AutoCTS++: zero-shot joint neural architecture and hyperparameter search for correlated time series forecasting

Sensors in cyber-physical systems often capture interconnected processes and thus emit correlated time series (CTS), the forecasting of which enables important applications. Recent deep learning based forecasting methods show strong capabilities at capturing both the temporal dynamics of time series and the spatial correlations among time series, thus achieving impressive accuracy. In particular, automated CTS forecasting, where a deep learning architecture is configured automatically, enables forecasting accuracy that surpasses what has been achieved by manual approaches. However, automated CTS forecasting remains in its infancy, as existing proposals are only able to find optimal architectures for predefined hyperparameters and for specific datasets and forecasting settings (e.g., short vs. long term forecasting). These limitations hinder real-world industrial application, where forecasting faces diverse datasets and forecasting settings. We propose AutoCTS++, a zero-shot, joint search framework, to efficiently configure effective CTS forecasting models (including both neural architectures and hyperparameters), even when facing unseen datasets and foreacsting settings. Specifically, we propose an architecture-hyperparameter joint search space by encoding candidate architecture and accompanying hyperparameters into a graph representation. We then introduce a zero-shot Task-aware Architecture-Hyperparameter Comparator (T-AHC) to rank architecture-hyperparameter pairs according to different tasks (i.e., datasets and forecasting settings). We propose zero-shot means to train T-AHC, enabling it to rank architecture-hyperparameter pairs given unseen datasets and forecasting settings. A final forecasting model is then selected from the top-ranked pairs. Extensive experiments involving multiple benchmark datasets and forecasting settings demonstrate that AutoCTS++ is able to efficiently devise forecasting models for unseen datasets and forecasting settings that are capable of outperforming existing manually designed and automated models.