LagCNN: A Fast yet Effective Model for Multivariate Long-term Time Series Forecasting
Authors: 
Linsen Li, Chunfei Jian, Feng Wan, Dongdong Geng, Ziquan Fang, Lu Chen, Yunjun Gao, Weihao Jiang, Jiang ZhuAuthors Info & Claims
Pages 1235 - 1244
Abstract
Long-term time series forecasting has gained significant attention in recent years due to its widely-application in various fields. Transformer-based models have gained popularity for the ability to capture long-sequence interactions. However, these models are limited in real-world use because of the memory consumption and computation explosion. The CNN-based models are also one of the main models used for time series prediction, but their performance has always been inferior to the transformer-based models in previous works. We have reconsidered the role of CNN components and redefined the way CNN basic components are used for time series prediction. In addition, the time lags information between periods in the time series is important. Unfortunately, existing works lack consideration of this classic but important information. Motivated by these factors, we propose a fast yet effective CNN model with time lags for multivariate long-term time series forecasting, named LagCNN. Specifically, the time series is transformed into lag-patches to capture the correlation between periods. Then, a fast CNN model is performed in the feature dimension rather than the time dimension like most previous works do. Meanwhile, information aggregation is performed in the time dimension to extract complex temporal patterns. LagCNN significantly outperforms state-of-the-art on multiple publicly available datasets. One step further, LagCNN exhibits significant efficiency advantages over the most efficient Transformer model (PatchTST), resulting in a significant reduction in memory usage (4.4×) and runtime (10.7×).
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- LagCNN: A Fast yet Effective Model for Multivariate Long-term Time Series Forecasting
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Published: 21 October 2024
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