Predict, Refine, Synthesize: Self-Guiding Diffusion Models for Probabilistic Time Series Forecasting

• URL: http://arxiv.org/abs/2307.11494v3
• Date: Wed, 22 Nov 2023 12:25:41 GMT
• Title: Predict, Refine, Synthesize: Self-Guiding Diffusion Models for Probabilistic Time Series Forecasting
• Authors: Marcel Kollovieh, Abdul Fatir Ansari, Michael Bohlke-Schneider, Jasper Zschiegner, Hao Wang, Yuyang Wang
• Abstract summary: We propose TSDiff, an unconditionally-trained diffusion model for time series. Our proposed self-guidance mechanism enables conditioning TSDiff for downstream tasks during inference, without requiring auxiliary networks or altering the training procedure. We demonstrate the effectiveness of our method on three different time series tasks: forecasting, refinement, and synthetic data generation.
• Score: 10.491628898499684
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Diffusion models have achieved state-of-the-art performance in generative modeling tasks across various domains. Prior works on time series diffusion models have primarily focused on developing conditional models tailored to specific forecasting or imputation tasks. In this work, we explore the potential of task-agnostic, unconditional diffusion models for several time series applications. We propose TSDiff, an unconditionally-trained diffusion model for time series. Our proposed self-guidance mechanism enables conditioning TSDiff for downstream tasks during inference, without requiring auxiliary networks or altering the training procedure. We demonstrate the effectiveness of our method on three different time series tasks: forecasting, refinement, and synthetic data generation. First, we show that TSDiff is competitive with several task-specific conditional forecasting methods (predict). Second, we leverage the learned implicit probability density of TSDiff to iteratively refine the predictions of base forecasters with reduced computational overhead over reverse diffusion (refine). Notably, the generative performance of the model remains intact -- downstream forecasters trained on synthetic samples from TSDiff outperform forecasters that are trained on samples from other state-of-the-art generative time series models, occasionally even outperforming models trained on real data (synthesize).

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