Abstract
Multivariate time-series forecasting is one of the crucial and persistent challenges in time-series forecasting tasks. As a kind of data with multivariate correlation and volatility, multivariate time series impose highly nonlinear time characteristics on the forecasting model. In this paper, a new multivariate time-series forecasting model, multivariate temporal convolutional attention network (MTCAN), based on a self-attentive mechanism is proposed. MTCAN is based on the Convolution Neural Network (CNN) model, using 1D dilated convolution as the basic unit to construct asymmetric blocks, and then, the feature extraction is performed by the self-attention mechanism to finally obtain the prediction results. The input and output lengths of this network can be determined flexibly. The validation of the method is carried out with three different multivariate time-series datasets. The reliability and accuracy of the prediction results are compared with Long Short-Term Memory (LSTM), Gated Recurrent Unit (GRU), Convolutional Long Short-Term Memory (ConvLSTM), and Temporal Convolutional Network (TCN). The prediction results show that the model proposed in this paper has significantly improved prediction accuracy and generalization.
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