TY - JOUR
T1 - Weakly Guided Adaptation for Robust Time Series Forecasting
AU - Cheng, Yunyao
AU - Chen, Peng
AU - Guo, Chenjuan
AU - Zhao, Kai
AU - Wen, Qingsong
AU - Yang, Bin
AU - Jensen, Christian S.
N1 - Publisher Copyright:
© 2023, VLDB Endowment. All rights reserved.
PY - 2023
Y1 - 2023
N2 - Robust multivariate time series forecasting is crucial in many cyberphysical and Internet of Things applications. Existing state-of-the-art robust forecasting models decompose time series into independent functions covering trends and periodicities. However, these independent functions fail to capture correlations among multiple time series, thereby reducing prediction accuracy. Moreover, existing robust forecasting models treat certain abrupt but normal changes, e.g., caused by holidays, as outliers because they occur infrequently and have data distributions that resemble those of outliers. This exacerbates model bias and reduces prediction accuracy. This paper aims to capture correlations across multiple time series and abrupt but normal changes, thereby improving prediction accuracy. We employ weak labels to partition the dataset into source and target domains. Then, we propose the Domain Adversarial Robust Forecaster (DARF). This forecasting model is based on adversarial domain adaptation and includes two novel modules: Correlated Robust Forecaster (CORF) and Domain Critic. Specifically, CORF constitutes an encoder-decoder framework proficient at robust multivariate time series forecasting, and Domain Critic works to reduce data bias. Extensive experiments and discussions show that DARF is capable of state-of-the-art forecasting accuracy.
AB - Robust multivariate time series forecasting is crucial in many cyberphysical and Internet of Things applications. Existing state-of-the-art robust forecasting models decompose time series into independent functions covering trends and periodicities. However, these independent functions fail to capture correlations among multiple time series, thereby reducing prediction accuracy. Moreover, existing robust forecasting models treat certain abrupt but normal changes, e.g., caused by holidays, as outliers because they occur infrequently and have data distributions that resemble those of outliers. This exacerbates model bias and reduces prediction accuracy. This paper aims to capture correlations across multiple time series and abrupt but normal changes, thereby improving prediction accuracy. We employ weak labels to partition the dataset into source and target domains. Then, we propose the Domain Adversarial Robust Forecaster (DARF). This forecasting model is based on adversarial domain adaptation and includes two novel modules: Correlated Robust Forecaster (CORF) and Domain Critic. Specifically, CORF constitutes an encoder-decoder framework proficient at robust multivariate time series forecasting, and Domain Critic works to reduce data bias. Extensive experiments and discussions show that DARF is capable of state-of-the-art forecasting accuracy.
UR - https://www.scopus.com/pages/publications/85190698114
U2 - 10.14778/3636218.3636231
DO - 10.14778/3636218.3636231
M3 - 会议文章
AN - SCOPUS:85190698114
SN - 2150-8097
VL - 17
SP - 666
EP - 679
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 -