论文标题

用于多元时间序列的边缘变化傅里叶图网络预测

Edge-Varying Fourier Graph Networks for Multivariate Time Series Forecasting

论文作者

Yi, Kun, Zhang, Qi, Hu, Liang, He, Hui, An, Ning, Cao, LongBing, Niu, ZhenDong

论文摘要

多变量时间序列(MTS)分析和预测的关键问题旨在披露驱动共同体变量的变量之间的基本耦合。由于其基本的关系建模能力,使用图神经网络(GNN)构建了相当大的成功MTS方法。但是,以前的工作经常使用时间序列变量的静态图结构来建模MT无法随时间捕获其不断变化的相关性。为此,在任何两个时间戳上连接任意两个变量的完全连接的上图是可以自适应地学习的,以通过有效的图形卷积网络捕获高分辨率变量依赖项。具体而言,我们构建了配备有傅立叶图位移操作员(FGSO)的边缘变化傅里叶图网络(EV-FGN),该网络(FGSO)有效地执行了频域中的图形卷积。结果,根据卷积定理得出了高效率的无标度参数学习方案,用于MTS分析和预测。广泛的实验表明,在七个现实世界中,EVGN优于最先进的方法。

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.

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