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Pattern-oriented Attention Mechanism for Multivariate Time Series Forecasting
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AI
DOI：10.1145/3712606.png)
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Abstract
En 中文
Multivariate time series forecasting is applied in many domains, such as finance, transportation, and industry. The main challenge of precise forecasting lies in accurately capturing latent dependencies. Recent studies develop various frameworks to reduce computational complexity or to enhance the learning of intricate relationships, while lacking interpretability and generality. In this article, we aim to elucidate the capture of dependencies as the recognition of patterns. We believe that patterns can be formally described from two aspects: the shapes of segments that frequently repeat and the corresponding forms of repetitions. Drawing upon this idea, we design a multivariate time series forecasting model named PRformer,1 which incorporates a pattern-oriented attention mechanism and a pattern-based projector. The attention mechanism can perceive different forms of repetitions by embedded with various similarity evaluation metrics between segments, and filter out noise from segments to extract potential patterns with a statistical-driven weighting scheme. The pattern-based projector is employed to form the forecasting results by deriving the representative patterns from the set of potential ones. By incorporating explicit definitions of patterns, PRformer is interpretable and general to various time series scenarios. Experimental results on seven datasets demonstrate that PRformer outperforms six state-of-the-art models by about 10.7% in forecasting accuracy.
Keywords:
multivariate time series forecasting
pattern-oriented attention mechanism
repetition recognition
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