Deep learning has been actively applied to time-series forecasting, leading to a deluge of new autoregressive model architectures. Yet, despite the attractive properties of time-index based models, such as being a continuous signal function over time leading to smooth representations, little attention has been given to them. Indeed, while naive deep time-index based models are far more expressive than the manually predefined function representations of classical time-index based models, they are inadequate for forecasting due to the lack of inductive biases, and the non-stationarity of time-series. In this paper, we propose DeepTIMe, a deep time-index based model trained via a meta-learning formulation which overcomes these limitations, yielding an efficient and accurate forecasting model. Extensive experiments on real world datasets demonstrate that our approach achieves competitive results with state-of-the-art methods, and is highly efficient. Code is available at https://github.com/salesforce/DeepTIMe.
Unbiased learning to rank (ULTR) aims to train an unbiased ranking model from biased user click logs. Most of the current ULTR methods are based on the examination hypothesis (EH), which assumes that the click probability can be factorized into two scalar functions, one related to ranking features and the other related to bias factors. Unfortunately, the interactions among features, bias factors and clicks are complicated in practice, and usually cannot be factorized in this independent way. Fitting click data with EH could lead to model misspecification and bring the approximation error. In this paper, we propose a vector-based EH and formulate the click probability as a dot product of two vector functions. This solution is complete due to its universality in fitting arbitrary click functions. Based on it, we propose a novel model named Vectorization to adaptively learn the relevance embeddings and sort documents by projecting embeddings onto a base vector. Extensive experiments show that our method significantly outperforms the state-of-the-art ULTR methods on complex real clicks as well as simple simulated clicks.
Existing continual learning methods use Batch Normalization (BN) to facilitate training and improve generalization across tasks. However, the non-i.i.d and non-stationary nature of continual learning data, especially in the online setting, amplify the discrepancy between training and testing in BN and hinder the performance of older tasks. In this work, we study the cross-task normalization effect of BN in online continual learning where BN normalizes the testing data using moments biased towards the current task, resulting in higher catastrophic forgetting. This limitation motivates us to propose a simple yet effective method that we call Continual Normalization (CN) to facilitate training similar to BN while mitigating its negative effect. Extensive experiments on different continual learning algorithms and online scenarios show that CN is a direct replacement for BN and can provide substantial performance improvements. Our implementation is available at \url{https://github.com/phquang/Continual-Normalization}.
The fast adaptation capability of deep neural networks in non-stationary environments is critical for online time series forecasting. Successful solutions require handling changes to new and recurring patterns. However, training deep neural forecaster on the fly is notoriously challenging because of their limited ability to adapt to non-stationary environments and the catastrophic forgetting of old knowledge. In this work, inspired by the Complementary Learning Systems (CLS) theory, we propose Fast and Slow learning Networks (FSNet), a holistic framework for online time-series forecasting to simultaneously deal with abrupt changing and repeating patterns. Particularly, FSNet improves the slowly-learned backbone by dynamically balancing fast adaptation to recent changes and retrieving similar old knowledge. FSNet achieves this mechanism via an interaction between two complementary components of an adapter to monitor each layer's contribution to the lost, and an associative memory to support remembering, updating, and recalling repeating events. Extensive experiments on real and synthetic datasets validate FSNet's efficacy and robustness to both new and recurring patterns. Our code will be made publicly available.
Deep learning has been actively studied for time series forecasting, and the mainstream paradigm is based on the end-to-end training of neural network architectures, ranging from classical LSTM/RNNs to more recent TCNs and Transformers. Motivated by the recent success of representation learning in computer vision and natural language processing, we argue that a more promising paradigm for time series forecasting, is to first learn disentangled feature representations, followed by a simple regression fine-tuning step -- we justify such a paradigm from a causal perspective. Following this principle, we propose a new time series representation learning framework for time series forecasting named CoST, which applies contrastive learning methods to learn disentangled seasonal-trend representations. CoST comprises both time domain and frequency domain contrastive losses to learn discriminative trend and seasonal representations, respectively. Extensive experiments on real-world datasets show that CoST consistently outperforms the state-of-the-art methods by a considerable margin, achieving a 21.3\% improvement in MSE on multivariate benchmarks. It is also robust to various choices of backbone encoders, as well as downstream regressors.
Transformers have been actively studied for time-series forecasting in recent years. While often showing promising results in various scenarios, traditional Transformers are not designed to fully exploit the characteristics of time-series data and thus suffer some fundamental limitations, e.g., they generally lack of decomposition capability and interpretability, and are neither effective nor efficient for long-term forecasting. In this paper, we propose ETSFormer, a novel time-series Transformer architecture, which exploits the principle of exponential smoothing in improving Transformers for time-series forecasting. In particular, inspired by the classical exponential smoothing methods in time-series forecasting, we propose the novel exponential smoothing attention (ESA) and frequency attention (FA) to replace the self-attention mechanism in vanilla Transformers, thus improving both accuracy and efficiency. Based on these, we redesign the Transformer architecture with modular decomposition blocks such that it can learn to decompose the time-series data into interpretable time-series components such as level, growth and seasonality. Extensive experiments on various time-series benchmarks validate the efficacy and advantages of the proposed method. The code and models of our implementations will be released.
Graph neural networks (GNNs) emerge as a powerful family of representation learning models on graphs. To derive node representations, they utilize a global model that recursively aggregates information from the neighboring nodes. However, different nodes reside at different parts of the graph in different local contexts, making their distributions vary across the graph. Ideally, how a node receives its neighborhood information should be a function of its local context, to diverge from the global GNN model shared by all nodes. To utilize node locality without overfitting, we propose a node-wise localization of GNNs by accounting for both global and local aspects of the graph. Globally, all nodes on the graph depend on an underlying global GNN to encode the general patterns across the graph; locally, each node is localized into a unique model as a function of the global model and its local context. Finally, we conduct extensive experiments on four benchmark graphs, and consistently obtain promising performance surpassing the state-of-the-art GNNs.
According to Complementary Learning Systems (CLS) theory~\citep{mcclelland1995there} in neuroscience, humans do effective \emph{continual learning} through two complementary systems: a fast learning system centered on the hippocampus for rapid learning of the specifics and individual experiences, and a slow learning system located in the neocortex for the gradual acquisition of structured knowledge about the environment. Motivated by this theory, we propose a novel continual learning framework named "DualNet", which comprises a fast learning system for supervised learning of pattern-separated representation from specific tasks and a slow learning system for unsupervised representation learning of task-agnostic general representation via a Self-Supervised Learning (SSL) technique. The two fast and slow learning systems are complementary and work seamlessly in a holistic continual learning framework. Our extensive experiments on two challenging continual learning benchmarks of CORE50 and miniImageNet show that DualNet outperforms state-of-the-art continual learning methods by a large margin. We further conduct ablation studies of different SSL objectives to validate DualNet's efficacy, robustness, and scalability. Code will be made available upon acceptance.
Traditional approaches to next item and next basket recommendation typically extract users' interests based on their past interactions and associated static contextual information (e.g. a user id or item category). However, extracted interests can be inaccurate and become obsolete. Dynamic attributes, such as user income changes, item price changes (etc.), change over time. Such dynamics can intrinsically reflect the evolution of users' interests. We argue that modeling such dynamic attributes can boost recommendation performance. However, properly integrating them into user interest models is challenging since attribute dynamics can be diverse such as time-interval aware, periodic patterns (etc.), and they represent users' behaviors from different perspectives, which can happen asynchronously with interactions. Besides dynamic attributes, items in each basket contain complex interdependencies which might be beneficial but nontrivial to effectively capture. To address these challenges, we propose a novel Attentive network to model Dynamic attributes (named AnDa). AnDa separately encodes dynamic attributes and basket item sequences. We design a periodic aware encoder to allow the model to capture various temporal patterns from dynamic attributes. To effectively learn useful item relationships, intra-basket attention module is proposed. Experimental results on three real-world datasets demonstrate that our method consistently outperforms the state-of-the-art.
We introduce Merlion, an open-source machine learning library for time series. It features a unified interface for many commonly used models and datasets for anomaly detection and forecasting on both univariate and multivariate time series, along with standard pre/post-processing layers. It has several modules to improve ease-of-use, including visualization, anomaly score calibration to improve interpetability, AutoML for hyperparameter tuning and model selection, and model ensembling. Merlion also provides a unique evaluation framework that simulates the live deployment and re-training of a model in production. This library aims to provide engineers and researchers a one-stop solution to rapidly develop models for their specific time series needs and benchmark them across multiple time series datasets. In this technical report, we highlight Merlion's architecture and major functionalities, and we report benchmark numbers across different baseline models and ensembles.