Spatio-temporal Multivariate Time Series Forecast with Chosen Variables

TL;DR

This paper introduces a novel framework for spatio-temporal multivariate time series forecasting that jointly optimizes variable selection and model performance, addressing the practical challenge of choosing the most informative variables for improved accuracy and efficiency.

Contribution

It proposes a unified approach with three technical components to select the best variables and optimize the model, filling a gap in existing research.

Findings

Significantly outperforms state-of-the-art baselines in accuracy.

Achieves higher efficiency in model computation.

Demonstrates effectiveness across five real-world datasets.

Abstract

Spatio-Temporal Multivariate time series Forecast (STMF) uses the time series of $n$ spatially distributed variables in a period of recent past to forecast their values in a period of near future. It has important applications in spatio-temporal sensing forecast such as road traffic prediction and air pollution prediction. Recent papers have addressed a practical problem of missing variables in the model input, which arises in the sensing applications where the number $m$ of sensors is far less than the number $n$ of locations to be monitored, due to budget constraints. We observe that the state of the art assumes that the $m$ variables (i.e., locations with sensors) in the model input are pre-determined and the important problem of how to choose the $m$ variables in the input has never been studied. This paper fills the gap by studying a new problem of STMF with chosen variables, which optimally selects $m$-out-of-$n$ variables for the model input in order to maximize the forecast accuracy. We propose a unified framework that jointly performs variable selection and model optimization for both forecast accuracy and model efficiency. It consists of three novel technical components: (1) masked variable-parameter pruning, which progressively prunes less informative variables and attention parameters through quantile-based masking; (2) prioritized variable-parameter replay, which replays low-loss past samples to preserve learned knowledge for model stability; (3) dynamic extrapolation mechanism, which propagates information from variables selected for the input to all other variables via learnable spatial embeddings and adjacency information. Experiments on five real-world datasets show that our work significantly outperforms the state-of-the-art baselines in both accuracy and efficiency, demonstrating the effectiveness of joint variable selection and model optimization.