Feature-aligned N-BEATS with Sinkhorn divergence

Joonhun Lee, Myeongho Jeon, Myungjoo Kang, Kyunghyun Park

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Keywords: Time series forecasting, Deep learning, Domain generalization, Representation learning, Sinkhorn divergence

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TL;DR: We propose Feature-aligned N-BEATS with Sinkhorn divergence, a domain generalization model for time series forecasting within representation learning.

Abstract: We propose Feature-aligned N-BEATS as a domain-generalized time series forecasting model. It is a nontrivial extension of N-BEATS with doubly residual stacking principle (Oreshkin et al. [45]) into a representation learning framework. In particular, it revolves around marginal feature probability measures induced by the intricate composition of residual and feature extracting operators of N-BEATS in each stack and aligns them stack-wise via an approximate of an optimal transport distance referred to as the Sinkhorn divergence. The training loss consists of an empirical risk minimization from multiple source domains, i.e., forecasting loss, and an alignment loss calculated with the Sinkhorn divergence, which allows the model to learn invariant features stack-wise across multiple source data sequences while retaining N-BEATS’s interpretable design and forecasting power. Comprehensive experimental evaluations with ablation studies are provided and the corresponding results demonstrate the proposed model’s forecasting and generalization capabilities.

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Primary Area: unsupervised, self-supervised, semi-supervised, and supervised representation learning

Submission Number: 4508