TreeDRNet:A Robust Deep Model for Long Term Time Series Forecasting
This work addresses robustness and efficiency issues in long-term forecasting for applications like finance or climate modeling, though it appears incremental as it builds on existing neural network concepts.
The paper tackles the problem of performance deterioration and high computational cost in transformer-based models for long-term time series forecasting by proposing TreeDRNet, a novel architecture based on multilayer perceptrons, which reduces prediction errors by 20% to 40% and is over 10 times more efficient than existing methods.
Various deep learning models, especially some latest Transformer-based approaches, have greatly improved the state-of-art performance for long-term time series forecasting.However, those transformer-based models suffer a severe deterioration performance with prolonged input length, which prohibits them from using extended historical info.Moreover, these methods tend to handle complex examples in long-term forecasting with increased model complexity, which often leads to a significant increase in computation and less robustness in performance(e.g., overfitting). We propose a novel neural network architecture, called TreeDRNet, for more effective long-term forecasting. Inspired by robust regression, we introduce doubly residual link structure to make prediction more robust.Built upon Kolmogorov-Arnold representation theorem, we explicitly introduce feature selection, model ensemble, and a tree structure to further utilize the extended input sequence, which improves the robustness and representation power of TreeDRNet. Unlike previous deep models for sequential forecasting work, TreeDRNet is built entirely on multilayer perceptron and thus enjoys high computational efficiency. Our extensive empirical studies show that TreeDRNet is significantly more effective than state-of-the-art methods, reducing prediction errors by 20% to 40% for multivariate time series. In particular, TreeDRNet is over 10 times more efficient than transformer-based methods. The code will be released soon.