Towards Better Long-range Time Series Forecasting using Generative Forecasting

Shiyu Liu; Rohan Ghosh; Mehul Motani

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arXiv · 2212.06142

Towards Better Long-range Time Series Forecasting using Generative Forecasting

Shiyu Liu·Rohan Ghosh·Mehul Motani

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Abstract

Long-range time series forecasting is usually based on one of two existing forecasting strategies: Direct Forecasting and Iterative Forecasting, where the former provides low bias, high variance forecasts and the latter leads to low variance, high bias forecasts. In this paper, we propose a new forecasting strategy called Generative Forecasting (GenF), which generates synthetic data for the next few time steps and then makes long-range forecasts based on generated and observed data. We theoretically prove that GenF is able to better balance the forecasting variance and bias, leading to a much smaller forecasting error. We implement GenF via three components: (i) a novel conditional Wasserstein Generative Adversarial Network (GAN) based generator for synthetic time series data generation, called CWGAN-TS. (ii) a transformer based predictor, which makes long-range predictions using both generated and observed data. (iii) an information theoretic clustering algorithm to improve the training of both the CWGAN-TS and the transformer based predictor. The experimental results on five public datasets demonstrate that GenF significantly outperforms a diverse range of state-of-the-art benchmarks and classical approaches. Specifically, we find a 5% - 11% improvement in predictive performance (mean absolute error) while having a 15% - 50% reduction in parameters compared to the benchmarks. Lastly, we conduct an ablation study to further explore and demonstrate the effectiveness of the components comprising GenF.

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Shiyu Liu, Rohan Ghosh, Mehul Motani. 2022-12-09. Towards Better Long-range Time Series Forecasting using Generative Forecasting. https://arxiv.org/abs/2212.06142

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