UmambaTSF: A U-shaped Multi-Scale Long-Term Time Series Forecasting Method Using Mamba

• URL: http://arxiv.org/abs/2410.11278v1
• Date: Tue, 15 Oct 2024 04:56:43 GMT
• Title: UmambaTSF: A U-shaped Multi-Scale Long-Term Time Series Forecasting Method Using Mamba
• Authors: Li Wu, Wenbin Pei, Jiulong Jiao, Qiang Zhang,
• Abstract summary: We propose UmambaTSF, a novel long-term time series forecasting framework. It integrates multi-scale feature extraction capabilities of U-shaped encoder-decoder multilayer perceptrons (MLP) with Mamba's long sequence representation. UmambaTSF achieves state-of-the-art performance and excellent generality on widely used benchmark datasets.
• Score: 7.594115034632109
• License:
• Abstract: Multivariate Time series forecasting is crucial in domains such as transportation, meteorology, and finance, especially for predicting extreme weather events. State-of-the-art methods predominantly rely on Transformer architectures, which utilize attention mechanisms to capture temporal dependencies. However, these methods are hindered by quadratic time complexity, limiting the model's scalability with respect to input sequence length. This significantly restricts their practicality in the real world. Mamba, based on state space models (SSM), provides a solution with linear time complexity, increasing the potential for efficient forecasting of sequential data. In this study, we propose UmambaTSF, a novel long-term time series forecasting framework that integrates multi-scale feature extraction capabilities of U-shaped encoder-decoder multilayer perceptrons (MLP) with Mamba's long sequence representation. To improve performance and efficiency, the Mamba blocks introduced in the framework adopt a refined residual structure and adaptable design, enabling the capture of unique temporal signals and flexible channel processing. In the experiments, UmambaTSF achieves state-of-the-art performance and excellent generality on widely used benchmark datasets while maintaining linear time complexity and low memory consumption.

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