WDformer: A Wavelet-based Differential Transformer Model for Time Series Forecasting
This work addresses time series forecasting for applications like meteorology and finance, but it appears incremental as it builds on existing Transformer and wavelet methods with specific modifications.
The authors tackled the problem of time series forecasting by proposing WDformer, a wavelet-based differential Transformer model that leverages multi-resolution analysis and differential attention to reduce noise and focus on key information, achieving state-of-the-art results on multiple real-world datasets.
Time series forecasting has various applications, such as meteorological rainfall prediction, traffic flow analysis, financial forecasting, and operational load monitoring for various systems. Due to the sparsity of time series data, relying solely on time-domain or frequency-domain modeling limits the model's ability to fully leverage multi-domain information. Moreover, when applied to time series forecasting tasks, traditional attention mechanisms tend to over-focus on irrelevant historical information, which may introduce noise into the prediction process, leading to biased results. We proposed WDformer, a wavelet-based differential Transformer model. This study employs the wavelet transform to conduct a multi-resolution analysis of time series data. By leveraging the advantages of joint representation in the time-frequency domain, it accurately extracts the key information components that reflect the essential characteristics of the data. Furthermore, we apply attention mechanisms on inverted dimensions, allowing the attention mechanism to capture relationships between multiple variables. When performing attention calculations, we introduced the differential attention mechanism, which computes the attention score by taking the difference between two separate softmax attention matrices. This approach enables the model to focus more on important information and reduce noise. WDformer has achieved state-of-the-art (SOTA) results on multiple challenging real-world datasets, demonstrating its accuracy and effectiveness. Code is available at https://github.com/xiaowangbc/WDformer.