A Multiattention‐Based Supervised Feature Selection Method for Multivariate Time Series

Feature selection is a known technique to preprocess the data before performing any data mining task. In multivariate time series (MTS) prediction, feature selection needs to find both the most related variables and their corresponding delays. Both aspects, to a certain extent, represent essential characteristics of system dynamics. However, the variable and delay selection for MTS is a challenging task when the system is nonlinear and noisy. In this paper, a multiattention‐based supervised feature selection method is proposed. It translates the feature weight generation problem into a bidirectional attention generation problem with two parallel placed attention modules. The input 2D data are sliced into 1D data from two orthogonal directions, and each attention module generates attention weights from their respective dimensions. To facilitate the feature selection from the global perspective, we proposed a global weight generation method that calculates a dot product operation on the weight values of the two dimensions. To avoid the disturbance of attention weights due to noise and duplicated features, the final feature weight matrix is calculated based on the statistics of the entire training set. Experimental results show that this proposed method achieves the best performance on compared synthesized, small, medium, and practical industrial datasets, compared to several state‐of‐the‐art baseline feature selection methods.