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Tiny Time Mixers (TTMs): Fast Pre-trained Models for Enhanced Zero/Few-Shot Forecasting of Multivariate Time Series

NeurIPS 2024 · Time series › Foundation models for time series · approach: LLM-based time series forecasting · 40 citations (OpenAlex)

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Introduces Tiny Time Mixers (TTM), a 1–5M parameter TSMixer-based pre-trained multivariate forecasting model with adaptive patching, diverse resolution sampling, and resolution prefix tuning, achieving strong zero/few-shot forecasting on public TS datasets.

Problem

Large pre-trained time-series forecasting models are slow, computationally expensive, and often ignore cross-channel and exogenous correlations, and pre-training on heterogeneous multi-resolution TS data with small models is hard.

Approach

A tiny TSMixer-based backbone pre-trained channel-independently on ~1B samples from Monash and LibCity, made multi-resolution-capable via adaptive patching, diverse resolution sampling (downsampling high-resolution data), and a learnable resolution prefix; channel correlations and exogenous signals are added only during fine-tuning through a decoder channel-mixer and an exogenous mixer.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use TTM-A instead of Moirai variantsTTM-A · D1 zero-shotforecast accuracy: 4-10%Helped
Use TTM-A instead of TimesFMTTM-A · D1 zero-shotforecast accuracy: 19%Helped
Use TTM-B instead of ChronosTTM-B · D1 zero-shot, last test windowforecast accuracy: 17-32%Helped
Use TTM-B instead of Lag-LlamaTTM-B · D1 zero-shot, last test windowforecast accuracy: 40%Helped
Use TTM-B instead of GPT4TSTTM-B · D1 few-shot 5%forecast accuracy: 15%Helped
Use TTM-B instead of Time-LLMTTM-B · D1 few-shot 5%forecast accuracy: 10%Helped
Use TTM instead of Moment for head probingTTM · D1 full-shot head probingforecast accuracy: 3-4%Helped
Enable decoder channel mixing and the exogenous mixerTTM · D2 full-data fine-tuningforecast accuracy: 15-44%Helped
Add diverse resolution sampling to Monash pre-training (ablation)TTM · Zero-shot, Monash pre-trainingforecast performance: 37%Helped
Increase pre-training data from 250M to 1B samples (ablation)TTM · Zero-shotforecast performance: 6%Helped
Add resolution prefix tuning (ablation)TTM · Zero-shot, 1B pre-training samplesforecast performance: 3%Helped
Add resolution prefix tuning (ablation)TTM · Zero-shot, very short contextforecast performance: 8%Helped

Surprising findings

Limitations

Experimental setup

Datasets: Monash LibCity ETTh1 ETTh2 ETTm1 ETTm2 Weather Electricity Traffic Bike Sharing Carbon Capture Plant Application (APP)

Benchmarks: ETTh1 ETTh2 ETTm1 ETTm2 Weather Electricity Traffic Bike Sharing Carbon Capture Plant APP SER

Metrics: MSE forecast improvement percentage size improvement ratio

Baselines: Moirai TimesFM Chronos Lag-Llama Moment GPT4TS Time-LLM LLMTime PatchTST TSMixer

Builds on: TSMixer PatchTST MLP-Mixer prefix tuning

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