FEDformer (ICML 2022 paper)

Tian Zhou, Ziqing Ma, Qingsong Wen, Xue Wang, Liang Sun, Rong Jin, "FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting," in Proc. 39th International Conference on Machine Learning (ICML 2022), Baltimore, Maryland, July 17-23, 2022. [paper]

Frequency Enhanced Decomposed Transformer (FEDformer) is more efficient than standard Transformer with a linear complexity to the sequence length. Our empirical studies with six benchmark datasets show that compared with state-of-the-art methods, FEDformer can reduce prediction error by 14.8% and 22.6% for multivariate and univariate time series, respectively.

This source code is also simultaneously updated in the Repo.

Frequency Enhanced Attention


Figure 1. Overall structure of FEDformer


Figure 2. Frequency Enhanced Block (FEB)	Figure 3. Frequency Enhanced Attention (FEA)

Main Results

Get Started

Install Python 3.6, PyTorch 1.9.0.
Download data. You can obtain all the six benchmarks from [Autoformer] or [Informer].
Train the model. We provide the experiment scripts of all benchmarks under the folder ./scripts. You can reproduce the experiment results by:

bash ./scripts/run_M.sh
bash ./scripts/run_S.sh

Citation

If you find this repo useful, please cite our paper.

@inproceedings{zhou2022fedformer,
  title={{FEDformer}: Frequency enhanced decomposed transformer for long-term series forecasting},
  author={Zhou, Tian and Ma, Ziqing and Wen, Qingsong and Wang, Xue and Sun, Liang and Jin, Rong},
  booktitle={Proc. 39th International Conference on Machine Learning (ICML 2022)},
  location = {Baltimore, Maryland},
  pages={},
  year={2022}
}