Improving the Transferability of Time Series Forecasting with Decomposition Adaptation

• URL: http://arxiv.org/abs/2307.00066v1
• Date: Fri, 30 Jun 2023 18:12:22 GMT
• Title: Improving the Transferability of Time Series Forecasting with Decomposition Adaptation
• Authors: Yan Gao, Yan Wang, Qiang Wang
• Abstract summary: In time series forecasting, it is difficult to obtain enough data, which limits the performance of neural forecasting models. To alleviate the data scarcity limitation, we design Sequence Decomposition Adaptation Network (SeDAN) SeDAN is a novel transfer architecture to improve forecasting performance on the target domain by aligning transferable knowledge from cross-domain datasets.
• Score: 14.09967794482993
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Due to effective pattern mining and feature representation, neural forecasting models based on deep learning have achieved great progress. The premise of effective learning is to collect sufficient data. However, in time series forecasting, it is difficult to obtain enough data, which limits the performance of neural forecasting models. To alleviate the data scarcity limitation, we design Sequence Decomposition Adaptation Network (SeDAN) which is a novel transfer architecture to improve forecasting performance on the target domain by aligning transferable knowledge from cross-domain datasets. Rethinking the transferability of features in time series data, we propose Implicit Contrastive Decomposition to decompose the original features into components including seasonal and trend features, which are easier to transfer. Then we design the corresponding adaptation methods for decomposed features in different domains. Specifically, for seasonal features, we perform joint distribution adaptation and for trend features, we design an Optimal Local Adaptation. We conduct extensive experiments on five benchmark datasets for multivariate time series forecasting. The results demonstrate the effectiveness of our SeDAN. It can provide more efficient and stable knowledge transfer.

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