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Enhancing the Locality and Breaking the Memory Bottleneck of Transformer on Time Series Forecasting

NeurIPS 2019 · Time series › Long-term forecasting · approach: Attention for time series forecasting · 1,086 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use convolutional queries and keys with a wider local context (ablation)Transformer · traffic-c (1d rolling)R0.5: 0.134 -> 0.122Helped
Use convolutional queries and keys with a wider local context (ablation)Transformer · electricity-c (1d rolling)R0.5: 0.060 -> 0.057; 0.060 -> 0.059No clear effect
Replace full attention with LogSparse attention under the same memory budget (ablation)Transformer · traffic-f (1d rolling)R0.5: 0.161 -> 0.150Helped
Replace full attention with LogSparse attention under the same memory budget (ablation)Transformer · electricity-f (1d rolling)R0.5: 0.083 -> 0.084Hurt
Add convolutional attention (k=6) (ablation)Full-attention Transformer · traffic-f (1d rolling, same memory budget)R0.5: 0.161 -> 0.149Helped
Add convolutional attention (k=6) (ablation)LogSparse Transformer · traffic-f (1d rolling, same memory budget)R0.5: 0.150 -> 0.138Helped
Add convolutional attention (k=6) (ablation)Full-attention Transformer · electricity-f (1d rolling, same input length)R0.5: 0.082 -> 0.074Helped
Add convolutional attention (k=6) (ablation)LogSparse Transformer · traffic-f (1d rolling, same input length)R0.5: 0.150 -> 0.138Helped
Use LogSparse attention plus convolutional attention rather than canonical full attention (ablation)Transformer · traffic-f (1d rolling, same input length)R0.5: 0.147 -> 0.138Helped
Use Transformer rather than DeepARTime-series forecasting · Synthetic data as history length increases, especially t0 >= 96Rho-quantile lossMixed

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