Generative Time Series Forecasting with Diffusion, Denoise, and Disentanglement

TL;DR

This paper introduces D3VAE, a generative model combining diffusion, denoising, and disentanglement within a bidirectional variational auto-encoder to improve time series forecasting, especially with limited and noisy data.

Contribution

The paper proposes a novel D3VAE model that integrates diffusion, denoising, and disentanglement techniques for enhanced time series forecasting performance.

Findings

D3VAE outperforms existing methods on synthetic and real-world datasets.

The model effectively augments data without increasing uncertainty.

Disentanglement improves interpretability and stability of predictions.

Abstract

Time series forecasting has been a widely explored task of great importance in many applications. However, it is common that real-world time series data are recorded in a short time period, which results in a big gap between the deep model and the limited and noisy time series. In this work, we propose to address the time series forecasting problem with generative modeling and propose a bidirectional variational auto-encoder (BVAE) equipped with diffusion, denoise, and disentanglement, namely D3VAE. Specifically, a coupled diffusion probabilistic model is proposed to augment the time series data without increasing the aleatoric uncertainty and implement a more tractable inference process with BVAE. To ensure the generated series move toward the true target, we further propose to adapt and integrate the multiscale denoising score matching into the diffusion process for time series forecasting. In addition, to enhance the interpretability and stability of the prediction, we treat the latent variable in a multivariate manner and disentangle them on top of minimizing total correlation. Extensive experiments on synthetic and real-world data show that D3VAE outperforms competitive algorithms with remarkable margins. Our implementation is available at https://github.com/PaddlePaddle/PaddleSpatial/tree/main/research/D3VAE.