Adaptive Multi-Scale Decomposition Framework for Time Series Forecasting

Yifan Hu, Peiyuan Liu, Peng Zhu, Dawei Cheng, Tao Dai

Abstract: Transformer-based and MLP-based methods have emerged as leading approaches in time series forecasting (TSF). However, real-world time series often show different patterns at different scales, and future changes are shaped by the interplay of these overlapping scales, requiring high-capacity models. While Transformer-based methods excel in capturing long-range dependencies, they suffer from high computational complexities and tend to overfit. Conversely, MLP-based methods offer computational efficiency and adeptness in modeling temporal dynamics, but they struggle with capturing temporal patterns with complex scales effectively. Based on the observation of multi-scale entanglement effect in time series, we propose a novel MLP-based Adaptive Multi-Scale Decomposition (AMD) framework for TSF. Our framework decomposes time series into distinct temporal patterns at multiple scales, leveraging the Multi-Scale Decomposable Mixing (MDM) block to dissect and aggregate these patterns. Complemented by the Dual Dependency Interaction (DDI) block and the Adaptive Multi-predictor Synthesis (AMS) block, our approach effectively models both temporal and channel dependencies and utilizes autocorrelation to refine multi-scale data integration. Comprehensive experiments demonstrate our AMD framework not only overcomes the limitations of existing methods but also consistently achieves state-of-the-art performance across various datasets.