Multivariate Time Series Forecasting with Dynamic Graph Neural ODEs

Code

• github.com/grand-lab/mtgode
  OfficialIn paperpytorch★ 89
• github.com/trustagi-lab/mtgode
  pytorch★ 89

Abstract

Multivariate time series forecasting has long received significant attention in real-world applications, such as energy consumption and traffic prediction. While recent methods demonstrate good forecasting abilities, they have three fundamental limitations. (i) Discrete neural architectures: Interlacing individually parameterized spatial and temporal blocks to encode rich underlying patterns leads to discontinuous latent state trajectories and higher forecasting numerical errors. (ii) High complexity: Discrete approaches complicate models with dedicated designs and redundant parameters, leading to higher computational and memory overheads. (iii) Reliance on graph priors: Relying on predefined static graph structures limits their effectiveness and practicability in real-world applications. In this paper, we address all the above limitations by proposing a continuous model to forecast Multivariate Time series with dynamic Graph neural Ordinary Differential Equations (MTGODE). Specifically, we first abstract multivariate time series into dynamic graphs with time-evolving node features and unknown graph structures. Then, we design and solve a neural ODE to complement missing graph topologies and unify both spatial and temporal message passing, allowing deeper graph propagation and fine-grained temporal information aggregation to characterize stable and precise latent spatial-temporal dynamics. Our experiments demonstrate the superiorities of MTGODE from various perspectives on five time series benchmark datasets.

Tasks

Reproductions