DBLoss: Decomposition-based Loss Function for Time Series Forecasting
This work addresses the challenge of accurately capturing seasonality and trend in time series forecasting for domains like economics and energy, offering an incremental improvement over existing loss functions.
The paper tackles the problem of time series forecasting by proposing DBLoss, a decomposition-based loss function that improves model performance by separately calculating loss for seasonal and trend components, with experiments showing significant gains across diverse datasets.
Time series forecasting holds significant value in various domains such as economics, traffic, energy, and AIOps, as accurate predictions facilitate informed decision-making. However, the existing Mean Squared Error (MSE) loss function sometimes fails to accurately capture the seasonality or trend within the forecasting horizon, even when decomposition modules are used in the forward propagation to model the trend and seasonality separately. To address these challenges, we propose a simple yet effective Decomposition-Based Loss function called DBLoss. This method uses exponential moving averages to decompose the time series into seasonal and trend components within the forecasting horizon, and then calculates the loss for each of these components separately, followed by weighting them. As a general loss function, DBLoss can be combined with any deep learning forecasting model. Extensive experiments demonstrate that DBLoss significantly improves the performance of state-of-the-art models across diverse real-world datasets and provides a new perspective on the design of time series loss functions.