论文标题
时间序列预测的概率分解变压器
Probabilistic Decomposition Transformer for Time Series Forecasting
论文作者
论文摘要
时间序列预测对于许多领域,例如灾难警告,天气预测和能源消耗至关重要。基于变压器的模型被认为彻底改变了序列建模领域。但是,时间序列的复杂时间模式阻碍了采矿可靠的时间依赖性的模型。此外,变压器的自回旋形式在推理步骤中引入了累积错误。在本文中,我们提出了将变压器与条件生成模型相结合的概率分解变压器模型,该模型为复杂的时间序列提供了层次和可解释的概率预测。变压器用于学习时间模式并实施主要的概率预测,而条件生成模型则用于通过引入潜在的空间特征表示来实现非自动进展层次层次概率预测。此外,条件生成模型从潜在空间中的概率分布来重建该系列的典型特征,例如季节性和趋势项,以实现复杂的模式分离并提供可解释的预测。在几个数据集上进行的广泛实验证明了所提出的模型的有效性和鲁棒性,表明它与最新的现状相比。
Time series forecasting is crucial for many fields, such as disaster warning, weather prediction, and energy consumption. The Transformer-based models are considered to have revolutionized the field of sequence modeling. However, the complex temporal patterns of the time series hinder the model from mining reliable temporal dependencies. Furthermore, the autoregressive form of the Transformer introduces cumulative errors in the inference step. In this paper, we propose the probabilistic decomposition Transformer model that combines the Transformer with a conditional generative model, which provides hierarchical and interpretable probabilistic forecasts for intricate time series. The Transformer is employed to learn temporal patterns and implement primary probabilistic forecasts, while the conditional generative model is used to achieve non-autoregressive hierarchical probabilistic forecasts by introducing latent space feature representations. In addition, the conditional generative model reconstructs typical features of the series, such as seasonality and trend terms, from probability distributions in the latent space to enable complex pattern separation and provide interpretable forecasts. Extensive experiments on several datasets demonstrate the effectiveness and robustness of the proposed model, indicating that it compares favorably with the state of the art.