论文检索

Applications/Time Series

Chengsen Wang, Zirui Zhuang, Qi Qi, Jingyu Wang, Xingyu Wang, Haifeng Sun, Jianxin Liao

Many unsupervised methods have recently been proposed for multivariate time series anomaly detection. However, existing works mainly focus on stable data yet often omit the drift generated from non-stationary environments, which may lead to numerous false alarms. We propose **D**ynamic **D**ecomposition with **D**iffusion **R**econstruction (D$^3$R), a novel anomaly detection network for real-world unstable data to fill the gap. D$^3$R tackles the drift via decomposition and reconstruction. In the decomposition procedure, we utilize data-time mix-attention to dynamically decompose long-period multivariate time series, overcoming the limitation of the local sliding window. The information bottleneck is critical yet difficult to determine in the reconstruction procedure. To avoid retraining once the bottleneck changes, we control it externally by noise diffusion and directly reconstruct the polluted data. The whole model can be trained end-to-end. Extensive experiments on various real-world datasets demonstrate that D$^3$R significantly outperforms existing methods, with a 11% average relative improvement over the previous SOTA models.

Applications/Time Series

Xu Liu, Yutong Xia, Yuxuan Liang, Junfeng Hu, Yiwei Wang, LEI BAI, Chao Huang, Zhenguang Liu, Bryan Hooi, Roger Zimmermann

Road traffic forecasting plays a critical role in smart city initiatives and has experienced significant advancements thanks to the power of deep learning in capturing non-linear patterns of traffic data. However, the promising results achieved on current public datasets may not be applicable to practical scenarios due to limitations within these datasets. First, the limited sizes of them may not reflect the real-world scale of traffic networks. Second, the temporal coverage of these datasets is typically short, posing hurdles in studying long-term patterns and acquiring sufficient samples for training deep models. Third, these datasets often lack adequate metadata for sensors, which compromises the reliability and interpretability of the data. To mitigate these limitations, we introduce the LargeST benchmark dataset. It encompasses a total number of 8,600 sensors in California with a 5-year time coverage and includes comprehensive metadata. Using LargeST, we perform in-depth data analysis to extract data insights, benchmark well-known baselines in terms of their performance and efficiency, and identify challenges as well as opportunities for future research. We release the datasets and baseline implementations at: https://github.com/liuxu77/LargeST.

Applications/Time Series

Hyun Dong Lee, Andrew Warrington, Joshua Glaser, Scott Linderman

An important problem in time-series analysis is modeling systems with time-varying dynamics. Probabilistic models with joint continuous and discrete latent states offer interpretable, efficient, and experimentally useful descriptions of such data. Commonly used models include autoregressive hidden Markov models (ARHMMs) and switching linear dynamical systems (SLDSs), each with its own advantages and disadvantages. ARHMMs permit exact inference and easy parameter estimation, but are parameter intensive when modeling long dependencies, and hence are prone to overfitting. In contrast, SLDSs can capture long-range dependencies in a parameter efficient way through Markovian latent dynamics, but present an intractable likelihood and a challenging parameter estimation task. In this paper, we propose _switching autoregressive low-rank tensor_ SALT models, which retain the advantages of both approaches while ameliorating the weaknesses. SALT parameterizes the tensor of an ARHMM with a low-rank factorization to control the number of parameters and allow longer range dependencies without overfitting. We prove theoretical and discuss practical connections between SALT, linear dynamical systems, and SLDSs. We empirically demonstrate quantitative advantages of SALT models on a range of simulated and real prediction tasks, including behavioral and neural datasets. Furthermore, the learned low-rank tensor provides novel insights into temporal dependencies within each discrete state.

Applications/Time Series

Zhiding Liu, Mingyue Cheng, Zhi Li, Zhenya Huang, Qi Liu, Yanhu Xie, Enhong Chen

Deep learning models have progressively advanced time series forecasting due to their powerful capacity in capturing sequence dependence. Nevertheless, it is still challenging to make accurate predictions due to the existence of non-stationarity in real-world data, denoting the data distribution rapidly changes over time. To mitigate such a dilemma, several efforts have been conducted by reducing the non-stationarity with normalization operation. However, these methods typically overlook the distribution discrepancy between the input series and the horizon series, and assume that all time points within the same instance share the same statistical properties, which is too ideal and may lead to suboptimal relative improvements. To this end, we propose a novel slice-level adaptive normalization, referred to \textbf{SAN}, which is a novel scheme for empowering time series forecasting with more flexible normalization and denormalization. SAN includes two crucial designs. First, SAN tries to eliminate the non-stationarity of time series in units of a local temporal slice (i.e., sub-series) rather than a global instance. Second, SAN employs a slight network module to independently model the evolving trends of statistical properties of raw time series. Consequently, SAN could serve as a general model-agnostic plugin and better alleviate the impact of the non-stationary nature of time series data. We instantiate the proposed SAN on four widely used forecasting models and test their prediction results on benchmark datasets to evaluate its effectiveness. Also, we report some insightful findings to deeply analyze and understand our proposed SAN. We make our codes publicly available.

Applications/Time Series

Wei Jin, Haitao Mao, Zheng Li, Haoming Jiang, Chen Luo, Hongzhi Wen, Haoyu Han, Hanqing Lu, Zhengyang Wang, Ruirui Li 等

Modeling customer shopping intentions is a crucial task for e-commerce, as it directly impacts user experience and engagement. Thus, accurately understanding customer preferences is essential for providing personalized recommendations. Session-based recommendation, which utilizes customer session data to predict their next interaction, has become increasingly popular. However, existing session datasets have limitations in terms of item attributes, user diversity, and dataset scale. As a result, they cannot comprehensively capture the spectrum of user behaviors and preferences.To bridge this gap, we present the Amazon Multilingual Multi-locale Shopping Session Dataset, namely Amazon-M2. It is the first multilingual dataset consisting of millions of user sessions from six different locales, where the major languages of products are English, German, Japanese, French, Italian, and Spanish.Remarkably, the dataset can help us enhance personalization and understanding of user preferences, which can benefit various existing tasks as well as enable new tasks. To test the potential of the dataset, we introduce three tasks in this work:(1) next-product recommendation, (2) next-product recommendation with domain shifts, and (3) next-product title generation.With the above tasks, we benchmark a range of algorithms on our proposed dataset, drawing new insights for further research and practice. In addition, based on the proposed dataset and tasks, we hosted a competition in the KDD CUP 2023 https://www.aicrowd.com/challenges/amazon-kdd-cup-23-multilingual-recommendation-challenge and have attracted thousands of users and submissions. The winning solutions and the associated workshop can be accessed at our website~https://kddcup23.github.io/.

Applications/Time Series

Sapna Chaudhary, Mukulika Maity, Sandip Chakraborty, Naval Shukla

HTTP/3 is a new application layer protocol supported by most browsers. It uses QUIC as an underlying transport protocol. QUIC provides multiple benefits, like faster connection establishment, reduced latency, and improved connection migration. Hence, most popular browsers like Chrome/Chromium, Microsoft Edge, Apple Safari, and Mozilla Firefox have started supporting it. In this paper, we present an HTTP/3-supported browser dataset collection tool named H3B. It collects the application and network-level logs during YouTube streaming. We consider YouTube, as it the most popular video streaming application supporting QUIC. Using this tool, we collected a dataset of over 5936 YouTube sessions covering 5464 hours of streaming over 5 different geographical locations and 5 different bandwidth patterns. We believe our tool and as well as the dataset could be used in multiple applications such as a better configuration of application/transport protocols based on the network conditions, intelligent integration of network and application, predicting YouTube's QoE etc. We analyze the dataset and observe that during an HTTP/3 streaming not all requests are served by HTTP/3. Instead whenever the network condition is not favorable the browser chooses to fallback, and the application requests are transmitted using HTTP/2 over the old-standing transport protocol TCP. We observe that such switching of protocols impacts the performance of video streaming applications.

Applications/Time Series

Patrick Emami, Abhijeet Sahu, Peter Graf

Short-term forecasting of residential and commercial building energy consumption is widely used in power systems and continues to grow in importance. Data-driven short-term load forecasting (STLF), although promising, has suffered from a lack of open, large-scale datasets with high building diversity. This has hindered exploring the pretrain-then-fine-tune paradigm for STLF. To help address this, we present BuildingsBench, which consists of: 1) Buildings-900K, a large-scale dataset of 900K simulated buildings representing the U.S. building stock; and 2) an evaluation platform with over 1,900 real residential and commercial buildings from 7 open datasets. BuildingsBench benchmarks two under-explored tasks: zero-shot STLF, where a pretrained model is evaluated on unseen buildings without fine-tuning, and transfer learning, where a pretrained model is fine-tuned on a target building. The main finding of our benchmark analysis is that synthetically pretrained models generalize surprisingly well to real commercial buildings. An exploration of the effect of increasing dataset size and diversity on zero-shot commercial building performance reveals a power-law with diminishing returns. We also show that fine-tuning pretrained models on real commercial and residential buildings improves performance for a majority of target buildings. We hope that BuildingsBench encourages and facilitates future research on generalizable STLF. All datasets and code can be accessed from https://github.com/NREL/BuildingsBench.

Applications/Time Series

Yutong Xia, Yuxuan Liang, Haomin Wen, Xu Liu, Kun Wang, Zhengyang Zhou, Roger Zimmermann

Spatio-Temporal Graph (STG) forecasting is a fundamental task in many real-world applications. Spatio-Temporal Graph Neural Networks have emerged as the most popular method for STG forecasting, but they often struggle with temporal out-of-distribution (OoD) issues and dynamic spatial causation. In this paper, we propose a novel framework called CaST to tackle these two challenges via causal treatments. Concretely, leveraging a causal lens, we first build a structural causal model to decipher the data generation process of STGs. To handle the temporal OoD issue, we employ the back-door adjustment by a novel disentanglement block to separate the temporal environments from input data. Moreover, we utilize the front-door adjustment and adopt edge-level convolution to model the ripple effect of causation. Experiments results on three real-world datasets demonstrate the effectiveness of CaST, which consistently outperforms existing methods with good interpretability. Our source code is available at https://github.com/yutong-xia/CaST.

Applications/Time Series

Andrea Coletta, Sriram Gopalakrishnan, Daniel Borrajo, Svitlana Vyetrenko

Synthetic time series are often used in practical applications to augment the historical time series dataset, amplify the occurrence of rare events and also create counterfactual scenarios.Distributional-similarity (which we refer to as realism) as well as the satisfaction of certain numerical constraints are common requirements for counterfactual time series generation. For instance, the US Federal Reserve publishes synthetic market stress scenarios given by the constrained time series for financial institutions to assess their performance in hypothetical recessions.Existing approaches for generating constrained time series usually penalize training loss to enforce constraints, and reject non-conforming samples. However, these approaches would require re-training if we change constraints, and rejection sampling can be computationally expensive, or impractical for complex constraints.In this paper, we propose a novel set of methods to tackle the constrained time series generation problem and provide efficient sampling while ensuring the realism of generated time series. In particular, we frame the problem using a constrained optimization framework and then we propose a set of generative methods including 'GuidedDiffTime', a guided diffusion model. We empirically evaluate our work on several datasets for financial and energy data, where incorporating constraints is critical. We show that our approaches outperform existing work both qualitatively and quantitatively, and that 'GuidedDiffTime' does not require re-training for new constraints, resulting in a significant carbon footprint reduction, up to 92% w.r.t. existing deep learning methods.

Applications/Time Series

Junho Song, Keonwoo Kim, Jeonglyul Oh, Sungzoon Cho

Detecting anomalies in real-world multivariate time series data is challenging due to complex temporal dependencies and inter-variable correlations. Recently, reconstruction-based deep models have been widely used to solve the problem. However, these methods still suffer from an over-generalization issue and fail to deliver consistently high performance. To address this issue, we propose the MEMTO, a memory-guided Transformer using a reconstruction-based approach. It is designed to incorporate a novel memory module that can learn the degree to which each memory item should be updated in response to the input data. To stabilize the training procedure, we use a two-phase training paradigm which involves using K-means clustering for initializing memory items. Additionally, we introduce a bi-dimensional deviation-based detection criterion that calculates anomaly scores considering both input space and latent space. We evaluate our proposed method on five real-world datasets from diverse domains, and it achieves an average anomaly detection F1-score of 95.74%, significantly outperforming the previous state-of-the-art methods. We also conduct extensive experiments to empirically validate the effectiveness of our proposed model's key components.

Applications/Time Series

Andreas Auer, Martin Gauch, Daniel Klotz, Sepp Hochreiter

To quantify uncertainty, conformal prediction methods are gaining continuously more interest and have already been successfully applied to various domains. However, they are difficult to apply to time series as the autocorrelative structure of time series violates basic assumptions required by conformal prediction. We propose HopCPT, a novel conformal prediction approach for time series that not only copes with temporal structures but leverages them. We show that our approach is theoretically well justified for time series where temporal dependencies are present. In experiments, we demonstrate that our new approach outperforms state-of-the-art conformal prediction methods on multiple real-world time series datasets from four different domains.

Applications/Time Series

yifan zhang, Qingsong Wen, xue wang, Weiqi Chen, Liang Sun, Zhang Zhang, Liang Wang, Rong Jin, Tieniu Tan

Online updating of time series forecasting models aims to address the concept drifting problem by efficiently updating forecasting models based on streaming data. Many algorithms are designed for online time series forecasting, with some exploiting cross-variable dependency while others assume independence among variables. Given every data assumption has its own pros and cons in online time series modeling, we propose **On**line **e**nsembling **Net**work (**OneNet**). It dynamically updates and combines two models, with one focusing on modeling the dependency across the time dimension and the other on cross-variate dependency. Our method incorporates a reinforcement learning-based approach into the traditional online convex programming framework, allowing for the linear combination of the two models with dynamically adjusted weights. OneNet addresses the main shortcoming of classical online learning methods that tend to be slow in adapting to the concept drift. Empirical results show that OneNet reduces online forecasting error by more than $\mathbf{50}\\%$ compared to the State-Of-The-Art (SOTA) method.

Applications/Time Series

Qihe Huang, Lei Shen, Ruixin Zhang, Shouhong Ding, Binwu Wang, Zhengyang Zhou, Yang Wang

Recently, multivariate time series (MTS) forecasting techniques have seen rapid development and widespread applications across various fields. Transformer-based and GNN-based methods have shown promising potential due to their strong ability to model interaction of time and variables. However, by conducting a comprehensive analysis of the real-world data, we observe that the temporal fluctuations and heterogeneity between variables are not well handled by existing methods. To address the above issues, we propose CrossGNN, a linear complexity GNN model to refine the cross-scale and cross-variable interaction for MTS. To deal with the unexpected noise in time dimension, an adaptive multi-scale identifier (AMSI) is leveraged to construct multi-scale time series with reduced noise. A Cross-Scale GNN is proposed to extract the scales with clearer trend and weaker noise. Cross-Variable GNN is proposed to utilize the homogeneity and heterogeneity between different variables. By simultaneously focusing on edges with higher saliency scores and constraining those edges with lower scores, the time and space complexity (i.e., $O(L)$) of CrossGNN can be linear with the input sequence length $L$. Extensive experimental results on 8 real-world MTS datasets demonstrate the effectiveness of CrossGNN compared with state-of-the-art methods.

Applications/Time Series

Yong Liu, Chenyu Li, Jianmin Wang, Mingsheng Long

Real-world time series are characterized by intrinsic non-stationarity that poses a principal challenge for deep forecasting models. While previous models suffer from complicated series variations induced by changing temporal distribution, we tackle non-stationary time series with modern Koopman theory that fundamentally considers the underlying time-variant dynamics. Inspired by Koopman theory of portraying complex dynamical systems, we disentangle time-variant and time-invariant components from intricate non-stationary series by Fourier Filter and design Koopman Predictor to advance respective dynamics forward. Technically, we propose Koopa as a novel Koopman forecaster composed of stackable blocks that learn hierarchical dynamics. Koopa seeks measurement functions for Koopman embedding and utilizes Koopman operators as linear portraits of implicit transition. To cope with time-variant dynamics that exhibits strong locality, Koopa calculates context-aware operators in the temporal neighborhood and is able to utilize incoming ground truth to scale up forecast horizon. Besides, by integrating Koopman Predictors into deep residual structure, we ravel out the binding reconstruction loss in previous Koopman forecasters and achieve end-to-end forecasting objective optimization. Compared with the state-of-the-art model, Koopa achieves competitive performance while saving 77.3% training time and 76.0% memory.

Applications/Time Series

Zekun Li, Shiyang Li, Xifeng Yan

Irregularly sampled time series are increasingly prevalent, particularly in medical domains. While various specialized methods have been developed to handle these irregularities, effectively modeling their complex dynamics and pronounced sparsity remains a challenge. This paper introduces a novel perspective by converting irregularly sampled time series into line graph images, then utilizing powerful pre-trained vision transformers for time series classification in the same way as image classification. This method not only largely simplifies specialized algorithm designs but also presents the potential to serve as a universal framework for time series modeling. Remarkably, despite its simplicity, our approach outperforms state-of-the-art specialized algorithms on several popular healthcare and human activity datasets. Especially in the rigorous leave-sensors-out setting where a portion of variables is omitted during testing, our method exhibits strong robustness against varying degrees of missing observations, achieving an impressive improvement of 42.8% in absolute F1 score points over leading specialized baselines even with half the variables masked. Code and data are available at https://github.com/Leezekun/ViTST.

Applications/Time Series

Zelin Ni, Hang Yu, Shizhan Liu, Jianguo Li, Weiyao Lin

Bases have become an integral part of modern deep learning-based models for time series forecasting due to their ability to act as feature extractors or future references. To be effective, a basis must be tailored to the specific set of time series data and exhibit distinct correlation with each time series within the set. However, current state-of-the-art methods are limited in their ability to satisfy both of these requirements simultaneously. To address this challenge, we propose BasisFormer, an end-to-end time series forecasting architecture that leverages learnable and interpretable bases. This architecture comprises three components: First, we acquire bases through adaptive self-supervised learning, which treats the historical and future sections of the time series as two distinct views and employs contrastive learning. Next, we design a Coef module that calculates the similarity coefficients between the time series and bases in the historical view via bidirectional cross-attention. Finally, we present a Forecast module that selects and consolidates the bases in the future view based on the similarity coefficients, resulting in accurate future predictions. Through extensive experiments on six datasets, we demonstrate that BasisFormer outperforms previous state-of-the-art methods by 11.04% and 15.78% respectively for univariate and multivariate forecasting tasks. Code isavailable at: https://github.com/nzl5116190/Basisformer.

Applications/Time Series

Yuxin Jia, Youfang Lin, Xinyan Hao, Yan Lin, Shengnan Guo, Huaiyu Wan

Capturing semantic information is crucial for accurate long-range time series forecasting, which involves modeling global and local correlations, as well as discovering long- and short-term repetitive patterns. Previous works have partially addressed these issues separately, but have not been able to address all of them simultaneously. Meanwhile, their time and memory complexities are still not sufficiently low for long-range forecasting. To address the challenge of capturing different types of semantic information, we propose a novel Water-wave Information Transmission (WIT) framework. This framework captures both long- and short-term repetitive patterns through bi-granular information transmission. It also models global and local correlations by recursively fusing and selecting information using Horizontal Vertical Gated Selective Unit (HVGSU). In addition, to improve the computing efficiency, we propose a generic Recurrent Acceleration Network (RAN) which reduces the time complexity to $\mathcal{O}(\sqrt{L})$ while maintaining the memory complexity at $\mathcal{O}(L)$. Our proposed method, called Water-wave Information Transmission and Recurrent Acceleration Network (WITRAN), outperforms the state-of-the-art methods by 5.80% and 14.28% on long-range and ultra-long-range time series forecasting tasks respectively, as demonstrated by experiments on four benchmark datasets. The code is available at: https://github.com/Water2sea/WITRAN.