Scalable Transformer for High Dimensional Multivariate Time Series Forecasting

This paper was accepted by CIKM 2024. We provide the open-source code here. This is the official repository for "Scalable Transformer for High Dimensional Multivariate Time Series Forecasting" (Accepted by CIKM-24) [Paper]

🌟 If you find this work helpful, please consider to star this repository and cite our research:

@inproceedings{10.1145/3627673.3679757,
  author = {Zhou, Xin and Wang, Weiqing and Buntine, Wray and Qu, Shilin and Sriramulu, Abishek and Tan, Weicong and Bergmeir, Christoph},
  title = {Scalable Transformer for High Dimensional Multivariate Time Series Forecasting},
  year = {2024},
  isbn = {9798400704369},
  publisher = {Association for Computing Machinery},
  address = {New York, NY, USA},
  url = {https://doi.org/10.1145/3627673.3679757},
  doi = {10.1145/3627673.3679757},
  booktitle = {Proceedings of the 33rd ACM International Conference on Information and Knowledge Management},
  pages = {3515–3526},
  numpages = {12},
  keywords = {forecasting accuracy, high-dimensional time series, multivariate time series forecasting},
  location = {Boise, ID, USA},
  series = {CIKM '24}
}

Datasets

Please access the well-pre-processed Crime-Chicago and Wiki-People datasets from [Google Drive], then place the downloaded contents under the corresponding folders of /dataset

Quick Demo

1. Clone this repository

   git clone git@github.com:xinzzzhou/ScalableTransformer4HighDimensionMTSF.git
   cd ScalableTransformer4HighDimensionMTSF

2. Config environment

   conda create --name sthd python=3.9
   conda activate sthd
   pip install -r requirement.txt

3. Download datasets and place them under the corresponding folders of /dataset
4. Train and test the model. We provide two main.py files for demonstration purpose under the root folder. For example, you can train and test Crime-Chicago dataset by:

Relation sparsity. Run datasets/top-k-train corr-compute.py to get the correlation, modeling with the accelerated computation - DeepGraph.

python datasets/top-k-train/corr-compute.py

Run the main file. Config the parameters and run run.py to train and evaluate the model.

python run_crime.py

Acknowledgement

Our implementation adapts Time-Series-Library as the code base and have extensively modified it to our purposes. We thank the authors for sharing their implementations and related resources.