DEPTS: Deep Expansion Learning for Periodic Time Series Forecasting

• URL: http://arxiv.org/abs/2203.07681v1
• Date: Tue, 15 Mar 2022 06:51:58 GMT
• Title: DEPTS: Deep Expansion Learning for Periodic Time Series Forecasting
• Authors: Wei Fan, Shun Zheng, Xiaohan Yi, Wei Cao, Yanjie Fu, Jiang Bian, Tie-Yan Liu
• Abstract summary: We introduce a deep expansion learning framework, DEPTS, for PTS forecasting. DEPTS starts with a decoupled formulation by introducing the periodic state as a hidden variable. Our two customized modules also have certain interpretable capabilities, such as attributing the forecasts to either local momenta or global periodicity.
• Score: 83.60876685008225
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Periodic time series (PTS) forecasting plays a crucial role in a variety of industries to foster critical tasks, such as early warning, pre-planning, resource scheduling, etc. However, the complicated dependencies of the PTS signal on its inherent periodicity as well as the sophisticated composition of various periods hinder the performance of PTS forecasting. In this paper, we introduce a deep expansion learning framework, DEPTS, for PTS forecasting. DEPTS starts with a decoupled formulation by introducing the periodic state as a hidden variable, which stimulates us to make two dedicated modules to tackle the aforementioned two challenges. First, we develop an expansion module on top of residual learning to perform a layer-by-layer expansion of those complicated dependencies. Second, we introduce a periodicity module with a parameterized periodic function that holds sufficient capacity to capture diversified periods. Moreover, our two customized modules also have certain interpretable capabilities, such as attributing the forecasts to either local momenta or global periodicity and characterizing certain core periodic properties, e.g., amplitudes and frequencies. Extensive experiments on both synthetic data and real-world data demonstrate the effectiveness of DEPTS on handling PTS. In most cases, DEPTS achieves significant improvements over the best baseline. Specifically, the error reduction can even reach up to 20% for a few cases. Finally, all codes are publicly available.

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