TSMixer: Lightweight MLP-Mixer Model for Multivariate Time Series Forecasting (2306.09364v4)

Abstract: Transformers have gained popularity in time series forecasting for their ability to capture long-sequence interactions. However, their high memory and computing requirements pose a critical bottleneck for long-term forecasting. To address this, we propose TSMixer, a lightweight neural architecture exclusively composed of multi-layer perceptron (MLP) modules for multivariate forecasting and representation learning on patched time series. Inspired by MLP-Mixer's success in computer vision, we adapt it for time series, addressing challenges and introducing validated components for enhanced accuracy. This includes a novel design paradigm of attaching online reconciliation heads to the MLP-Mixer backbone, for explicitly modeling the time-series properties such as hierarchy and channel-correlations. We also propose a novel Hybrid channel modeling and infusion of a simple gating approach to effectively handle noisy channel interactions and generalization across diverse datasets. By incorporating these lightweight components, we significantly enhance the learning capability of simple MLP structures, outperforming complex Transformer models with minimal computing usage. Moreover, TSMixer's modular design enables compatibility with both supervised and masked self-supervised learning methods, making it a promising building block for time-series Foundation Models. TSMixer outperforms state-of-the-art MLP and Transformer models in forecasting by a considerable margin of 8-60%. It also outperforms the latest strong benchmarks of Patch-Transformer models (by 1-2%) with a significant reduction in memory and runtime (2-3X). The source code of our model is officially released as PatchTSMixer in the HuggingFace. Model: https://huggingface.co/docs/transformers/main/en/model_doc/patchtsmixer Examples: https://github.com/ibm/tsfm/#notebooks-links

TSMixer: A Lightweight Model for Multivariate Time Series Forecasting

The recent research paper introduces TSMixer, a lightweight neural network architecture composed exclusively of Multi-Layer Perceptron (MLP) modules designed to address the challenges in multivariate time series forecasting. Unlike the popular Transformer models that are often memory and compute-intensive, TSMixer offers an efficient alternative while maintaining competitive predictive performance.

Background and Motivation

Inspired by the capabilities of Transformers in capturing long-sequence dependencies, they have become a common choice for time series forecasting tasks. However, their high computational requirements present a significant limitation for long-term forecasting applications. MLP-Mixers, initially successful in the vision domain, offer a promising solution by eliminating intensive self-attention mechanisms. TSMixer draws on this approach, aiming to effectively forecast multivariate time series with lower resource consumption.

Methodology

TSMixer integrates various innovative components to enhance the basic MLP-Mixer architecture:

1. Channel Independence: The model employs a channel-independent backbone, enabling shared learning across multiple datasets with different channel counts. This approach improves the model's generalization capabilities.
2. Hybrid Channel Modeling: A cross-channel reconciliation head is introduced to refine forecasts by leveraging inter-channel dependencies, enhancing generalization across diverse datasets.
3. Hierarchical Reconciliation and Gated Attention: TSMixer incorporates a hierarchical patch reconciliation head and a gated attention mechanism to effectively model temporal dependencies and reduce attention to redundant features.
4. Patching and Modular Design: The model adopts a patching approach, significantly reducing input size and enabling efficient learning. Its modular design supports both supervised and self-supervised training methodologies.

Empirical Results

The paper presents extensive empirical evaluations on seven widely-used public datasets. Key findings include:

• TSMixer outperforms state-of-the-art MLP and Transformer models, achieving a forecast accuracy improvement of 8-60%.
• Compared to Patch-Transformer models, TSMixer shows a marginal improvement of 1-2% while achieving considerable memory and runtime reductions (2-3X).
• The model emerges as a viable building block for time series foundation models due to its adaptability to both supervised and self-supervised learning paradigms.

Implications and Future Directions

The introduction of TSMixer marks a significant development in time series forecasting by providing a resource-efficient alternative to Transformers. The implications are substantial for industries reliant on long-term forecasting, such as energy, finance, and climate modeling. TSMixer's ability to generalize across different datasets and tasks offers avenues for broader applicability in real-world scenarios.

Future research may focus on extending TSMixer's capabilities to other time-series tasks, such as anomaly detection and classification, and exploring its transfer learning potential. Additionally, integrating newer mixer variants could further enhance its performance and applicability.

In summary, TSMixer contributes a meaningful development in the domain of multivariate time series forecasting, providing a compelling balance between computational efficiency and forecasting accuracy. Its design principles could serve as a foundation for future explorations in lightweight model architectures for diverse applications.