论文标题

用动态图神经odes进行多元时间序列预测

Multivariate Time Series Forecasting with Dynamic Graph Neural ODEs

论文作者

Jin, Ming, Zheng, Yu, Li, Yuan-Fang, Chen, Siheng, Yang, Bin, Pan, Shirui

论文摘要

多变量时间序列预测长期以来一直在现实世界应用中受到极大关注,例如能源消耗和交通预测。尽管最近的方法表现出良好的预测能力,但它们具有三个基本局限性。 (i)离散的神经体系结构:插条单个参数化的空间和时间块来编码富含的基础模式会导致不连续的潜在状态轨迹和更高的预测数值错误。 (ii)高复杂性:离散的方法通过专用设计和冗余参数使模型复杂化,从而导致更高的计算和内存开销。 (iii)依靠图:依靠预定义的静态图结构限制了它们在现实世界应用中的有效性和实用性。在本文中,我们通过提出一个连续模型来预测$ \ textbf {m} $ ultivariate $ \ textbf {t} $ ime系列具有动态$ \ textbf {g} $ textbf {g} $ raph neural $ \ textbf {o textbf {o textbf {o text $ rdinary $ \ rdextiel feft feft feft feft textbf,textbf {g text $ rdiary f text $ ($ \ texttt {mtgode} $)。具体而言,我们首先将多元时间序列序列序列抽到动态图中,并具有随时间变化的节点特征和未知的图形结构。然后,我们设计和求解神经颂,以补充缺少的图形拓扑并统一空间和时间消息传递,从而使更深的图形传播和细粒度的时间信息聚集以表征稳定且精确的潜在时空动力学。我们的实验证明了$ \ texttt {mtgode} $的优势,从五个时间序列基准数据集的各个角度来看。

Multivariate time series forecasting has long received significant attention in real-world applications, such as energy consumption and traffic prediction. While recent methods demonstrate good forecasting abilities, they have three fundamental limitations. (i) Discrete neural architectures: Interlacing individually parameterized spatial and temporal blocks to encode rich underlying patterns leads to discontinuous latent state trajectories and higher forecasting numerical errors. (ii) High complexity: Discrete approaches complicate models with dedicated designs and redundant parameters, leading to higher computational and memory overheads. (iii) Reliance on graph priors: Relying on predefined static graph structures limits their effectiveness and practicability in real-world applications. In this paper, we address all the above limitations by proposing a continuous model to forecast $\textbf{M}$ultivariate $\textbf{T}$ime series with dynamic $\textbf{G}$raph neural $\textbf{O}$rdinary $\textbf{D}$ifferential $\textbf{E}$quations ($\texttt{MTGODE}$). Specifically, we first abstract multivariate time series into dynamic graphs with time-evolving node features and unknown graph structures. Then, we design and solve a neural ODE to complement missing graph topologies and unify both spatial and temporal message passing, allowing deeper graph propagation and fine-grained temporal information aggregation to characterize stable and precise latent spatial-temporal dynamics. Our experiments demonstrate the superiorities of $\texttt{MTGODE}$ from various perspectives on five time series benchmark datasets.

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