Ada-MSHyper: Adaptive Multi-Scale Hypergraph Transformer for Time Series Forecasting
This work improves time series forecasting accuracy for applications requiring multi-scale pattern analysis, but it is incremental as it builds on transformer-based methods.
The paper tackles the problem of modeling multi-scale temporal patterns in time series forecasting by addressing challenges like low semantic information in individual points and entangled temporal variations, resulting in state-of-the-art performance with average MSE reductions of 4.56% for long-range, 10.38% for short-range, and 4.97% for ultra-long-range forecasting.
Although transformer-based methods have achieved great success in multi-scale temporal pattern interaction modeling, two key challenges limit their further development: (1) Individual time points contain less semantic information, and leveraging attention to model pair-wise interactions may cause the information utilization bottleneck. (2) Multiple inherent temporal variations (e.g., rising, falling, and fluctuating) entangled in temporal patterns. To this end, we propose Adaptive Multi-Scale Hypergraph Transformer (Ada-MSHyper) for time series forecasting. Specifically, an adaptive hypergraph learning module is designed to provide foundations for modeling group-wise interactions, then a multi-scale interaction module is introduced to promote more comprehensive pattern interactions at different scales. In addition, a node and hyperedge constraint mechanism is introduced to cluster nodes with similar semantic information and differentiate the temporal variations within each scales. Extensive experiments on 11 real-world datasets demonstrate that Ada-MSHyper achieves state-of-the-art performance, reducing prediction errors by an average of 4.56%, 10.38%, and 4.97% in MSE for long-range, short-range, and ultra-long-range time series forecasting, respectively. Code is available at https://github.com/shangzongjiang/Ada-MSHyper.