Dynamic Hypergraph Structure Learning for Multivariate Time Series Forecasting

Shun Wang, Yong Zhang, Xuanqi Lin, Yongli Hu, Qingming Huang, Baocai Yin

Abstract: Multivariate time series forecasting plays an important role in many domain applications, such as air pollution forecasting and traffic forecasting. Modeling the complex dependencies among time series is a key challenging task in multivariate time series forecasting. Many previous works have used graph structures to learn inter-series correlations, which have achieved remarkable performance. However, graph networks can only capture spatio-temporal dependencies between pairs of nodes, which cannot handle high-order correlations among time series. We propose a Dynamic Hypergraph Structure Learning model (DHSL) to solve the above problems. We generate dynamic hypergraph structures from time series data using the K-Nearest Neighbors method. Then a dynamic hypergraph structure learning module is used to optimize the hypergraph structure to obtain more accurate high-order correlations among nodes. Finally, the hypergraph structures dynamically learned are used in the spatio-temporal hypergraph neural network. We conduct experiments on six real-world datasets. The prediction performance of our model surpasses existing graph network-based prediction models. The experimental results demonstrate the effectiveness and competitiveness of the DHSL model for multivariate time series forecasting.