Joint modeling of local and global temporal dynamics for multivariate time series forecasting with missing values

Xianfeng Tang, Huaxiu Yao, Yiwei Sun, Charu Aggarwal, Prasenjit Mitra, Suhang Wang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

13 Scopus citations

Abstract

Multivariate time series (MTS) forecasting is widely used in various domains, such as meteorology and traffic. Due to limitations on data collection, transmission, and storage, real-world MTS data usually contains missing values, making it infeasible to apply existing MTS forecasting models such as linear regression and recurrent neural networks. Though many efforts have been devoted to this problem, most of them solely rely on local dependencies for imputing missing values, which ignores global temporal dynamics. Local dependencies/patterns would become less useful when the missing ratio is high, or the data have consecutive missing values; while exploring global patterns can alleviate such problem. Thus, jointly modeling local and global temporal dynamics is very promising for MTS forecasting with missing values. However, work in this direction is rather limited. Therefore, we study a novel problem of MTS forecasting with missing values by jointly exploring local and global temporal dynamics. We propose a new framework LGnet, which leverages memory network to explore global patterns given estimations from local perspectives. We further introduce adversarial training to enhance the modeling of global temporal distribution. Experimental results on real-world datasets show the effectiveness of LGnet for MTS forecasting with missing values and its robustness under various missing ratios.

Original languageEnglish (US)
Title of host publicationAAAI 2020 - 34th AAAI Conference on Artificial Intelligence
PublisherAAAI press
Pages5956-5963
Number of pages8
ISBN (Electronic)9781577358350
StatePublished - 2020
Event34th AAAI Conference on Artificial Intelligence, AAAI 2020 - New York, United States
Duration: Feb 7 2020Feb 12 2020

Publication series

NameAAAI 2020 - 34th AAAI Conference on Artificial Intelligence

Conference

Conference34th AAAI Conference on Artificial Intelligence, AAAI 2020
Country/TerritoryUnited States
CityNew York
Period2/7/202/12/20

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence

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