecture, which exploits the principle of exponential smoothing methods in improving Transformers for time-series forecasting. Specifically, ETSformer leverages a novel level-growth-seasonality decomposed Transformer architecture which leads to more interpretable and disentangled decomposed forecasts. We further propose two novel attention mechanisms -- the exponential smoothing attention and frequency attention, which are specially designed to overcome the limitations of the vanilla attention mechanism for time-series data. Extensive experiments on various time-series benchmarks validate the efficacy and advantages of the proposed method. Code is attached in the supplementary material, and will be made publicly available.

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TL;DR: We propose an interpretable Transformer architecture which decomposes forecasts into level, growth, and seasonality components.