论文标题

端到端建模层次结构时间序列使用自回归变压器和有条件的基于流程的对帐

End-to-End Modeling Hierarchical Time Series Using Autoregressive Transformer and Conditional Normalizing Flow based Reconciliation

论文作者

Wang, Shiyu, Zhou, Fan, Sun, Yinbo, Ma, Lintao, Zhang, James, Zheng, Yangfei

论文摘要

在现实世界应用中,具有层次结构的多元时间序列预测是普遍存在的,不仅要求预测每个层次结构的每个级别,而且要求对所有预测进行调和以确保相干性,即预测应满足层次结构约束。此外,非高斯分布和非线性相关性使水平之间的统计特征差异可能很大。在此范围内,我们提出了一个基于条件正常的基于流动的自回旋变压器对帐的条件归一化的端到端层次分层时间序列预测模型,以表示复杂的数据分布,同时核对预测以确保相干性。与其他最先进的方法不同,我们同时实现了预测和对帐,而无需任何明确的后处理步骤。此外,通过利用深层模型的力量,我们不依赖任何假设,例如无偏见的估计或高斯分布。我们的评估实验是在来自不同工业领域的四个现实世界层次数据集上进行的(三个公共域和来自支撑件数据中心的应用程序服务器的数据集),初步结果证明了我们提出的方法的效率。

Multivariate time series forecasting with hierarchical structure is pervasive in real-world applications, demanding not only predicting each level of the hierarchy, but also reconciling all forecasts to ensure coherency, i.e., the forecasts should satisfy the hierarchical aggregation constraints. Moreover, the disparities of statistical characteristics between levels can be huge, worsened by non-Gaussian distributions and non-linear correlations. To this extent, we propose a novel end-to-end hierarchical time series forecasting model, based on conditioned normalizing flow-based autoregressive transformer reconciliation, to represent complex data distribution while simultaneously reconciling the forecasts to ensure coherency. Unlike other state-of-the-art methods, we achieve the forecasting and reconciliation simultaneously without requiring any explicit post-processing step. In addition, by harnessing the power of deep model, we do not rely on any assumption such as unbiased estimates or Gaussian distribution. Our evaluation experiments are conducted on four real-world hierarchical datasets from different industrial domains (three public ones and a dataset from the application servers of Alipay's data center) and the preliminary results demonstrate efficacy of our proposed method.

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