Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting

TL;DR

Autoformer introduces a novel decomposition architecture with Auto-Correlation mechanism, significantly improving long-term time series forecasting accuracy and efficiency across diverse practical applications.

Contribution

The paper proposes Autoformer, a new model combining series decomposition and Auto-Correlation, surpassing Transformer-based models in long-term forecasting tasks.

Findings

Autoformer achieves a 38% relative improvement on six benchmarks.

Autoformer outperforms self-attention in efficiency and accuracy.

Effective across energy, traffic, economics, weather, and disease forecasting.

Abstract

Extending the forecasting time is a critical demand for real applications, such as extreme weather early warning and long-term energy consumption planning. This paper studies the long-term forecasting problem of time series. Prior Transformer-based models adopt various self-attention mechanisms to discover the long-range dependencies. However, intricate temporal patterns of the long-term future prohibit the model from finding reliable dependencies. Also, Transformers have to adopt the sparse versions of point-wise self-attentions for long series efficiency, resulting in the information utilization bottleneck. Going beyond Transformers, we design Autoformer as a novel decomposition architecture with an Auto-Correlation mechanism. We break with the pre-processing convention of series decomposition and renovate it as a basic inner block of deep models. This design empowers Autoformer with progressive decomposition capacities for complex time series. Further, inspired by the stochastic process theory, we design the Auto-Correlation mechanism based on the series periodicity, which conducts the dependencies discovery and representation aggregation at the sub-series level. Auto-Correlation outperforms self-attention in both efficiency and accuracy. In long-term forecasting, Autoformer yields state-of-the-art accuracy, with a 38% relative improvement on six benchmarks, covering five practical applications: energy, traffic, economics, weather and disease. Code is available at this repository: \url{https://github.com/thuml/Autoformer}.