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SAITS: Self-Attention-based Imputation for Time Series (2202.08516v5)

Published 17 Feb 2022 in cs.LG

Abstract: Missing data in time series is a pervasive problem that puts obstacles in the way of advanced analysis. A popular solution is imputation, where the fundamental challenge is to determine what values should be filled in. This paper proposes SAITS, a novel method based on the self-attention mechanism for missing value imputation in multivariate time series. Trained by a joint-optimization approach, SAITS learns missing values from a weighted combination of two diagonally-masked self-attention (DMSA) blocks. DMSA explicitly captures both the temporal dependencies and feature correlations between time steps, which improves imputation accuracy and training speed. Meanwhile, the weighted-combination design enables SAITS to dynamically assign weights to the learned representations from two DMSA blocks according to the attention map and the missingness information. Extensive experiments quantitatively and qualitatively demonstrate that SAITS outperforms the state-of-the-art methods on the time-series imputation task efficiently and reveal SAITS' potential to improve the learning performance of pattern recognition models on incomplete time-series data from the real world. The code is open source on GitHub at https://github.com/WenjieDu/SAITS.

Citations (179)

Summary

  • The paper presents a joint-optimization training strategy that combines imputation and reconstruction tasks to significantly enhance accuracy.
  • It employs two diagonally-masked self-attention blocks to capture temporal dependencies and feature correlations more effectively than RNNs.
  • The integrated weighted combination mechanism fuses learned representations, achieving up to a 38% reduction in mean absolute error compared to state-of-the-art models.

An Evaluation of SAITS: Self-Attention-based Imputation Techniques for Time Series Data

The paper "SAITS: Self-Attention-based Imputation for Time Series," published in the journal Expert Systems with Applications, introduces a sophisticated methodology for addressing the challenge of missing value imputation in multivariate time series data. This issue is prevalent across several domains like healthcare, transportation, and environmental monitoring, where data collection can be impaired by sensor failures or communication errors, leading to incomplete datasets which complicate advanced analyses.

Core Contributions

SAITS, or Self-Attention-based Imputation for Time Series, is proposed as a novel solution leveraging the self-attention mechanism. Highlighted contributions include:

  1. Joint-Optimization Training Approach: The paper introduces a dual-task training method combining both imputation and reconstruction tasks to enhance the model's capability in predicting missing data. This approach helps the model to focus on minimizing the imputation error, a crucial aspect for achieving high accuracy in time series analysis.
  2. Diagonally-Masked Self-Attention Blocks: SAITS employs two diagonally-masked self-attention (DMSA) blocks to explicitly capture temporal dependencies and feature correlations across time steps. This approach addresses the limitations of recurrent neural networks (RNN), such as slow processing and memory constraints, especially when dealing with large datasets.
  3. Weighted Combination Mechanism: The architecture integrates a dynamic weighting mechanism to combine learned representations from the DMSA blocks, using context from the attention map and missingness profile, contributing to enhanced imputation quality.

Experimental Insights

Extensive experiments validate that SAITS surpasses several state-of-the-art models in terms of imputation accuracy across multiple datasets, including PhysioNet 2012 Mortality Prediction, Beijing Multi-Site Air Quality, Electricity Load Diagrams, and Electricity Transformer Temperature. The empirical results demonstrate a significant reduction in mean absolute error (MAE) up to 38% when compared to established models like BRITS and NRTSI.

Implications and Future Directions

SAITS presents a notable advancement in imputation strategies, offering a robust tool for dealing with incomplete time-series data. While current applications are directed towards MCAR (Missing Completely at Random) data patterns, future research may extend the utility of SAITS to MAR (Missing at Random) and MNAR (Missing Not at Random) scenarios, thus broadening its applicability across diverse datasets. Additionally, exploring the integration of SAITS with more comprehensive frameworks could pave the way for improved decision-making in domains like predictive healthcare and real-time environmental monitoring.

Concluding Remarks

The introduction of SAITS underscores a significant step toward overcoming the longstanding challenges in time series data analysis posed by missing data. Its innovative use of self-attention and advanced machine learning techniques positions SAITS as a formidable tool within the field of data imputation, offering promising potential for further exploration within the rapidly evolving landscape of artificial intelligence applications.

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