1. Pay Attention to Evolution: Time Series Forecasting With Deep Graph-Evolution Learning
- Author
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Jimeng Sun, Jose F. Rodrigues-Jr, Gabriel Spadon, Bruno Brandoli, Shenda Hong, and Stan Matwin
- Subjects
I.2 ,FOS: Computer and information sciences ,Computer Science - Machine Learning ,Multivariate statistics ,I.5 ,Computer Science - Artificial Intelligence ,Computer science ,37M10, 68T07, 68T05, 68T37, 82C32 ,TEORIA DOS GRAFOS ,Machine Learning (stat.ML) ,02 engineering and technology ,Machine Learning (cs.LG) ,Statistics - Machine Learning ,Artificial Intelligence ,0202 electrical engineering, electronic engineering, information engineering ,Neural and Evolutionary Computing (cs.NE) ,I.2.4 ,I.2.6 ,I.5.1 ,Time series ,Artificial neural network ,business.industry ,Applied Mathematics ,Deep learning ,Computer Science - Neural and Evolutionary Computing ,Ensemble learning ,Artificial Intelligence (cs.AI) ,Recurrent neural network ,Computational Theory and Mathematics ,Graph (abstract data type) ,020201 artificial intelligence & image processing ,Computer Vision and Pattern Recognition ,Artificial intelligence ,business ,Feature learning ,Software - Abstract
Time-series forecasting is one of the most active research topics in artificial intelligence. Applications in real-world time series should consider two factors for achieving reliable predictions: modeling dynamic dependencies among multiple variables and adjusting the model's intrinsic hyperparameters. A still open gap in that literature is that statistical and ensemble learning approaches systematically present lower predictive performance than deep learning methods. They generally disregard the data sequence aspect entangled with multivariate data represented in more than one time series. Conversely, this work presents a novel neural network architecture for time-series forecasting that combines the power of graph evolution with deep recurrent learning on distinct data distributions; we named our method Recurrent Graph Evolution Neural Network (ReGENN). The idea is to infer multiple multivariate relationships between co-occurring time-series by assuming that the temporal data depends not only on inner variables and intra-temporal relationships (i.e., observations from itself) but also on outer variables and inter-temporal relationships (i.e., observations from other-selves). An extensive set of experiments was conducted comparing ReGENN with dozens of ensemble methods and classical statistical ones, showing sound improvement of up to 64.87% over the competing algorithms. Furthermore, we present an analysis of the intermediate weights arising from ReGENN, showing that by looking at inter and intra-temporal relationships simultaneously, time-series forecasting is majorly improved if paying attention to how multiple multivariate data synchronously evolve., Comment: IEEE Transactions on Pattern Analysis and Machine Intelligence, 2021
- Published
- 2022
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