ARM: Refining Multivariate Forecasting with Adaptive Temporal-Contextual Learning

Published: 16 Jan 2024, Last Modified: 11 Mar 2024ICLR 2024 posterEveryoneRevisionsBibTeX
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Keywords: Time Series Forecasting, Transformer, Multivariate Time Series
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Abstract: Long-term time series forecasting (LTSF) is important for various domains but is confronted by challenges in handling the complex temporal-contextual relationships. As multivariate input models underperforming some recent univariate counterparts, we posit that the issue lies in the inefficiency of existing multivariate LTSF Transformers to model series-wise relationships: the characteristic differences between series are often captured incorrectly. To address this, we introduce ARM: a multivariate temporal-contextual adaptive learning method, which is an enhanced architecture specifically designed for multivariate LTSF modelling. ARM employs Adaptive Univariate Effect Learning (**A**UEL), Random Dropping (**R**D) training strategy, and Multi-kernel Local Smoothing (**M**KLS), to better handle individual series temporal patterns and correctly learn inter-series dependencies. ARM demonstrates superior performance on multiple benchmarks without significantly increasing computational costs compared to vanilla Transformer, thereby advancing the state-of-the-art in LTSF. ARM is also generally applicable to other LTSF architecture beyond vanilla Transformer.
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Primary Area: unsupervised, self-supervised, semi-supervised, and supervised representation learning
Submission Number: 2891