RECOWNs: Probabilistic Circuits for Trustworthy Time Series Forecasting

Nils Thoma, Zhongjie Yu, Fabrizio Ventola, Kristian Kersting

Keywords: time series forecasting, uncertainty, trustworthy, Fourier transform, Whittle likelihood, (Whittle) sum product network, probabilistic circuits, Spectral RNN

TL;DR: We employ a conditional variant of Whittle SPNs to provide uncertainty to time series predictions.

Abstract: Time series forecasting is a relevant task that is performed in several real-world scenarios such as product sales analysis and prediction of energy demand. Given their accuracy performance, currently, Recurrent Neural Networks (RNNs) are the models of choice for this task. Despite their success in time series forecasting, less attention has been paid to make the RNNs trustworthy. For example, RNNs can not naturally provide an uncertainty measure to their predictions. This could be extremely useful in practice in several cases e.g. to detect when a prediction might be completely wrong due to an unusual pattern in the time series. Whittle Sum-Product Networks (WSPNs), prominent deep tractable probabilistic circuits (PCs) for time series, can assist an RNN with providing meaningful probabilities as uncertainty measure. With this aim, we propose RECOWN, a novel architecture that employs RNNs and a discriminant variant of WSPNs called Conditional WSPNs (CWSPNs). We also formulate a Log-Likelihood Ratio Score as better estimation of uncertainty that is tailored to time series and Whittle likelihoods. In our experiments, we show that RECOWNs are accurate and trustworthy time series predictors, able to "know when they do not know".

Community Implementations: [ 1 code implementation](https://www.catalyzex.com/paper/arxiv:2106.04148/code)