This code is for the work of AutoTCL and Parametric Augmentation for Time Series Contrastive Learning(ICLR2024)

Figure 1. Overall framework of our work.

In this paper, we propose a contrastive learning framework with parametric augmentation, AutoTCL, which can be adaptively employed to support time series representation learning. The proposed approach is encoder-agnostic, allowing it to be seamlessly integrated with different backbone encoders.

Requirements

We use python 3.9, the packages main contain numpy, scikit-learn, torch, tqdm, matplotlib, pandas. We also provide a requirements.txt(contains some other irrelevant packages).

dataset

1. ETT dataset (link)
2. Electricity dataset (link), preprocessing by this file (link)
3. Weather Dataset (link), from Informer (link)
4. For public datasets, you can also find sources in TS2Vec, CoST.
5. For lora datasets, you can contact with Professor Mo Sha.

usage

python train_forecasting_autotcl_cost.py 
--dataset <dataset> 
--gpu <num> 
--seed <random_seed> 
--archive <forecast_csv_univar/forecast_csv>
--load_default <True/False> 

--batch-size <N> 
--lr <encoder_learning_rate> 
--meta_lr <augument_learning_rate>
--mask_mode <noise_style_encoder> 
--augmask_mode <noise_style_augument> 

--repr_dims <embedding_dim>
--hidden_dims <hid_dim> 
--aug_dim <aug_hid_dim> 
--aug_depth <augument_layers> 

--max_train_length <input_time_length> 
--epochs <training_epoch> 
--gumbel_bias <gum_bias>
--gamma_zeta <zeta_in_gumbel>
--ratio_step <ratio_update_between_encoder_augument> 
--hard_mask <hard_gumbel>

--local_weight <local_infonce_encoder>
--reg_weight <reg_weight_hx>
--regular_weight <time_constraint_weight_hx>

args	explanation	type	options
dataset	dataset name	string	ETTh1/ETTh2/ETTm1/electricity/WTH
gpu	the number of GPU	int	-
seed	random seed	int	-
archive	univar forecasting or multivar	string	forecast_csv_univar/forecast_csv
load_default	load pre-defined hyperparemeters	bool	True/False
batch-size	the batch size of input	int	-
lr	learning rate for optimize the encoder network	float	-
meta_lr	learning rate for optimize the augumentation network	float	-
mask_mode	how to add noise for optimize the encoder network	string	continuous/mask_last/all_true/all_false/binomial
augmask_mode	how to add noise for optimize the augumentation network	string	continuous/mask_last/all_true/all_false/binomial
repr_dims	embedding dimension of the encoder network	int	-
hidden_dims	hidden dimension of the encoder network	int	-
aug_dim	hidden dimension of the augument network	int	-
aug_depth	NN layers of the augment network	int	-
max_train_length	input time length	int	-
epochs	training epochs	int	-
gumbel_bias	bias for gumble softmax	float	-
gumbel_zeta	zeta for gumble softmax	float	-
ratio_step	the ratio of encoder optimize : augument network optimize	int	-
hard_mask	h(x) is hard(binary) or soft	bool	True/False
local_weight	weight of local infoNCE loss introduced by InfoTS	float	-
reg_weight	weight of the regularization of h(x)	float	-
regular_weight	weight of the time constraint of h(x)	float	-

Main Results

Our experiments conducted on five public datasets and one private dataset. Experiments on univariate forecasting tasks demonstrate the highly competitive results of our method, with an average 6.5% reduction in MSE and 4.7% in MAE over the leading baselines. In classification tasks, AutoTCL achieves a 1.2% increase in average accuracy.

In this repo we provide code and default parameters to reproduce our experiments(based on tabl 1 and 2).

Figure 2. Overall experiments average results.

Figure 3. Detail experiments results in univariate forecasting setting.

Figure 4. Detail experiments results in multivariate forecasting setting.

Acknowledgement

Our code are based on the following repositories. We thank the original authors for open-sourcing their work.

1. TS2Vec(https://github.com/zhihanyue/ts2vec)
2. CoST(https://github.com/salesforce/CoST)
3. infoTS(https://github.com/chengw07/InfoTS)

Citation

If this repo is useful for you, please consider citing our paper as follows:

@article{zheng2024parametric,
  title={Parametric Augmentation for Time Series Contrastive Learning},
  author={Zheng, Xu and Wang, Tianchun and Cheng, Wei and Ma, Aitian and Chen, Haifeng and Sha, Mo and Luo, Dongsheng},
  journal={arXiv preprint arXiv:2402.10434},
  year={2024}
}