Multi-Scale Adaptive Graph Neural Network for Multivariate Time Series Forecasting

Multivariate time series (MTS) forecasting plays an important role in the automation and optimization of intelligent applications. It is a challenging task, as we need to consider both complex intra-variable dependencies and inter-variable dependencies. Existing works only learn temporal patterns wi...

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Bibliographic Details
Published in:arXiv.org 2023-04
Main Authors: Chen, Ling, Chen, Donghui, Shang, Zongjiang, Wu, Binqing, Cen Zheng, Wen, Bo, Zhang, Wei
Format: Article
Language:English
Subjects:
Forecasting
Graph neural networks
Mathematical models
Modules
Multivariate analysis
Neural networks
Optimization
Time series
Online Access:Get full text
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Summary:Multivariate time series (MTS) forecasting plays an important role in the automation and optimization of intelligent applications. It is a challenging task, as we need to consider both complex intra-variable dependencies and inter-variable dependencies. Existing works only learn temporal patterns with the help of single inter-variable dependencies. However, there are multi-scale temporal patterns in many real-world MTS. Single inter-variable dependencies make the model prefer to learn one type of prominent and shared temporal patterns. In this paper, we propose a multi-scale adaptive graph neural network (MAGNN) to address the above issue. MAGNN exploits a multi-scale pyramid network to preserve the underlying temporal dependencies at different time scales. Since the inter-variable dependencies may be different under distinct time scales, an adaptive graph learning module is designed to infer the scale-specific inter-variable dependencies without pre-defined priors. Given the multi-scale feature representations and scale-specific inter-variable dependencies, a multi-scale temporal graph neural network is introduced to jointly model intra-variable dependencies and inter-variable dependencies. After that, we develop a scale-wise fusion module to effectively promote the collaboration across different time scales, and automatically capture the importance of contributed temporal patterns. Experiments on four real-world datasets demonstrate that MAGNN outperforms the state-of-the-art methods across various settings.
ISSN:2331-8422