Nhat Thanh Tran

Nhat Thanh Tran, Jack Xin

We study a fast local-global window-based attention method to accelerate Informer for long sequence time-series forecasting. While window attention being local is a considerable computational saving, it lacks the ability to capture global token information which is compensated by a subsequent Fourier transform block. Our method, named FWin, does not rely on query sparsity hypothesis and an empirical approximation underlying the ProbSparse attention of Informer. Through experiments on univariate and multivariate datasets, we show that FWin transformers improve the overall prediction accuracies of Informer while accelerating its inference speeds by 1.6 to 2 times. We also provide a mathematical definition of FWin attention, and prove that it is equivalent to the canonical full attention under the block diagonal invertibility (BDI) condition of the attention matrix. The BDI is shown experimentally to hold with high probability for typical benchmark datasets.

Nhat Thanh Tran, Jack Xin, Guofa Zhou

Dengue fever is one of the most deadly mosquito-born tropical infectious diseases. Detailed long range forecast model is vital in controlling the spread of disease and making mitigation efforts. In this study, we examine methods used to forecast dengue cases for long range predictions. The dataset consists of local climate/weather in addition to global climate indicators of Singapore from 2000 to 2019. We utilize newly developed deep neural networks to learn the intricate relationship between the features. The baseline models in this study are in the class of recent transformers for long sequence forecasting tasks. We found that a Fourier mixed window attention (FWin) based transformer performed the best in terms of both the mean square error and the maximum absolute error on the long range dengue forecast up to 60 weeks.

Ashwin Prabu, Nhat Thanh Tran, Guofa Zhou et al.

A variety of models have been developed to forecast dengue cases to date. However, it remains a challenge to predict major dengue outbreaks that need timely public warnings the most. In this paper, we introduce CrossLag, an environmentally informed attention that allows for the incorporation of lagging endogenous signals behind the significant events in the exogenous data into the architecture of the transformer at low parameter counts. Outbreaks typically lag behind major changes in climate and oceanic anomalies. We use TimeXer, a recent general-purpose transformer distinguishing exogenous-endogenous inputs, as the baseline for this study. Our proposed model outperforms TimeXer by a considerable margin in detecting and predicting major outbreaks in Singapore dengue data over a 24-week prediction window.

Elisha Dayag, Nhat Thanh Van Tran, Jack Xin

Transformer-based models are at the forefront in long time-series forecasting (LTSF). While in many cases, these models are able to achieve state of the art results, they suffer from a bias toward low-frequencies in the data and high computational and memory requirements. Recent work has established that learnable frequency filters can be an integral part of a deep forecasting model by enhancing the model's spectral utilization. These works choose to use a multilayer perceptron to process their filtered signals and thus do not solve the issues found with transformer-based models. In this paper, we establish that adding a filter to the beginning of transformer-based models enhances their performance in long time-series forecasting. We add learnable filters, which only add an additional $\approx 1000$ parameters to several transformer-based models and observe in multiple instances 5-10 \% relative improvement in forecasting performance. Additionally, we find that with filters added, we are able to decrease the embedding dimension of our models, resulting in transformer-based architectures that are both smaller and more effective than their non-filtering base models. We also conduct synthetic experiments to analyze how the filters enable Transformer-based models to better utilize the full spectrum for forecasting.