The Rise of Diffusion Models in Time-Series Forecasting (2401.03006v2)

Abstract: This survey delves into the application of diffusion models in time-series forecasting. Diffusion models are demonstrating state-of-the-art results in various fields of generative AI. The paper includes comprehensive background information on diffusion models, detailing their conditioning methods and reviewing their use in time-series forecasting. The analysis covers 11 specific time-series implementations, the intuition and theory behind them, the effectiveness on different datasets, and a comparison among each other. Key contributions of this work are the thorough exploration of diffusion models' applications in time-series forecasting and a chronologically ordered overview of these models. Additionally, the paper offers an insightful discussion on the current state-of-the-art in this domain and outlines potential future research directions. This serves as a valuable resource for researchers in AI and time-series analysis, offering a clear view of the latest advancements and future potential of diffusion models.

• The paper demonstrates that diffusion models can effectively capture complex temporal dynamics by simulating a noise-to-data process.
• The paper elaborates on advanced conditioning techniques and comparative analyses with LSTM and Transformer architectures across diverse datasets.
• The paper outlines future research directions including ODE-based prediction, encoder-decoder latent diffusion, and structured state space models for improved forecasting.

Overview of Diffusion Models in Time-Series Forecasting

Introduction to Generative AI Impact on Time-Series Forecasting

Generative AI has been a transformative force across various domains, including education, workplaces, and everyday activities. Revolving around these advancements is deep learning, which stands at the core of AI's ability to synthesize and analyze complex data. Distilling the essence of generative AI, the focus narrows to a critical function—time-series forecasting. This facet is particularly crucial in sectors such as healthcare, energy management, and traffic control, where predicting future events based on past occurrences is both challenging and invaluable.

Evolution of Time-Series Forecasting Methods

The evolutionary journey of time-series forecasting has been marked by milestones from LSTM variants to the advent of the Transformer architecture. While LSTMs paved the way with their ability to maintain information over sequences, Transformers addressed limitations relating to prolonged sequences. Following these is the emergence of diffusion models, offering a paradigm shift with model structures characterized by simulating a diffusion process, which transformed data into a state of noise and back.

Applying Diffusion Models in Time-Series Forecasting

The recent application of diffusion models to time-series forecasting leverages their deep comprehension of complex data dynamics. Rigorous exploration of diffusion models within the specific context of time-series forecasting has broadened the landscape and offers a chronologically ordered review of model applications. These applications encapsulate an in-depth preliminary on diffusion models, their conditioning methods, and a comparative discussion on forecasting effectiveness across various datasets.

Future Research Directions in Diffusion Model Integration

Highlighted are future pathways for integrating diffusion models into time-series forecasting, suggesting the use of ordinary differential equations (ODEs) for refining prediction speeds. Recommendations include employing encoder-decoder frameworks for latent space diffusion, exploring structured state space models (S4 layers) for efficient historical data representation, and utilizing models that predict the data directly over those predicting noise. Future research should continue improving long-term multivariate forecasting capabilities, deepening our understanding of uncertainty within predictions, and adopting mixed approaches from foundational papers in this domain.