TY - JOUR
T1 - Multiple Time Series Forecasting with Dynamic Graph Modeling
AU - Zhao, Kai
AU - Guo, Chenjuan
AU - Cheng, Yunyao
AU - Han, Peng
AU - Zhang, Miao
AU - Yang, Bin
N1 - Publisher Copyright:
© 2023, VLDB Endowment. All rights reserved.
PY - 2023
Y1 - 2023
N2 - Multiple time series forecasting plays an essential role in many applications. Solutions based on graph neural network (GNN) that deliver state-of-the-art forecasting performance use the relation graph which can capture historical correlations among time series. However, in real world, it is common that correlations among time series evolve across time, resulting in dynamic relation graph, where the future correlations may be different from those in history. To address this problem, we propose multiple time series forecasting with dynamic graph modeling (MTSF-DG) that is able to learn historical relation graphs and predicting future relation graphs to capture the dynamic correlations. We also propose a causal GNN to extract features from both kinds of relation graphs efficiently. Then we propose a reasoning network to explicitly learn the variant influence from historical timestamps to future timestamps for final forecasting. Extensive experiments on six benchmark datasets show that MTSF-DG consistently outperforms state-of-the-art baselines, and justify our design with dynamic relation graph modeling.
AB - Multiple time series forecasting plays an essential role in many applications. Solutions based on graph neural network (GNN) that deliver state-of-the-art forecasting performance use the relation graph which can capture historical correlations among time series. However, in real world, it is common that correlations among time series evolve across time, resulting in dynamic relation graph, where the future correlations may be different from those in history. To address this problem, we propose multiple time series forecasting with dynamic graph modeling (MTSF-DG) that is able to learn historical relation graphs and predicting future relation graphs to capture the dynamic correlations. We also propose a causal GNN to extract features from both kinds of relation graphs efficiently. Then we propose a reasoning network to explicitly learn the variant influence from historical timestamps to future timestamps for final forecasting. Extensive experiments on six benchmark datasets show that MTSF-DG consistently outperforms state-of-the-art baselines, and justify our design with dynamic relation graph modeling.
UR - https://www.scopus.com/pages/publications/85190650324
U2 - 10.14778/3636218.3636230
DO - 10.14778/3636218.3636230
M3 - 会议文章
AN - SCOPUS:85190650324
SN - 2150-8097
VL - 17
SP - 653
EP - 665
JO - Proceedings of the VLDB Endowment
JF - Proceedings of the VLDB Endowment
IS - 4
T2 - 50th International Conference on Very Large Data Bases, VLDB 2024
Y2 - 24 August 2024 through 29 August 2024
ER -