Add to Chrome
Add to Firefox
Add to EdgeDeep Coupling Network For Multivariate Time Series Forecasting
Feb 23, 2024
Multivariate time series (MTS) forecasting is crucial in many real-world applications. To achieve accurate MTS forecasting, it is essential to simultaneously consider both intra- and inter-series relationships among time series data. However, previous work has typically modeled intra- and inter-series relationships separately and has disregarded multi-order interactions present within and between time series data, which can seriously degrade forecasting accuracy. In this paper, we reexamine intra- and inter-series relationships from the perspective of mutual information and accordingly construct a comprehensive relationship learning mechanism tailored to simultaneously capture the intricate multi-order intra- and inter-series couplings. Based on the mechanism, we propose a novel deep coupling network for MTS forecasting, named DeepCN, which consists of a coupling mechanism dedicated to explicitly exploring the multi-order intra- and inter-series relationships among time series data concurrently, a coupled variable representation module aimed at encoding diverse variable patterns, and an inference module facilitating predictions through one forward step. Extensive experiments conducted on seven real-world datasets demonstrate that our proposed DeepCN achieves superior performance compared with the state-of-the-art baselines.
Masked AutoEncoder for Graph Clustering without Pre-defined Cluster Number k
Jan 09, 2024Graph clustering algorithms with autoencoder structures have recently gained popularity due to their efficient performance and low training cost. However, for existing graph autoencoder clustering algorithms based on GCN or GAT, not only do they lack good generalization ability, but also the number of clusters clustered by such autoencoder models is difficult to determine automatically. To solve this problem, we propose a new framework called Graph Clustering with Masked Autoencoders (GCMA). It employs our designed fusion autoencoder based on the graph masking method for the fusion coding of graph. It introduces our improved density-based clustering algorithm as a second decoder while decoding with multi-target reconstruction. By decoding the mask embedding, our model can capture more generalized and comprehensive knowledge. The number of clusters and clustering results can be output end-to-end while improving the generalization ability. As a nonparametric class method, extensive experiments demonstrate the superiority of \textit{GCMA} over state-of-the-art baselines.
FourierGNN: Rethinking Multivariate Time Series Forecasting from a Pure Graph Perspective
Nov 10, 2023
Multivariate time series (MTS) forecasting has shown great importance in numerous industries. Current state-of-the-art graph neural network (GNN)-based forecasting methods usually require both graph networks (e.g., GCN) and temporal networks (e.g., LSTM) to capture inter-series (spatial) dynamics and intra-series (temporal) dependencies, respectively. However, the uncertain compatibility of the two networks puts an extra burden on handcrafted model designs. Moreover, the separate spatial and temporal modeling naturally violates the unified spatiotemporal inter-dependencies in real world, which largely hinders the forecasting performance. To overcome these problems, we explore an interesting direction of directly applying graph networks and rethink MTS forecasting from a pure graph perspective. We first define a novel data structure, hypervariate graph, which regards each series value (regardless of variates or timestamps) as a graph node, and represents sliding windows as space-time fully-connected graphs. This perspective considers spatiotemporal dynamics unitedly and reformulates classic MTS forecasting into the predictions on hypervariate graphs. Then, we propose a novel architecture Fourier Graph Neural Network (FourierGNN) by stacking our proposed Fourier Graph Operator (FGO) to perform matrix multiplications in Fourier space. FourierGNN accommodates adequate expressiveness and achieves much lower complexity, which can effectively and efficiently accomplish the forecasting. Besides, our theoretical analysis reveals FGO's equivalence to graph convolutions in the time domain, which further verifies the validity of FourierGNN. Extensive experiments on seven datasets have demonstrated our superior performance with higher efficiency and fewer parameters compared with state-of-the-art methods.
Frequency-domain MLPs are More Effective Learners in Time Series Forecasting
Nov 10, 2023
Time series forecasting has played the key role in different industrial, including finance, traffic, energy, and healthcare domains. While existing literatures have designed many sophisticated architectures based on RNNs, GNNs, or Transformers, another kind of approaches based on multi-layer perceptrons (MLPs) are proposed with simple structure, low complexity, and {superior performance}. However, most MLP-based forecasting methods suffer from the point-wise mappings and information bottleneck, which largely hinders the forecasting performance. To overcome this problem, we explore a novel direction of applying MLPs in the frequency domain for time series forecasting. We investigate the learned patterns of frequency-domain MLPs and discover their two inherent characteristic benefiting forecasting, (i) global view: frequency spectrum makes MLPs own a complete view for signals and learn global dependencies more easily, and (ii) energy compaction: frequency-domain MLPs concentrate on smaller key part of frequency components with compact signal energy. Then, we propose FreTS, a simple yet effective architecture built upon Frequency-domain MLPs for Time Series forecasting. FreTS mainly involves two stages, (i) Domain Conversion, that transforms time-domain signals into complex numbers of frequency domain; (ii) Frequency Learning, that performs our redesigned MLPs for the learning of real and imaginary part of frequency components. The above stages operated on both inter-series and intra-series scales further contribute to channel-wise and time-wise dependency learning. Extensive experiments on 13 real-world benchmarks (including 7 benchmarks for short-term forecasting and 6 benchmarks for long-term forecasting) demonstrate our consistent superiority over state-of-the-art methods.
Efficient and Secure Federated Learning for Financial Applications
Mar 15, 2023
The conventional machine learning (ML) and deep learning approaches need to share customers' sensitive information with an external credit bureau to generate a prediction model that opens the door to privacy leakage. This leakage risk makes financial companies face an enormous challenge in their cooperation. Federated learning is a machine learning setting that can protect data privacy, but the high communication cost is often the bottleneck of the federated systems, especially for large neural networks. Limiting the number and size of communications is necessary for the practical training of large neural structures. Gradient sparsification has received increasing attention as a method to reduce communication cost, which only updates significant gradients and accumulates insignificant gradients locally. However, the secure aggregation framework cannot directly use gradient sparsification. This article proposes two sparsification methods to reduce communication cost in federated learning. One is a time-varying hierarchical sparsification method for model parameter update, which solves the problem of maintaining model accuracy after high ratio sparsity. It can significantly reduce the cost of a single communication. The other is to apply the sparsification method to the secure aggregation framework. We sparse the encryption mask matrix to reduce the cost of communication while protecting privacy. Experiments show that under different Non-IID experiment settings, our method can reduce the upload communication cost to about 2.9% to 18.9% of the conventional federated learning algorithm when the sparse rate is 0.01.
Neural Time Series Analysis with Fourier Transform: A Survey
Feb 04, 2023
Recently, Fourier transform has been widely introduced into deep neural networks to further advance the state-of-the-art regarding both accuracy and efficiency of time series analysis. The advantages of the Fourier transform for time series analysis, such as efficiency and global view, have been rapidly explored and exploited, exhibiting a promising deep learning paradigm for time series analysis. However, although increasing attention has been attracted and research is flourishing in this emerging area, there lacks a systematic review of the variety of existing studies in the area. To this end, in this paper, we provide a comprehensive review of studies on neural time series analysis with Fourier transform. We aim to systematically investigate and summarize the latest research progress. Accordingly, we propose a novel taxonomy to categorize existing neural time series analysis methods from four perspectives, including characteristics, usage paradigms, network design, and applications. We also share some new research directions in this vibrant area.
Learning Informative Representation for Fairness-aware Multivariate Time-series Forecasting: A Group-based Perspective
Jan 27, 2023
Multivariate time series (MTS) forecasting has penetrated and benefited our daily life. However, the unfair forecasting of MTSs not only degrades their practical benefit but even brings about serious potential risk. Such unfair MTS forecasting may be attributed to variable disparity leading to advantaged and disadvantaged variables. This issue has rarely been studied in the existing MTS forecasting models. To address this significant gap, we formulate the MTS fairness modeling problem as learning informative representations attending to both advantaged and disadvantaged variables. Accordingly, we propose a novel framework, named FairFor, for fairness-aware MTS forecasting. FairFor is based on adversarial learning to generate both group-irrelevant and -relevant representations for the downstream forecasting. FairFor first adopts the recurrent graph convolution to capture spatio-temporal variable correlations and to group variables by leveraging a spectral relaxation of the K-means objective. Then, it utilizes a novel filtering & fusion module to filter the group-relevant information and generate group-irrelevant representations by orthogonality regularization. The group-irrelevant and -relevant representations form highly informative representations, facilitating to share the knowledge from advantaged variables to disadvantaged variables and guarantee fairness. Extensive experiments on four public datasets demonstrate the FairFor effectiveness for fair forecasting and significant performance improvement.
Edge-Varying Fourier Graph Networks for Multivariate Time Series Forecasting
Oct 09, 2022
The key problem in multivariate time series (MTS) analysis and forecasting aims to disclose the underlying couplings between variables that drive the co-movements. Considerable recent successful MTS methods are built with graph neural networks (GNNs) due to their essential capacity for relational modeling. However, previous work often used a static graph structure of time-series variables for modeling MTS failing to capture their ever-changing correlations over time. To this end, a fully-connected supra-graph connecting any two variables at any two timestamps is adaptively learned to capture the high-resolution variable dependencies via an efficient graph convolutional network. Specifically, we construct the Edge-Varying Fourier Graph Networks (EV-FGN) equipped with Fourier Graph Shift Operator (FGSO) which efficiently performs graph convolution in the frequency domain. As a result, a high-efficiency scale-free parameter learning scheme is derived for MTS analysis and forecasting according to the convolution theorem. Extensive experiments show that EV-FGN outperforms state-of-the-art methods on seven real-world MTS datasets.
Crowd-sensing Enhanced Parking Patrol using Sharing Bikes' Trajectories
Oct 29, 2021
Illegal vehicle parking is a common urban problem faced by major cities in the world, as it incurs traffic jams, which lead to air pollution and traffic accidents. The government highly relies on active human efforts to detect illegal parking events. However, such an approach is extremely ineffective to cover a large city since the police have to patrol over the entire city roads. The massive and high-quality sharing bike trajectories from Mobike offer us a unique opportunity to design a ubiquitous illegal parking detection approach, as most of the illegal parking events happen at curbsides and have significant impact on the bike users. The detection result can guide the patrol schedule, i.e. send the patrol policemen to the region with higher illegal parking risks, and further improve the patrol efficiency. Inspired by this idea, three main components are employed in the proposed framework: 1)~{\em trajectory pre-processing}, which filters outlier GPS points, performs map-matching, and builds trajectory indexes; 2)~{\em illegal parking detection}, which models the normal trajectories, extracts features from the evaluation trajectories, and utilizes a distribution test-based method to discover the illegal parking events; and 3)~{\em patrol scheduling}, which leverages the detection result as reference context, and models the scheduling task as a multi-agent reinforcement learning problem to guide the patrol police. Finally, extensive experiments are presented to validate the effectiveness of illegal parking detection, as well as the improvement of patrol efficiency.
POI Alias Discovery in Delivery Addresses using User Locations
Sep 20, 2021
People often refer to a place of interest (POI) by an alias. In e-commerce scenarios, the POI alias problem affects the quality of the delivery address of online orders, bringing substantial challenges to intelligent logistics systems and market decision-making. Labeling the aliases of POIs involves heavy human labor, which is inefficient and expensive. Inspired by the observation that the users' GPS locations are highly related to their delivery address, we propose a ubiquitous alias discovery framework. Firstly, for each POI name in delivery addresses, the location data of its associated users, namely Mobility Profile are extracted. Then, we identify the alias relationship by modeling the similarity of mobility profiles. Comprehensive experiments on the large-scale location data and delivery address data from JD logistics validate the effectiveness.