Dozerformer: Sequence Adaptive Sparse Transformer for Multivariate Time Series Forecasting
Primary Area: representation learning for computer vision, audio, language, and other modalities
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Keywords: Time series forecasting, Transformer, Deep learning
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TL;DR: We introduce the Dozerformer Framework, which incorporates the sequence-adaptive sparse Dozer Attention Mechanism for MTS forecasting.
Abstract: Transformers have achieved remarkable performance in multivariate time series(MTS) forecasting due to their capability to capture long-term dependencies. However, the canonical attention mechanism has two key limitations: (1) its quadratic time complexity limits the sequence length, and (2) it generates future values from the entire historical sequence. To address this, we propose a Dozer Attention mechanism consisting of three sparse components: (1) Local, each query exclusively attends to keys within a localized window of neighboring time steps. (2) Stride, enables each query to attend to keys at predefined intervals. (3) Vary, allows queries to selectively attend to keys from a subset of the historical sequence. Notably, the size of this subset dynamically expands as forecasting horizons extend. Those three components are designed to capture essential attributes of MTS data, including locality, seasonality, and global temporal dependencies. Additionally, we present the Dozerformer Framework, incorporating the Dozer Attention mechanism for the MTS forecasting task. We evaluated the proposed Dozerformer framework with recent state-of-the-art methods on nine benchmark datasets and confirmed its superior performance.
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Submission Number: 4970
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