QuantileFormer: Probabilistic Time Series Forecasting with a Pattern-Mixture Decomposed VAE Transformer

摘要

Probabilistic time series forecasting has attracted an increasing attention in machine learning community for its potential applications in the fields of renewable energy, traffic management, healthcare, etc. Previous research mainly focused on extracting long-range dependencies for point-wise prediction, which fail to capture complex temporal patterns and statistical characteristics for probabilistic analysis. In this paper, we propose a novel pattern-mixture decomposition method that decomposes long-term series into quantile drift, divergence patterns, and Gaussian mixture components, which can effectively capture the intricate temporal patterns and stochastic characteristics in time series. Based on pattern-mixture decomposition, we propose a novel Transformer-based model called QuantileFormer for probabilistic time series forecasting. It takes the the comprehensive drift-divergence mixture patterns as features, and designs a variational inference based fusion Transformer architecture to generate quantile prediction results. Extensive experiments show that the proposed method consistently boosts the baseline methods by a large margin and achieves state-of-the-art performance on six real-world benchmarks.