A Multi-Task Learning Approach to Linear Multivariate Forecasting
This work addresses the incremental improvement of forecasting accuracy for engineering and scientific applications by better modeling inter-relations between variates.
The paper tackles the problem of multivariate time series forecasting by proposing a multi-task learning approach that groups similar variates and balances gradients, achieving on-par or better results compared to strong baselines on challenging benchmarks.
Accurate forecasting of multivariate time series data is important in many engineering and scientific applications. Recent state-of-the-art works ignore the inter-relations between variates, using their model on each variate independently. This raises several research questions related to proper modeling of multivariate data. In this work, we propose to view multivariate forecasting as a multi-task learning problem, facilitating the analysis of forecasting by considering the angle between task gradients and their balance. To do so, we analyze linear models to characterize the behavior of tasks. Our analysis suggests that tasks can be defined by grouping similar variates together, which we achieve via a simple clustering that depends on correlation-based similarities. Moreover, to balance tasks, we scale gradients with respect to their prediction error. Then, each task is solved with a linear model within our MTLinear framework. We evaluate our approach on challenging benchmarks in comparison to strong baselines, and we show it obtains on-par or better results on multivariate forecasting problems. The implementation is available at: https://github.com/azencot-group/MTLinear