Long-term series forecasting with Query Selector -- efficient model of sparse attention

19 Jul 2021  ·  Jacek Klimek, Jakub Klimek, Witold Kraskiewicz, Mateusz Topolewski ·

Various modifications of TRANSFORMER were recently used to solve time-series forecasting problem. We propose Query Selector - an efficient, deterministic algorithm for sparse attention matrix. Experiments show it achieves state-of-the art results on ETT, Helpdesk and BPI'12 datasets.

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Datasets


Task Dataset Model Metric Name Metric Value Global Rank Uses Extra
Training Data
Result Benchmark
Multivariate Time Series Forecasting BPI challenge '12 QuerySelector Accuracy 0.79 # 1
Time Series Forecasting ETTh1 (168) Multivariate Transformer MSE 0.7146 # 3
MAE 0.6325 # 2
Time Series Forecasting ETTh1 (168) Multivariate QuerySelector MSE 0.6835 # 2
MAE 0.6088 # 3
Time Series Forecasting ETTh1 (168) Univariate QuerySelector MSE 0.0935 # 2
MAE 0.2371 # 3
Time Series Forecasting ETTh1 (168) Univariate Transformer MSE 0.1049 # 3
MAE 0.2539 # 2
Time Series Forecasting ETTh1 (24) Multivariate Transformer MSE 0.4496 # 3
MAE 0.4788 # 2
Time Series Forecasting ETTh1 (24) Multivariate QuerySelector MSE 0.4226 # 2
MAE 0.4627 # 3
Time Series Forecasting ETTh1 (24) Univariate Transformer MSE 0.0548 # 4
MAE 0.183 # 1
Time Series Forecasting ETTh1 (24) Univariate QuerySelector MSE 0.0436 # 2
MAE 0.1616 # 2
Time Series Forecasting ETTh1 (336) Multivariate Transformer MSE 0.8321 # 66
MAE 0.7041 # 2
Time Series Forecasting ETTh1 (336) Multivariate QuerySelector MSE 0.8503 # 67
MAE 0.7039 # 3
Time Series Forecasting ETTh1 (336) Univariate QuerySelector MSE 0.1267 # 8
MAE 0.2844 # 3
Time Series Forecasting ETTh1 (336) Univariate Transformer MSE 0.1541 # 9
MAE 0.3201 # 2
Time Series Forecasting ETTh1 (48) Multivariate Transformer MSE 0.4668 # 3
MAE 0.4968 # 2
Time Series Forecasting ETTh1 (48) Multivariate QuerySelector MSE 0.4581 # 2
MAE 0.4878 # 3
Time Series Forecasting ETTh1 (48) Univariate Transformer MSE 0.074 # 3
MAE 0.2144 # 2
Time Series Forecasting ETTh1 (48) Univariate QuerySelector MSE 0.0721 # 2
MAE 0.2118 # 3
Time Series Forecasting ETTh1 (720) Multivariate QuerySelector MSE 1.115 # 20
MAE 0.8428 # 1
Time Series Forecasting ETTh1 (720) Multivariate Transformer MSE 1.108 # 19
MAE 0.8399 # 2
Time Series Forecasting ETTh1 (720) Univariate QuerySelector MSE 0.2136 # 11
MAE 0.373 # 2
Time Series Forecasting ETTh1 (720) Univariate Transformer MSE 0.2501 # 12
MAE 0.4213 # 1
Time Series Forecasting ETTh2 (168) Multivariate Transformer MSE 1.6225 # 3
MAE 0.9726 # 3
Time Series Forecasting ETTh2 (168) Multivariate QuerySelector MSE 1.7385 # 4
MAE 1.0125 # 1
Time Series Forecasting ETTh2 (168) Univariate QuerySelector MSE 0.1753 # 3
MAE 0.3322 # 2
Time Series Forecasting ETTh2 (168) Univariate Transformer MSE 0.1974 # 4
MAE 0.3547 # 1
Time Series Forecasting ETTh2 (24) Multivariate QuerySelector MSE 0.4124 # 2
MAE 0.4864 # 3
Time Series Forecasting ETTh2 (24) Multivariate Transformer MSE 0.4237 # 3
MAE 0.5013 # 2
Time Series Forecasting ETTh2 (24) Univariate QuerySelector MSE 0.0843 # 3
MAE 0.2239 # 2
Time Series Forecasting ETTh2 (24) Univariate Transformer MSE 0.0999 # 4
MAE 0.2479 # 1
Time Series Forecasting ETTh2 (336) Multivariate Transformer MSE 2.6617 # 19
MAE 1.2189 # 1
Time Series Forecasting ETTh2 (336) Multivariate QuerySelector MSE 2.3168 # 18
MAE 1.1859 # 2
Time Series Forecasting ETTh2 (336) Univariate QuerySelector MSE 0.2088 # 8
MAE 0.371 # 2
Time Series Forecasting ETTh2 (336) Univariate Transformer MSE 0.2191 # 10
MAE 0.3805 # 1
Time Series Forecasting ETTh2 (48) Multivariate Transformer MSE 1.522 # 4
MAE 0.9488 # 1
Time Series Forecasting ETTh2 (48) Multivariate QuerySelector MSE 1.4074 # 3
MAE 0.9317 # 2
Time Series Forecasting ETTh2 (48) Univariate Transformer MSE 0.1218 # 4
MAE 0.2763 # 1
Time Series Forecasting ETTh2 (48) Univariate QuerySelector MSE 0.1117 # 3
MAE 0.2622 # 2
Time Series Forecasting ETTh2 (720) Multivariate QuerySelector MSE 3.0664 # 18
MAE 1.3084 # 2
Time Series Forecasting ETTh2 (720) Multivariate Transformer MSE 3.1805 # 19
MAE 1.3668 # 1
Time Series Forecasting ETTh2 (720) Univariate Transformer MSE 0.2853 # 10
MAE 0.434 # 11
Time Series Forecasting ETTh2 (720) Univariate QuerySelector MSE 0.2585 # 8
MAE 0.413 # 8
Multivariate Time Series Forecasting Helpdesk QuerySelector Accuracy 0.743 # 1

Methods