Masked Multi-Step Multivariate Time Series Forecasting with Future Information

• URL: http://arxiv.org/abs/2209.14413v1
• Date: Wed, 28 Sep 2022 20:49:11 GMT
• Title: Masked Multi-Step Multivariate Time Series Forecasting with Future Information
• Authors: Yiwei Fu, Honggang Wang, Nurali Virani
• Abstract summary: In many real-world forecasting scenarios, some future information is known, e.g., the weather information when making a short-to-mid-term electricity demand forecast. To overcome the limitations of existing approaches, we propose MMMF, a framework to train any neural network model capable of generating a sequence of outputs. Experiments are performed on two real-world datasets for (1) mid-term electricity demand forecasting, and (2) two-month ahead flight departures.
• Score: 7.544120398993689
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this paper, we introduce Masked Multi-Step Multivariate Forecasting (MMMF), a novel and general self-supervised learning framework for time series forecasting with known future information. In many real-world forecasting scenarios, some future information is known, e.g., the weather information when making a short-to-mid-term electricity demand forecast, or the oil price forecasts when making an airplane departure forecast. Existing machine learning forecasting frameworks can be categorized into (1) sample-based approaches where each forecast is made independently, and (2) time series regression approaches where the future information is not fully incorporated. To overcome the limitations of existing approaches, we propose MMMF, a framework to train any neural network model capable of generating a sequence of outputs, that combines both the temporal information from the past and the known information about the future to make better predictions. Experiments are performed on two real-world datasets for (1) mid-term electricity demand forecasting, and (2) two-month ahead flight departures forecasting. They show that the proposed MMMF framework outperforms not only sample-based methods but also existing time series forecasting models with the exact same base models. Furthermore, once a neural network model is trained with MMMF, its inference speed is similar to that of the same model trained with traditional regression formulations, thus making MMMF a better alternative to existing regression-trained time series forecasting models if there is some available future information.

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