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arXiv · 2307.06736

MPR-Net:Multi-Scale Pattern Reproduction Guided Universality Time Series Interpretable Forecasting

Tianlong Zhao·Xiang Ma·Xuemei Li·Caiming Zhang
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Abstract

Time series forecasting has received wide interest from existing research due to its broad applications and inherent challenging. The research challenge lies in identifying effective patterns in historical series and applying them to future forecasting. Advanced models based on point-wise connected MLP and Transformer architectures have strong fitting power, but their secondary computational complexity limits practicality. Additionally, those structures inherently disrupt the temporal order, reducing the information utilization and making the forecasting process uninterpretable. To solve these problems, this paper proposes a forecasting model, MPR-Net. It first adaptively decomposes multi-scale historical series patterns using convolution operation, then constructs a pattern extension forecasting method based on the prior knowledge of pattern reproduction, and finally reconstructs future patterns into future series using deconvolution operation. By leveraging the temporal dependencies present in the time series, MPR-Net not only achieves linear time complexity, but also makes the forecasting process interpretable. By carrying out sufficient experiments on more than ten real data sets of both short and long term forecasting tasks, MPR-Net achieves the state of the art forecasting performance, as well as good generalization and robustness performance.

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Tianlong Zhao, Xiang Ma, Xuemei Li, Caiming Zhang. 2023-07-13. MPR-Net:Multi-Scale Pattern Reproduction Guided Universality Time Series Interpretable Forecasting. https://arxiv.org/abs/2307.06736

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