SAFE: Spectral Evolution Analysis Feature Extraction for Non-Stationary Time Series Prediction

This paper presents a practical approach for detecting non-stationarity in time series prediction. This method is called SAFE and works by monitoring the evolution of the spectral contents of time series through a distance function. This method is designed to work in combination with state-of-the-art machine learning methods in real time by informing the online predictors to perform necessary adaptation when a non-stationarity presents. We also propose an algorithm to proportionally include some past data in the adaption process to overcome the Catastrophic Forgetting problem. To validate our hypothesis and test the effectiveness of our approach, we present comprehensive experiments in different elements of the approach involving artificial and real-world datasets. The experiments show that the proposed method is able to significantly save computational resources in term of processor or GPU cycles while maintaining high prediction performances.

New Results on Multi-Step Traffic Flow Prediction

In its simplest form, the traffic flow prediction problem is restricted to predicting a single time-step into the future. Multi-step traffic flow prediction extends this set-up to the case where predicting multiple time-steps into the future based on some finite history is of interest. This problem is significantly more difficult than its single-step variant and is known to suffer from degradation in predictions as the time step increases. In this paper, two approaches to improve multi-step traffic flow prediction performance in recursive and multi-output settings are introduced. In particular, a model that allows recursive prediction approaches to take into account the temporal context in term of time-step index when making predictions is introduced. In addition, a conditional generative adversarial network-based data augmentation method is proposed to improve prediction performance in the multi-output setting. The experiments on a real-world traffic flow dataset show that the two methods improve on multi-step traffic flow prediction in recursive and multi-output settings, respectively.