ATPAM: Adversarial Temporal Pattern Attention Mechanism

Abstract

Abstract. Time series forecasting has a large number of applications in daily life, for instance the prediction of stock prices, electricity consumption, exchange rate changes etc. However, the existing time series prediction methods have limitations. The most significant one is that when all the prediction models get the predicted value, a new round of iteration starts after the loss function is calculated with the corresponding real data. This may cause the accumulation of errors, since there is only one loss function to measure the difference between the predicted value and the ground truth, it will make the connection weak and mainly depend on the accuracy of the prediction model. Unfortunately, there are few time series prediction models with high accuracy in reality. To solve the issue, in this paper, we propose a new time series forecasting model Adversarial Temporal Pattern Attention Mechanism (ATPAM), which based on Generative Adversarial Nets (GANs). ATPAM adopts a Temporal Pattern Attention model as the generator to learn time-invariant temporal patterns, and use a discriminator to improve the prediction performance and do auxiliary adversarial training. Extensive experiments on several real-world datasets show the effectiveness of our method.