Learning Dynamic Temporal Relations with Continuous Graph for Multivariate Time Series Forecasting (Student Abstract)

The recent advance in graph neural networks (GNNs) has inspired a few studies to leverage the dependencies of variables for time series prediction. Despite the promising results, existing GNN-based models cannot capture the global dynamic relations between variables owing to the inherent limitation of their graph learning module. Besides, multi-scale temporal information is usually ignored or simply concatenated in prior methods, resulting in inaccurate predictions. To overcome these limitations, we present CGMF, a Continuous Graph learning method for Multivariate time series Forecasting (CGMF). Our CGMF consists of a continuous graph module incorporating differential equations to capture the long-range intra- and inter-relations of the temporal embedding sequence. We also introduce a controlled differential equation-based fusion mechanism that efficiently exploits multi-scale representations to form continuous evolutional dynamics and learn rich relations and patterns shared across different scales. Comprehensive experiments demonstrate the effectiveness of our method for a variety of datasets.

Authors

• Zhiyuan Wang University of Electronic Science and Technology of China, China
• Fan Zhou University of Electronic Science and Technology of China
• Goce Trajcevski Iowa State University, Iowa, USA
• Kunpeng Zhang University of Maryland, College Park
• Ting Zhong University of Electronic Science and Technology of China

Keywords

• Continuous Inference
• Graph Neural Network
• Multivariate Time Series Forecasting
• Neural Differential Equation