论文标题
部分可观测时空混沌系统的无模型预测
FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting
论文作者
论文摘要
尽管基于变压器的方法已显着改善了长期序列预测的最新结果，但它们不仅在计算上昂贵，而且更重要的是，无法捕获全球时间序列的观点（例如，整体趋势）。为了解决这些问题，我们建议将变压器与季节性趋势分解方法相结合，在这种方法中，分解方法捕获了时间序列的全球概况，而变形金刚捕获了更详细的结构。为了进一步提高变压器在长期预测中的性能，我们利用了以下事实：大多数时间序列倾向于在诸如傅立叶变换之类的知名基础上具有稀疏的表示形式，并开发出频率增强的变压器。除了更有效外，所提出的方法被称为频率增强分解的变压器（{\ bf fedFormer}），比标准变压器具有对序列长度的线性复杂性的效率。我们使用六个基准数据集的实证研究表明，与最先进的方法相比，FedFormer可以将预测错误降低14.8 \％$ $和$ 22.6 \％\％\％$ $，分别为多变量和单变量时间序列。代码可在https://github.com/maziqing/fedformer上公开获取。
Although Transformer-based methods have significantly improved state-of-the-art results for long-term series forecasting, they are not only computationally expensive but more importantly, are unable to capture the global view of time series (e.g. overall trend). To address these problems, we propose to combine Transformer with the seasonal-trend decomposition method, in which the decomposition method captures the global profile of time series while Transformers capture more detailed structures. To further enhance the performance of Transformer for long-term prediction, we exploit the fact that most time series tend to have a sparse representation in well-known basis such as Fourier transform, and develop a frequency enhanced Transformer. Besides being more effective, the proposed method, termed as Frequency Enhanced Decomposed Transformer ({\bf FEDformer}), is more efficient than standard Transformer with a linear complexity to the sequence length. Our empirical studies with six benchmark datasets show that compared with state-of-the-art methods, FEDformer can reduce prediction error by $14.8\%$ and $22.6\%$ for multivariate and univariate time series, respectively. Code is publicly available at https://github.com/MAZiqing/FEDformer.
