Oscillators Are All You Need: Irregular Time Series Modelling via Damped Harmonic Oscillators with Closed-Form Solutions

TL;DR

This paper introduces a novel oscillator-based model for irregular time series that uses closed-form solutions to eliminate computational bottlenecks, achieving state-of-the-art results efficiently.

Contribution

It replaces neural ODEs with damped harmonic oscillators with known closed-form solutions, enabling scalable and theoretically sound irregular time series modeling.

Findings

Achieves state-of-the-art performance on irregular time series benchmarks.

Eliminates the computational overhead of numerical solvers.

Maintains universal approximation capabilities of continuous-time attention.

Abstract

Transformers excel at time series modelling through attention mechanisms that capture long-term temporal patterns. However, they assume uniform time intervals and therefore struggle with irregular time series. Neural Ordinary Differential Equations (NODEs) effectively handle irregular time series by modelling hidden states as continuously evolving trajectories. ContiFormers arxiv:2402.10635 combine NODEs with Transformers, but inherit the computational bottleneck of the former by using heavy numerical solvers. This bottleneck can be removed by using a closed-form solution for the given dynamical system - but this is known to be intractable in general! We obviate this by replacing NODEs with a novel linear damped harmonic oscillator analogy - which has a known closed-form solution. We model keys and values as damped, driven oscillators and expand the query in a sinusoidal basis up to a suitable number of modes. This analogy naturally captures the query-key coupling that is fundamental to any transformer architecture by modelling attention as a resonance phenomenon. Our closed-form solution eliminates the computational overhead of numerical ODE solvers while preserving expressivity. We prove that this oscillator-based parameterisation maintains the universal approximation property of continuous-time attention; specifically, any discrete attention matrix realisable by ContiFormer's continuous keys can be approximated arbitrarily well by our fixed oscillator modes. Our approach delivers both theoretical guarantees and scalability, achieving state-of-the-art performance on irregular time series benchmarks while being orders of magnitude faster. Acknowledgement: This work was done in collaboration with Dirac Labs.