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Tri-Level Navigator: LLM-Empowered Tri-Level Learning for Time Series OOD Generalization

NeurIPS 2024 · Time series › Foundation models for time series · approach: LLM-based time series forecasting · 4 citations (OpenAlex)

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Proposes TTSO, a tri-level learning framework (sample-level perturbation, group-level reweighting, parameter-level minimization) for time series OOD generalization, solved with a stratified cutting-plane localization algorithm, and fine-tunes GPT2 with it.

Problem

Time series out-of-distribution generalization, where models trained on source domains degrade on unseen target domains (e.g., sensor-based activity recognition across users/devices).

Approach

Unifies sample-level (augmentation/perturbation via a GMM) and group-level (worst-case domain reweighting, GroupDRO-style) uncertainty in a tri-level min-max-max formulation, solved via a stratified localization algorithm that uses cutting planes to approximate the constraint set instead of hypergradients; applied to fine-tuning GPT2 with contrastive pre-training and constrained fine-tuning.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use TTSO with pretrained GPT2 fine-tuning instead of MixupTime-series OOD classification · HHAR leave-one-domain-outaccuracy (%): 71.9 -> 73.9Helped
Use TTSO with pretrained GPT2 fine-tuning instead of MixupTime-series OOD classification · PAMAP leave-one-domain-outaccuracy (%): 72.5 -> 76.1Helped
Use TTSO with pretrained GPT2 fine-tuning instead of MixupTime-series OOD classification · WESAD leave-one-domain-outaccuracy (%): 65.2 -> 68.4Helped
Add TTSO fine-tuning to pretrained GPT2 (ablation)GPT2 · Time-series OOD classificationaccuracyHelped
Add pretraining to a randomly initialized GPT2 fine-tuned with TTSO (ablation)GPT2 fine-tuned with TTSO · Time-series OOD classificationaccuracyHelped
Use pretrained GPT2 without TTSO fine-tuning instead of random initialization without TTSO fine-tuning (ablation)GPT2 · Time-series OOD classificationaccuracyHelped

Surprising findings

Limitations

Experimental setup

Datasets: HHAR PAMAP WESAD SWELL USC-HAD DSADS

Benchmarks: HHAR PAMAP WESAD SWELL USC-HAD DSADS

Metrics: classification accuracy

Baselines: ERM IRM GroupDRO ANDMask RSC Mixup VERx DIFEX AdaRNN GILE DIVERSIFY DFDG

Builds on: GroupDRO invariant risk minimization contrastive learning for time series Layer Normalization Tuning

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