计算机科学
概率逻辑
多元统计
人工智能
系列(地层学)
潜变量
机器学习
时间序列
自编码
深度学习
生物
古生物学
作者
Nam Nguyen,Brian Quanz
标识
DOI:10.1609/aaai.v35i10.17101
摘要
Probabilistic forecasting of high dimensional multivariate time series is a notoriously challenging task, both in terms of computational burden and distribution modeling. Most previous work either makes simple distribution assumptions or abandons modeling cross-series correlations. A promising line of work exploits scalable matrix factorization for latent-space forecasting, but is limited to linear embeddings, unable to model distributions, and not trainable end-to-end when using deep learning forecasting. We introduce a novel temporal latent auto-encoder method which enables nonlinear factorization of multivariate time series, learned end-to-end with a temporal deep learning latent space forecast model. By imposing a probabilistic latent space model, complex distributions of the input series are modeled via the decoder. Extensive experiments demonstrate that our model achieves state-of-the-art performance on many popular multivariate datasets, with gains sometimes as high as 50% for several standard metrics.
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