Winner-takes-all for Multivariate Probabilistic Time Series Forecasting

We introduce TimeMCL, a method leveraging the Multiple Choice Learning (MCL) paradigm to forecast multiple plausible time series futures. Our approach employs a neural network with multiple heads and utilizes the Winner-Takes-All (WTA) loss to promote diversity among predictions. MCL has recently gained attention due to its simplicity and ability to address ill-posed and ambiguous tasks. We propose an adaptation of this framework for time-series forecasting, presenting it as an efficient method to predict diverse futures, which we relate to its implicit quantization objective. We provide insights into our approach using synthetic data and evaluate it on real-world time series, demonstrating its promising performance at a light computational cost.

Annealed Multiple Choice Learning: Overcoming limitations of Winner-takes-all with annealing

We introduce Annealed Multiple Choice Learning (aMCL) which combines simulated annealing with MCL. MCL is a learning framework handling ambiguous tasks by predicting a small set of plausible hypotheses. These hypotheses are trained using the Winner-takes-all (WTA) scheme, which promotes the diversity of the predictions. However, this scheme may converge toward an arbitrarily suboptimal local minimum, due to the greedy nature of WTA. We overcome this limitation using annealing, which enhances the exploration of the hypothesis space during training. We leverage insights from statistical physics and information theory to provide a detailed description of the model training trajectory. Additionally, we validate our algorithm by extensive experiments on synthetic datasets, on the standard UCI benchmark, and on speech separation.