Gaussian Process Latent Variable Modeling for Few-Shot Time Series Forecasting

  • Yunyao Cheng
  • , Chenjuan Guo*
  • , Kaixuan Chen
  • , Kai Zhao
  • , Bin Yang
  • , Jiandong Xie
  • , Christian S. Jensen
  • , Feiteng Huang
  • , Kai Zheng
  • *Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

Accurate time series forecasting is crucial for optimizing resource allocation, industrial production, and urban management, particularly with the growth of cyber-physical and IoT systems. However, limited training sample availability in fields like physics and biology poses significant challenges. Existing models struggle to capture long-term dependencies and to model diverse meta-knowledge explicitly in few-shot scenarios. To address these issues, we propose MetaGP, a meta-learning-based Gaussian process latent variable model that uses a Gaussian process kernel function to capture long-term dependencies and to maintain strong correlations in time series. We also introduce Kernel Association Search (KAS) as a novel meta-learning component to explicitly model meta-knowledge, thereby enhancing both interpretability and prediction accuracy. We study MetaGP on simulated and real-world few-shot datasets, showing that it is capable of state-of-the-art prediction accuracy. We also find that MetaGP can capture long-term dependencies and can model meta-knowledge, thereby providing valuable insights into complex time series patterns.

Original languageEnglish
Pages (from-to)4604-4619
Number of pages16
JournalIEEE Transactions on Knowledge and Data Engineering
Volume37
Issue number8
DOIs
StatePublished - 2025

Keywords

  • Time series forecasting
  • few-shot learning
  • gaussian process
  • kernel association
  • latent variable model

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