Informer 时间序列模型

1 Introduction

3 significant limitations in LSTF

LSTF(Long sequence time-series forecasting)

1. The quadratic computation of self-attention. The atom operation of self-attention mechanism, namely canonical dot-product, causes the time complexity and memory usage per layer to be O(L2).
2. The memory bottleneck in stacking layers for long inputs. The stack of J encoder/decoder layers makes total memory usage to be O(J · L2), which limits the model scalability in receiving long sequence inputs.
3. The speed plunge in predicting long outputs. Dynamic decoding of vanilla Transformer makes the step-by-step inference as slow as RNN-based model (Fig.(1b)).

prior works

1. Vanilla Transformer(2017)
2. The Sparse Transformer(2019)
3. LogSparse Transformer(2019)
4. Longformer(2020)
5. Reformer(2019)
6. Linformer(2020)
7. Transformer-XL(2019)
8. Compressive Transformer(2019)

2 Preliminary

3 Methodology

Efficient Self-attention Mechanism

query’s attention is defined as a kernel smoother in a probability form

\(\mathcal{A}(q, K, V) = \mathbb{E}_{p(k|q)[v]}\)

• The Sparse Transformer

  “self-attention probability has potential sparsity” 自注意力概率具有潜在的稀疏性

Query Sparsity Measurement

• a few dot-product pairs contribute to the major attention,

• others generate trivial attention.

distinguish the “important” queries

• Kullback-Leibler divergence
• Dropping the constant,
• query’s sparsity measurement
  • Log-Sum-Exp (LSE)
  • arithmetic mean

ProbSparse Self-attention

• ProbSparse self-attention

  only attend to the u dominant queries

Encoder

• extract dependency

Self-attention Distilling

• distilling (inspired by dilated convolution)

  1. Attention Block
  2. Conv1d( )
  3. ELU( ) : activation function
  4. MaxPool

  reduce memory usage

Decoder

• two identical multihead attention layers

Generative Inference

1. sample a L_token long sequence
2. take the known 5 days before the target sequence as “starttoken”
3. feed the generative-style inference decoder
4. one forward procedure predicts outputs

Loss function

1. MSE loss function

4 Experiment

Datasets

2 collected real-world datasets for LSTF and 2 public benchmark datasets.

ETT (Electricity Transformer Temperature)

ECL (Electricity Consuming Load)

Weather

Experimental Details

Baselines:

• ARIMA(2014)
• Prophet(2018)
• LSTMa(2015)
• LSTnet(2018)
• DeepAR(2017)

self-attention:

• the canonical self-attention variant
• Reformer(2019)
• LogSparse self-attention(2019)

Metrics

• MSE
• MAE

Platform:

• a single Nvidia V100 32GB GPU

Results and Analysis

Parameter Sensitivity

Ablation Study

Computation Efficiency

5 Conclusion