Emergent Mind

FDNet: Focal Decomposed Network for Efficient, Robust and Practical Time Series Forecasting

(2306.10703)
Published Jun 19, 2023 in cs.LG , cs.AI , cs.IT , and math.IT

Abstract

This paper presents FDNet: a Focal Decomposed Network for efficient, robust and practical time series forecasting. We break away from conventional deep time series forecasting formulas which obtain prediction results from universal feature maps of input sequences. In contrary, FDNet neglects universal correlations of input elements and only extracts fine-grained local features from input sequence. We show that: (1) Deep time series forecasting with only fine-grained local feature maps of input sequence is feasible upon theoretical basis. (2) By abandoning global coarse-grained feature maps, FDNet overcomes distribution shift problem caused by changing dynamics of time series which is common in real-world applications. (3) FDNet is not dependent on any inductive bias of time series except basic auto-regression, making it general and practical. Moreover, we propose focal input sequence decomposition method which decomposes input sequence in a focal manner for efficient and robust forecasting when facing Long Sequence Time series Input (LSTI) problem. FDNet achieves competitive forecasting performances on six real-world benchmarks and reduces prediction MSE by 38.4% on average compared with other thirteen SOTA baselines. The source code is available at https://github.com/OrigamiSL/FDNet.

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