Long-term series forecasting with Query Selector -- efficient model of sparse attention

19 Jul 2021  ·  Jacek Klimek, Jakub Klimek, Witold Kraskiewicz, Mateusz Topolewski ·

Various modifications of TRANSFORMER were recently used to solve time-series forecasting problem. We propose Query Selector - an efficient, deterministic algorithm for sparse attention matrix. Experiments show it achieves state-of-the art results on ETT, Helpdesk and BPI'12 datasets.

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Datasets


  Add Datasets introduced or used in this paper
Task Dataset Model Metric Name Metric Value Global Rank Uses Extra
Training Data
Result Benchmark
Multivariate Time Series Forecasting BPI challenge '12 QuerySelector Accuracy 0.79 # 1
Time Series Forecasting ETTh1 (168) Multivariate Transformer MSE 0.7146 # 3
MAE 0.6325 # 2
Time Series Forecasting ETTh1 (168) Multivariate QuerySelector MSE 0.6835 # 2
MAE 0.6088 # 3
Time Series Forecasting ETTh1 (168) Univariate QuerySelector MSE 0.0935 # 2
MAE 0.2371 # 3
Time Series Forecasting ETTh1 (168) Univariate Transformer MSE 0.1049 # 3
MAE 0.2539 # 2
Time Series Forecasting ETTh1 (24) Multivariate Transformer MSE 0.4496 # 3
MAE 0.4788 # 2
Time Series Forecasting ETTh1 (24) Multivariate QuerySelector MSE 0.4226 # 2
MAE 0.4627 # 3
Time Series Forecasting ETTh1 (24) Univariate Transformer MSE 0.0548 # 4
MAE 0.183 # 1
Time Series Forecasting ETTh1 (24) Univariate QuerySelector MSE 0.0436 # 2
MAE 0.1616 # 2
Time Series Forecasting ETTh1 (336) Multivariate Transformer MSE 0.8321 # 11
MAE 0.7041 # 2
Time Series Forecasting ETTh1 (336) Multivariate QuerySelector MSE 0.8503 # 12
MAE 0.7039 # 3
Time Series Forecasting ETTh1 (336) Univariate QuerySelector MSE 0.1267 # 8
MAE 0.2844 # 3
Time Series Forecasting ETTh1 (336) Univariate Transformer MSE 0.1541 # 9
MAE 0.3201 # 2
Time Series Forecasting ETTh1 (48) Multivariate Transformer MSE 0.4668 # 3
MAE 0.4968 # 2
Time Series Forecasting ETTh1 (48) Multivariate QuerySelector MSE 0.4581 # 2
MAE 0.4878 # 3
Time Series Forecasting ETTh1 (48) Univariate Transformer MSE 0.074 # 3
MAE 0.2144 # 2
Time Series Forecasting ETTh1 (48) Univariate QuerySelector MSE 0.0721 # 2
MAE 0.2118 # 3
Time Series Forecasting ETTh1 (720) Multivariate QuerySelector MSE 1.115 # 13
MAE 0.8428 # 1
Time Series Forecasting ETTh1 (720) Multivariate Transformer MSE 1.108 # 12
MAE 0.8399 # 2
Time Series Forecasting ETTh1 (720) Univariate QuerySelector MSE 0.2136 # 11
MAE 0.373 # 2
Time Series Forecasting ETTh1 (720) Univariate Transformer MSE 0.2501 # 12
MAE 0.4213 # 1
Time Series Forecasting ETTh2 (168) Multivariate Transformer MSE 1.6225 # 3
MAE 0.9726 # 3
Time Series Forecasting ETTh2 (168) Multivariate QuerySelector MSE 1.7385 # 4
MAE 1.0125 # 1
Time Series Forecasting ETTh2 (168) Univariate QuerySelector MSE 0.1753 # 3
MAE 0.3322 # 2
Time Series Forecasting ETTh2 (168) Univariate Transformer MSE 0.1974 # 4
MAE 0.3547 # 1
Time Series Forecasting ETTh2 (24) Multivariate QuerySelector MSE 0.4124 # 2
MAE 0.4864 # 3
Time Series Forecasting ETTh2 (24) Multivariate Transformer MSE 0.4237 # 3
MAE 0.5013 # 2
Time Series Forecasting ETTh2 (24) Univariate QuerySelector MSE 0.0843 # 3
MAE 0.2239 # 2
Time Series Forecasting ETTh2 (24) Univariate Transformer MSE 0.0999 # 4
MAE 0.2479 # 1
Time Series Forecasting ETTh2 (336) Multivariate Transformer MSE 2.6617 # 13
MAE 1.2189 # 1
Time Series Forecasting ETTh2 (336) Multivariate QuerySelector MSE 2.3168 # 12
MAE 1.1859 # 2
Time Series Forecasting ETTh2 (336) Univariate QuerySelector MSE 0.2088 # 8
MAE 0.371 # 2
Time Series Forecasting ETTh2 (336) Univariate Transformer MSE 0.2191 # 10
MAE 0.3805 # 1
Time Series Forecasting ETTh2 (48) Multivariate Transformer MSE 1.522 # 4
MAE 0.9488 # 1
Time Series Forecasting ETTh2 (48) Multivariate QuerySelector MSE 1.4074 # 3
MAE 0.9317 # 2
Time Series Forecasting ETTh2 (48) Univariate Transformer MSE 0.1218 # 4
MAE 0.2763 # 1
Time Series Forecasting ETTh2 (48) Univariate QuerySelector MSE 0.1117 # 3
MAE 0.2622 # 2
Time Series Forecasting ETTh2 (720) Multivariate QuerySelector MSE 3.0664 # 12
MAE 1.3084 # 2
Time Series Forecasting ETTh2 (720) Multivariate Transformer MSE 3.1805 # 13
MAE 1.3668 # 1
Time Series Forecasting ETTh2 (720) Univariate Transformer MSE 0.2853 # 10
MAE 0.434 # 11
Time Series Forecasting ETTh2 (720) Univariate QuerySelector MSE 0.2585 # 8
MAE 0.413 # 8
Multivariate Time Series Forecasting Helpdesk QuerySelector Accuracy 0.743 # 1

Methods