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Reconstructing Missing Variables for Multivariate Time Series Forecasting via Conditional Generative Flows
XUANMING HU; WEI FAN; HAIFENG CHEN; PENGYANG WANG; YANJIE FU
2024-08
Conference NameThe 33rd International Joint Conference on Artificial Intelligence (IJCAI-24)
Source PublicationProceedings of the Thirty-Third International Joint Conference on Artificial Intelligence
Pages2063-2071
Conference Date3-9 August 2024
Conference PlaceJeju, South Korea
PublisherInternational Joint Conferences on Artificial Intelligence
Abstract

The Variable Subset Forecasting (VSF) problem, where the majority of variables are unavailable in the inference stage of multivariate forecasting, has been an important but under-explored task with broad impacts in many real-world applications.Missing values, absent inter-correlation, and the impracticality of retraining largely hinder the ability of multivariate forecasting models to capture inherent relationships among variables, impacting their performance However, existing approaches towards these issues either heavily rely on local temporal correlation or face limitations in fully recovering missing information from the unavailable subset, accompanied by notable computational expenses.To address these problems, we propose a novel density estimation solution to recover the information of missing variables via flows-based generative framework.In particular, a novel generative network for time series, namely Time-series Reconstruction Flows (TRF), is proposed to estimate and reconstruct the missing variable subset.In addition, a novel meta-training framework, Variable-Agnostic Meta Learning, has been developed to enhance the generalization ability of TRF, enabling it to adapt to diverse missing variables situations.Finally, extensive experiments are conducted to demonstrate the superiority of our proposed method compared with baseline methods. 

KeywordData Mining
DOI10.24963/ijcai.2024/228
Language英語English
Scopus ID2-s2.0-85204307489
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Document TypeConference paper
CollectionFaculty of Science and Technology
THE STATE KEY LABORATORY OF INTERNET OF THINGS FOR SMART CITY (UNIVERSITY OF MACAU)
DEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Corresponding AuthorPENGYANG WANG; YANJIE FU
Affiliation1.School of Computing and Augmented Intelligence, Arizona State University
2.Medical Sciences Division, University of Oxford
3.NEC Laboratories America Inc
4.Department of CIS, SKL-IOTSC, University of Macau
Recommended Citation
GB/T 7714
XUANMING HU,WEI FAN,HAIFENG CHEN,et al. Reconstructing Missing Variables for Multivariate Time Series Forecasting via Conditional Generative Flows[C]:International Joint Conferences on Artificial Intelligence, 2024, 2063-2071.
APA XUANMING HU., WEI FAN., HAIFENG CHEN., PENGYANG WANG., & YANJIE FU (2024). Reconstructing Missing Variables for Multivariate Time Series Forecasting via Conditional Generative Flows. Proceedings of the Thirty-Third International Joint Conference on Artificial Intelligence, 2063-2071.
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