[ENHANCEMENT] Multi-Scale Encoder for Robust Zero-Shot Forecasting

[Killer3048]

[ENHANCEMENT] Multi-Scale encoder for robust Zero-Shot forecasting

Summary

This proposal outlines a Multi-Scale Encoder that processes time-series data at multiple resolutions (e.g., daily vs. weekly) in parallel. Each branch learns scale-specific patterns before a fusion step aggregates their outputs. Such a design significantly boosts zero-shot performance by enabling the model to generalize more effectively to new time-series domains with potentially unknown seasonalities.

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Proposal

1. Parallel Branches for Different Timescales

   • Short-Term Branch

     • Use a small patch size (e.g., 24 steps if your data is hourly, capturing a day’s pattern) with a stride that matches or slightly overlaps these patches.
     • Ideal for high-frequency variations or local periodicities (daily cycles, intraday fluctuations, etc.).

   • Medium-Term Branch

     • Larger patch size (e.g., 168 steps for a weekly cycle, if data is hourly).
     • Aims to capture medium-range seasonality (weekly patterns, multi-day trends).

   • Optional Additional Branches

     • If the dataset exhibits strong monthly or yearly periodicities, add further branches. For instance, a monthly branch (around 720 hours) or an annual branch (8760 hours).
     • Each additional branch focuses on its distinct resolution, allowing the model to capture these patterns separately.

2. Branch-Specific Transformer Encoders

   • Individual Patch & Norm Layers
     • Each branch has its own patching layer (similar to the existing Patch class) but configured to its patch size.
     • Each branch may also have its own normalization (e.g., InstanceNorm), so that each scale handles outliers or mean shifts independently.
   • Specialized Transformer Blocks
     • In each branch, the patched input is passed through a stack of Transformer encoder layers (or a reduced set of layers, if parameters are a concern).
     • Optionally share weights among branches if memory is limited (e.g., the same weights are reused, but each branch processes a different scaled input).

3. Fusion Layer

   • Concatenation or Cross-Attention
     • Concatenate the hidden states from all branches along the feature dimension, then feed them into a small MLP or another Transformer block to produce a fused representation.
     • Alternatively, implement a cross-attention mechanism so that each branch can attend to the outputs of the others, providing more granular inter-scale communication.
   • Dimensionality Reduction
     • If each branch outputs a large sequence, apply pooling (mean/max/attention pooling) to collapse them to a smaller dimension before concatenation. This helps control memory usage.

4. Simplified Decoder

   • Minimal Decoder Stack
     • Replace the traditional T5 decoder (or any heavy seq2seq decoder) with a small set of layers, such as a single Transformer decoder block or a simple MLP that predicts the next values or the quantiles.
     • Since the encoder branches already capture multi-scale patterns, the decoder’s role is primarily to integrate these signals into final predictions.
   • Faster Inference
     • A lean decoder improves inference speed and makes the model more practical for real-time or edge scenarios.

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Rationale

• Broader Pattern Recognition

  • By segmenting the input into multiple scales, the model separately learns day-level, week-level, month-level (etc.) patterns. This reduces confusion and improves adaptability when facing new time series with different or mixed seasonalities.

• Reduced Overfitting

  • Each branch focuses on its designated resolution, reducing the tendency of a single model to overfit to one dominant pattern in the training data.

• Improved Generalization

  • The fused representations from multiple scales offer a more holistic view of time-series behavior, aiding zero-shot scenarios where no specific fine-tuning on the new domain is performed.

• Interpretability

  • It becomes clearer which “branch” contributes most to certain predictions (e.g., if weekly effects dominate, the medium-term branch may carry stronger weight).

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Additional Notes

• Implementation Feasibility

  • Each branch can replicate the same Patch and InstanceNorm modules with different configurations. Memory usage may grow with each branch, so weight-sharing or using fewer layers can mitigate this.
  • Hyperparameters like patch size, stride, and number of branches can be tuned based on domain knowledge or validated on a hold-out set.

• Potential Attention Optimizations

  • If the time-series are lengthy, applying more efficient attention mechanisms (e.g., Performer, Linformer, Nystromformer) can reduce the O(n^2) cost in each branch.

By incorporating these adjustments, the model gains the ability to learn and fuse scale-specific patterns effectively, leading to more robust zero-shot forecasting performance.

[lostella]

Thanks for the suggestions @Killer3048. I’m converting this into a discussion since we prefer to use issues for bugs or feature requests around the published models.