DeepGate: Global-local decomposition for multivariate time series modeling

Jinuk Park, Chanhee Park, Jonghwan Choi, Sanghyun Park

Research output: Contribution to journalArticlepeer-review

Abstract

In multivariate time series, a substantial amount of variables exhibit common dynamics stemming from a small number of global factors. Recent studies have shown that the shared information from global components can enhance the forecasting performance of time series. However, existing global–local approaches treat the global factors as additional hidden states inside the model without providing global series for downstream analysis. In this study, we propose DeepGate, a novel time series forecasting framework based on the explicit global–local decomposition. To retain the global and local series property, we have built decomposition and prediction modules separately. In this way, DeepGate can produce interpretable global series for further tasks while improving forecasting performance with the aid of global and local series. In addition, to alleviate the discrepancy between the training and testing steps, we employ a denoising training technique for multi-step forecasting problems. In numerous experiments on real-world benchmarks for time series forecasting, DeepGate outperforms the baselines including existing global–local models. In particular, the experimental results on synthetic tasks demonstrate that our model can effectively extract underlying global series.

Original languageEnglish
Pages (from-to)158-178
Number of pages21
JournalInformation sciences
Volume590
DOIs
Publication statusPublished - 2022 Apr

Bibliographical note

Funding Information:
This research was supported by the MSIT (Ministry of Science and ICT), Korea, under the SW Starlab support program (IITP-2017-0-00477) supervised by the IITP (Institute for Information & communications Technology Promotion).

Publisher Copyright:
© 2022 Elsevier Inc.

All Science Journal Classification (ASJC) codes

  • Software
  • Control and Systems Engineering
  • Theoretical Computer Science
  • Computer Science Applications
  • Information Systems and Management
  • Artificial Intelligence

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