论文标题

变压器有效时间序列预测吗?

Are Transformers Effective for Time Series Forecasting?

论文作者

Zeng, Ailing, Chen, Muxi, Zhang, Lei, Xu, Qiang

论文摘要

最近,针对长期预测(LTSF)任务的基于变压器的解决方案激增。尽管过去几年的表现正在增长,但我们质疑这项研究中这一研究的有效性。具体而言,可以说,变形金刚是最成功的解决方案,是在长序列中提取元素之间的语义相关性。但是,在时间序列建模中,我们要在一组连续点的有序集中提取时间关系。在采用位置编码和使用令牌将子系列嵌入变压器中的同时,有助于保留某些订购信息,而\ emph {置换不变}的自我注意力专注机制的性质不可避免地会导致时间信息损失。为了验证我们的主张,我们介绍了一组名为LTSF线性的令人尴尬的简单一层线性模型,以进行比较。在九个现实生活中的数据集上的实验结果表明,LTSF线性在所有情况下都超过现有的基于精致的变压器LTSF模型,并且通常要大幅度的利润率。此外,我们进行了全面的经验研究,以探讨LTSF模型各种设计元素对其时间关系提取能力的影响。我们希望这一令人惊讶的发现为LTSF任务打开了新的研究方向。我们还主张重新审视基于变压器解决方案对其他时间序列分析任务(例如,异常检测)的有效性。代码可在:\ url {https://github.com/cure-lab/ltsf-linear}中获得。

Recently, there has been a surge of Transformer-based solutions for the long-term time series forecasting (LTSF) task. Despite the growing performance over the past few years, we question the validity of this line of research in this work. Specifically, Transformers is arguably the most successful solution to extract the semantic correlations among the elements in a long sequence. However, in time series modeling, we are to extract the temporal relations in an ordered set of continuous points. While employing positional encoding and using tokens to embed sub-series in Transformers facilitate preserving some ordering information, the nature of the \emph{permutation-invariant} self-attention mechanism inevitably results in temporal information loss. To validate our claim, we introduce a set of embarrassingly simple one-layer linear models named LTSF-Linear for comparison. Experimental results on nine real-life datasets show that LTSF-Linear surprisingly outperforms existing sophisticated Transformer-based LTSF models in all cases, and often by a large margin. Moreover, we conduct comprehensive empirical studies to explore the impacts of various design elements of LTSF models on their temporal relation extraction capability. We hope this surprising finding opens up new research directions for the LTSF task. We also advocate revisiting the validity of Transformer-based solutions for other time series analysis tasks (e.g., anomaly detection) in the future. Code is available at: \url{https://github.com/cure-lab/LTSF-Linear}.

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