Latent adversarial regularized autoencoder for high-dimensional probabilistic time series prediction

Abstract

Many practical applications require probabilistic prediction of time series to model the distribution on future horizons. With ever-increasing dimensions, much effort has been invested into developing methods that often make an assumption about the independence between time series. Consequently, the probabilistic prediction in high-dimensional environments has become an essential topic with significant challenges. In this paper, we propose a novel probabilistic model called latent adversarial regularized autoencoder, abbreviated as TimeLAR, specifically for high-dimensional multivariate Time Series Prediction (TSP). It integrates the flexibility of Generative Adversarial Networks (GANs) and the capability of autoencoders in extracting higher-level non-linear features. Through flexible autoencoder mapping, TimeLAR learns cross-series relationships and encodes this global information into several latent variables. We design a modified Transformer for these latent variables to capture global temporal patterns and infer latent space prediction distributions, where only one step is required to output multi-step predictions. Furthermore, we employ the GAN to further refine the performance of latent space predictions, by using a discriminator to guide the training of the autoencoder and the Transformer in an adversarial process. Finally, complex distributions of multivariate time series data can be modeled by the non-linear decoder of the autoencoder. The effectiveness of TimeLAR is empirically underpinned by extensive experiments conducted on five real-world high-dimensional time series datasets in the fields of transportation, electricity, and web page views.