LightCTS: A Lightweight Framework for Correlated Time Series Forecasting

TL;DR

LightCTS is a lightweight, efficient framework for correlated time series forecasting that maintains high accuracy while reducing computational and storage costs, suitable for resource-constrained devices.

Contribution

This paper introduces LightCTS, a novel framework with simple stacking and lightweight modules, enabling efficient CTS forecasting without sacrificing accuracy.

Findings

Achieves near state-of-the-art accuracy

Reduces computational overhead significantly

Speeds up forecasting with compression scheme

Abstract

Correlated time series (CTS) forecasting plays an essential role in many practical applications, such as traffic management and server load control. Many deep learning models have been proposed to improve the accuracy of CTS forecasting. However, while models have become increasingly complex and computationally intensive, they struggle to improve accuracy. Pursuing a different direction, this study aims instead to enable much more efficient, lightweight models that preserve accuracy while being able to be deployed on resource-constrained devices. To achieve this goal, we characterize popular CTS forecasting models and yield two observations that indicate directions for lightweight CTS forecasting. On this basis, we propose the LightCTS framework that adopts plain stacking of temporal and spatial operators instead of alternate stacking that is much more computationally expensive. Moreover, LightCTS features light temporal and spatial operator modules, called L-TCN and GL-Former, that offer improved computational efficiency without compromising their feature extraction capabilities. LightCTS also encompasses a last-shot compression scheme to reduce redundant temporal features and speed up subsequent computations. Experiments with single-step and multi-step forecasting benchmark datasets show that LightCTS is capable of nearly state-of-the-art accuracy at much reduced computational and storage overheads.