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iTransformer: Inverted Transformers Are Effective for Time Series Forecasting

ICLR 2024 · Time series › Long-term forecasting · approach: Attention for time series forecasting · 385 citations (OpenAlex)

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Inverts the Transformer so each variate's whole lookback series becomes one token, applying self-attention across variates and the feed-forward network along time, achieving state-of-the-art long-term multivariate forecasting.

Problem

Transformer-based time series forecasters embed all variates at the same timestamp into one temporal token, which wipes out multivariate correlations, is too local, and degrades with longer lookback windows; linear models have recently outperformed them.

Approach

Keep the vanilla Transformer components unchanged but invert their roles: each variate's full time series is embedded as a variate token, self-attention models cross-variate correlations, and the shared feed-forward network learns series-level representations and decodes future values.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
invert the Transformer dimensions, using variate attention and temporal FFNTransformer forecasters · ECL, Traffic, WeatherMSE: 0.277 -> 0.178; 0.665 -> 0.428; 0.657 -> 0.258Helped
replace temporal FFN with attention (ablation)iTransformer · ECL, Traffic, Weather, Solar-EnergyMSE: 0.178 -> 0.193; 0.428 -> 0.913; 0.258 -> 0.255; 0.233 -> 0.261Hurt
swap variate attention and temporal FFN (ablation)iTransformer · ECL, Traffic, Weather, Solar-EnergyMSE: 0.178 -> 0.202; 0.428 -> 0.863; 0.258 -> 0.258; 0.233 -> 0.285Hurt
replace variate attention with FFN (ablation)iTransformer · ECL, Traffic, Weather, Solar-EnergyMSE: 0.178 -> 0.182; 0.428 -> 0.599; 0.258 -> 0.248; 0.233 -> 0.269Mixed
remove temporal FFN (ablation)iTransformer · ECL, Traffic, Weather, Solar-EnergyMSE: 0.178 -> 0.189; 0.428 -> 0.456; 0.258 -> 0.261; 0.233 -> 0.258Hurt
remove variate attention (ablation)iTransformer · ECL, Traffic, Weather, Solar-EnergyMSE: 0.178 -> 0.193; 0.428 -> 0.461; 0.258 -> 0.265; 0.233 -> 0.261Hurt
increase lookback lengthiTransformer · time-series forecastingMSEHelped
train with randomly selected variates in each batchiTransformer · high-dimensional multivariate forecastingforecasting performanceNo clear effect
use FFN on both dimensions instead of variate attention (ablation)iTransformer · WeatherMSE: 0.258 -> 0.248Helped

Surprising findings

Limitations

Experimental setup

Datasets: ECL ETT Exchange Traffic Weather Solar-Energy PEMS03 PEMS04 PEMS07 PEMS08 Market

Benchmarks: ECL ETT Exchange Traffic Weather Solar-Energy PEMS

Metrics: MSE MAE

Baselines: PatchTST Crossformer TiDE TimesNet DLinear SCINet RLinear FEDformer Stationary Autoformer

Builds on: Transformer PatchTST DLinear Channel Independence Layer normalization

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