Yujie Fan

Dongyu Zhang, Liang Wang, Xin Dai et al.

Sequential tabular data is one of the most commonly used data types in real-world applications. Different from conventional tabular data, where rows in a table are independent, sequential tabular data contains rich contextual and sequential information, where some fields are dynamically changing over time and others are static. Existing transformer-based approaches analyzing sequential tabular data overlook the differences between dynamic and static fields by replicating and filling static fields into each transformer, and ignore temporal information between rows, which leads to three major disadvantages: (1) computational overhead, (2) artificially simplified data for masked language modeling pre-training task that may yield less meaningful representations, and (3) disregarding the temporal behavioral patterns implied by time intervals. In this work, we propose FATA-Trans, a model with two field transformers for modeling sequential tabular data, where each processes static and dynamic field information separately. FATA-Trans is field- and time-aware for sequential tabular data. The field-type embedding in the method enables FATA-Trans to capture differences between static and dynamic fields. The time-aware position embedding exploits both order and time interval information between rows, which helps the model detect underlying temporal behavior in a sequence. Our experiments on three benchmark datasets demonstrate that the learned representations from FATA-Trans consistently outperform state-of-the-art solutions in the downstream tasks. We also present visualization studies to highlight the insights captured by the learned representations, enhancing our understanding of the underlying data. Our codes are available at https://github.com/zdy93/FATA-Trans.

Chin-Chia Michael Yeh, Xin Dai, Huiyuan Chen et al.

A foundation model is a machine learning model trained on a large and diverse set of data, typically using self-supervised learning-based pre-training techniques, that can be adapted to various downstream tasks. However, current research on time series pre-training has mostly focused on models pre-trained solely on data from a single domain, resulting in a lack of knowledge about other types of time series. However, current research on time series pre-training has predominantly focused on models trained exclusively on data from a single domain. As a result, these models possess domain-specific knowledge that may not be easily transferable to time series from other domains. In this paper, we aim to develop an effective time series foundation model by leveraging unlabeled samples from multiple domains. To achieve this, we repurposed the publicly available UCR Archive and evaluated four existing self-supervised learning-based pre-training methods, along with a novel method, on the datasets. We tested these methods using four popular neural network architectures for time series to understand how the pre-training methods interact with different network designs. Our experimental results show that pre-training improves downstream classification tasks by enhancing the convergence of the fine-tuning process. Furthermore, we found that the proposed pre-training method, when combined with the Transformer model, outperforms the alternatives.

Chin-Chia Michael Yeh, Huiyuan Chen, Xin Dai et al.

A Content-based Time Series Retrieval (CTSR) system is an information retrieval system for users to interact with time series emerged from multiple domains, such as finance, healthcare, and manufacturing. For example, users seeking to learn more about the source of a time series can submit the time series as a query to the CTSR system and retrieve a list of relevant time series with associated metadata. By analyzing the retrieved metadata, users can gather more information about the source of the time series. Because the CTSR system is required to work with time series data from diverse domains, it needs a high-capacity model to effectively measure the similarity between different time series. On top of that, the model within the CTSR system has to compute the similarity scores in an efficient manner as the users interact with the system in real-time. In this paper, we propose an effective and efficient CTSR model that outperforms alternative models, while still providing reasonable inference runtimes. To demonstrate the capability of the proposed method in solving business problems, we compare it against alternative models using our in-house transaction data. Our findings reveal that the proposed model is the most suitable solution compared to others for our transaction data problem.

Huiyuan Chen, Xiaoting Li, Vivian Lai et al.

Collaborative Filtering (CF) has been successfully used to help users discover the items of interest. Nevertheless, existing CF methods suffer from noisy data issue, which negatively impacts the quality of recommendation. To tackle this problem, many prior studies leverage adversarial learning to regularize the representations of users/items, which improves both generalizability and robustness. Those methods often learn adversarial perturbations and model parameters under min-max optimization framework. However, there still have two major drawbacks: 1) Existing methods lack theoretical guarantees of why adding perturbations improve the model generalizability and robustness; 2) Solving min-max optimization is time-consuming. In addition to updating the model parameters, each iteration requires additional computations to update the perturbations, making them not scalable for industry-scale datasets. In this paper, we present Sharpness-aware Collaborative Filtering (SharpCF), a simple yet effective method that conducts adversarial training without extra computational cost over the base optimizer. To achieve this goal, we first revisit the existing adversarial collaborative filtering and discuss its connection with recent Sharpness-aware Minimization. This analysis shows that adversarial training actually seeks model parameters that lie in neighborhoods around the optimal model parameters having uniformly low loss values, resulting in better generalizability. To reduce the computational overhead, SharpCF introduces a novel trajectory loss to measure the alignment between current weights and past weights. Experimental results on real-world datasets demonstrate that our SharpCF achieves superior performance with almost zero additional computational cost comparing to adversarial training.

Jiarui Sun, Yujie Fan, Chin-Chia Michael Yeh et al.

Traffic forecasting, crucial for urban planning, requires accurate predictions of spatial-temporal traffic patterns across urban areas. Existing research mainly focuses on designing complex models that capture spatial-temporal dependencies among variables explicitly. However, this field faces challenges related to data scarcity and model stability, which results in limited performance improvement. To address these issues, we propose Spatial-Temporal Masked AutoEncoders (STMAE), a plug-and-play framework designed to enhance existing spatial-temporal models on traffic prediction. STMAE consists of two learning stages. In the pretraining stage, an encoder processes partially visible traffic data produced by a dual-masking strategy, including biased random walk-based spatial masking and patch-based temporal masking. Subsequently, two decoders aim to reconstruct the masked counterparts from both spatial and temporal perspectives. The fine-tuning stage retains the pretrained encoder and integrates it with decoders from existing backbones to improve forecasting accuracy. Our results on traffic benchmarks show that STMAE can largely enhance the forecasting capabilities of various spatial-temporal models.

Chin-Chia Michael Yeh, Audrey Der, Uday Singh Saini et al.

The Matrix Profile (MP), a versatile tool for time series data mining, has been shown effective in time series anomaly detection (TSAD). This paper delves into the problem of anomaly detection in multidimensional time series, a common occurrence in real-world applications. For instance, in a manufacturing factory, multiple sensors installed across the site collect time-varying data for analysis. The Matrix Profile, named for its role in profiling the matrix storing pairwise distance between subsequences of univariate time series, becomes complex in multidimensional scenarios. If the input univariate time series has n subsequences, the pairwise distance matrix is a n x n matrix. In a multidimensional time series with d dimensions, the pairwise distance information must be stored in a n x n x d tensor. In this paper, we first analyze different strategies for condensing this tensor into a profile vector. We then investigate the potential of extending the MP to efficiently find k-nearest neighbors for anomaly detection. Finally, we benchmark the multidimensional MP against 19 baseline methods on 119 multidimensional TSAD datasets. The experiments covers three learning setups: unsupervised, supervised, and semi-supervised. MP is the only method that consistently delivers high performance across all setups.

Chin-Chia Michael Yeh, Huiyuan Chen, Yujie Fan et al.

Time series classification is a widely studied problem in the field of time series data mining. Previous research has predominantly focused on scenarios where relevant or foreground subsequences have already been extracted, with each subsequence corresponding to a single label. However, real-world time series data often contain foreground subsequences that are intertwined with background subsequences. Successfully classifying these relevant subsequences requires not only distinguishing between different classes but also accurately identifying the foreground subsequences amidst the background. To address this challenge, we propose a novel subsequence classification method that represents each subsequence as an ego-network, providing crucial nearest neighbor information to the model. The ego-networks of all subsequences collectively form a time series subsequence graph, and we introduce an algorithm to efficiently construct this graph. Furthermore, we have demonstrated the significance of enforcing temporal consistency in the prediction of adjacent subsequences for the subsequence classification problem. To evaluate the effectiveness of our approach, we conducted experiments using 128 univariate and 30 multivariate time series datasets. The experimental results demonstrate the superior performance of our method compared to alternative approaches. Specifically, our method outperforms the baseline on 104 out of 158 datasets.

Chin-Chia Michael Yeh, Xin Dai, Yan Zheng et al.

Multitask learning (MTL) aims to develop a unified model that can handle a set of closely related tasks simultaneously. By optimizing the model across multiple tasks, MTL generally surpasses its non-MTL counterparts in terms of generalizability. Although MTL has been extensively researched in various domains such as computer vision, natural language processing, and recommendation systems, its application to time series data has received limited attention. In this paper, we investigate the application of MTL to the time series classification (TSC) problem. However, when we integrate the state-of-the-art 1D convolution-based TSC model with MTL, the performance of the TSC model actually deteriorates. By comparing the 1D convolution-based models with the Dynamic Time Warping (DTW) distance function, it appears that the underwhelming results stem from the limited expressive power of the 1D convolutional layers. To overcome this challenge, we propose a novel design for a 2D convolution-based model that enhances the model's expressiveness. Leveraging this advantage, our proposed method outperforms competing approaches on both the UCR Archive and an industrial transaction TSC dataset.

Chin-Chia Michael Yeh, Huiyuan Chen, Xin Dai et al.

Time series data is ubiquitous across various domains such as finance, healthcare, and manufacturing, but their properties can vary significantly depending on the domain they originate from. The ability to perform Content-based Time Series Retrieval (CTSR) is crucial for identifying unknown time series examples. However, existing CTSR works typically focus on retrieving time series from a single domain database, which can be inadequate if the user does not know the source of the query time series. This limitation motivates us to investigate the CTSR problem in a scenario where the database contains time series from multiple domains. To facilitate this investigation, we introduce a CTSR benchmark dataset that comprises time series data from a variety of domains, such as motion, power demand, and traffic. This dataset is sourced from a publicly available time series classification dataset archive, making it easily accessible to researchers in the field. We compare several popular methods for modeling and retrieving time series data using this benchmark dataset. Additionally, we propose a novel distance learning model that outperforms the existing methods. Overall, our study highlights the importance of addressing the CTSR problem across multiple domains and provides a useful benchmark dataset for future research.

Audrey Der, Chin-Chia Michael Yeh, Xin Dai et al.

Self-supervised Pretrained Models (PTMs) have demonstrated remarkable performance in computer vision and natural language processing tasks. These successes have prompted researchers to design PTMs for time series data. In our experiments, most self-supervised time series PTMs were surpassed by simple supervised models. We hypothesize this undesired phenomenon may be caused by data scarcity. In response, we test six time series generation methods, use the generated data in pretraining in lieu of the real data, and examine the effects on classification performance. Our results indicate that replacing a real-data pretraining set with a greater volume of only generated samples produces noticeable improvement.

Chin-Chia Michael Yeh, Yujie Fan, Xin Dai et al.

Spatial-temporal forecasting systems play a crucial role in addressing numerous real-world challenges. In this paper, we investigate the potential of addressing spatial-temporal forecasting problems using general time series forecasting models, i.e., models that do not leverage the spatial relationships among the nodes. We propose a all-Multi-Layer Perceptron (all-MLP) time series forecasting architecture called RPMixer. The all-MLP architecture was chosen due to its recent success in time series forecasting benchmarks. Furthermore, our method capitalizes on the ensemble-like behavior of deep neural networks, where each individual block within the network behaves like a base learner in an ensemble model, particularly when identity mapping residual connections are incorporated. By integrating random projection layers into our model, we increase the diversity among the blocks' outputs, thereby improving the overall performance of the network. Extensive experiments conducted on the largest spatial-temporal forecasting benchmark datasets demonstrate that the proposed method outperforms alternative methods, including both spatial-temporal graph models and general forecasting models.

Chin-Chia Michael Yeh, Uday Singh Saini, Junpeng Wang et al.

The ubiquity of time series data creates a strong demand for general-purpose foundation models, yet developing them for classification remains a significant challenge, largely due to the high cost of labeled data. Foundation models capable of in-context learning (ICL) offer a powerful solution, adapting to new tasks with minimal examples and reducing the need for extensive retraining. However, prior work on large-scale time series models has predominantly focused on forecasting, leaving a critical gap for versatile, fine-tuning-free classification. To address this, we introduce TiCT (Time-series in-Context Transformer), a transformer-based model pre-trained exclusively on synthetic data to perform in-context classification. We make two primary technical contributions: 1) a novel architecture featuring a scalable bit-based label encoding and a special output attention mechanism to handle an arbitrary number of classes; and 2) a synthetic pre-training framework that combines a Mixup-inspired process with data augmentation to foster generalization and noise invariance. Extensive evaluations on the UCR Archive show that TiCT achieves competitive performance against state-of-the-art supervised methods. Crucially, this is accomplished using only in-context examples at inference time, without updating a single model weight.

Jiarui Sun, Chin-Chia Michael Yeh, Yujie Fan et al.

Time series forecasting at scale presents significant challenges for modern prediction systems, particularly when dealing with large sets of synchronized series, such as in a global payment network. In such systems, three key challenges must be overcome for accurate and scalable predictions: 1) emergence of new entities, 2) disappearance of existing entities, and 3) the large number of entities present in the data. The recently proposed Inverted Transformer (iTransformer) architecture has shown promising results by effectively handling variable entities. However, its practical application in large-scale settings is limited by quadratic time and space complexity ($O(N^2)$) with respect to the number of entities $N$. In this paper, we introduce EiFormer, an improved inverted transformer architecture that maintains the adaptive capabilities of iTransformer while reducing computational complexity to linear scale ($O(N)$). Our key innovation lies in restructuring the attention mechanism to eliminate redundant computations without sacrificing model expressiveness. Additionally, we incorporate a random projection mechanism that not only enhances efficiency but also improves prediction accuracy through better feature representation. Extensive experiments on the public LargeST benchmark dataset and a proprietary large-scale time series dataset demonstrate that EiFormer significantly outperforms existing methods in both computational efficiency and forecasting accuracy. Our approach enables practical deployment of transformer-based forecasting in industrial applications where handling time series at scale is essential.

Prince Aboagye, Yan Zheng, Junpeng Wang et al.

The emergence of pre-trained models has significantly impacted Natural Language Processing (NLP) and Computer Vision to relational datasets. Traditionally, these models are assessed through fine-tuned downstream tasks. However, this raises the question of how to evaluate these models more efficiently and more effectively. In this study, we explore a novel approach where we leverage the meta-features associated with each entity as a source of worldly knowledge and employ entity representations from the models. We propose using the consistency between these representations and the meta-features as a metric for evaluating pre-trained models. Our method's effectiveness is demonstrated across various domains, including models with relational datasets, large language models and image models.