eb849f6604
* Rename index.mdx to index.md * With saved modifs * Address review comment * Treat all files * .mdx -> .md * Remove special char * Update utils/tests_fetcher.py Co-authored-by: Lysandre Debut <lysandre.debut@reseau.eseo.fr> --------- Co-authored-by: Lysandre Debut <lysandre.debut@reseau.eseo.fr>
3.0 KiB
Autoformer
Overview
The Autoformer model was proposed in Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting by Haixu Wu, Jiehui Xu, Jianmin Wang, Mingsheng Long.
This model augments the Transformer as a deep decomposition architecture, which can progressively decompose the trend and seasonal components during the forecasting process.
The abstract from the paper is the following:
Extending the forecasting time is a critical demand for real applications, such as extreme weather early warning and long-term energy consumption planning. This paper studies the long-term forecasting problem of time series. Prior Transformer-based models adopt various self-attention mechanisms to discover the long-range dependencies. However, intricate temporal patterns of the long-term future prohibit the model from finding reliable dependencies. Also, Transformers have to adopt the sparse versions of point-wise self-attentions for long series efficiency, resulting in the information utilization bottleneck. Going beyond Transformers, we design Autoformer as a novel decomposition architecture with an Auto-Correlation mechanism. We break with the pre-processing convention of series decomposition and renovate it as a basic inner block of deep models. This design empowers Autoformer with progressive decomposition capacities for complex time series. Further, inspired by the stochastic process theory, we design the Auto-Correlation mechanism based on the series periodicity, which conducts the dependencies discovery and representation aggregation at the sub-series level. Auto-Correlation outperforms self-attention in both efficiency and accuracy. In long-term forecasting, Autoformer yields state-of-the-art accuracy, with a 38% relative improvement on six benchmarks, covering five practical applications: energy, traffic, economics, weather and disease.
This model was contributed by elisim and kashif. The original code can be found here.
AutoformerConfig
autodoc AutoformerConfig
AutoformerModel
autodoc AutoformerModel - forward
AutoformerForPrediction
autodoc AutoformerForPrediction - forward