Attention-Based Sequence-to-Sequence Model for Time Series Imputation

Abstract

Time series data are usually characterized by having missing values, high dimensionality, and large data volume. To solve the problem of high-dimensional time series with missing values, this paper proposes an attention-based sequence-to-sequence model to imputation missing values in time series (ASSM), which is a sequence-to-sequence model based on the combination of feature learning and data computation. The model consists of two parts, encoder and decoder. The encoder part is a BIGRU recurrent neural network and incorporates a self-attentive mechanism to make the model more capable of handling long-range time series; The decoder part is a GRU recurrent neural network and incorporates a cross-attentive mechanism into associate with the encoder part. The relationship weights between the generated sequences in the decoder part and the known sequences in the encoder part are calculated to achieve the purpose of focusing on the sequences with a high degree of correlation. In this paper, we conduct comparison experiments with four evaluation metrics and six models on four real datasets. The experimental results show that the model proposed in this paper outperforms the six comparative missing value interpolation algorithms.

Keywords

• deep learning
• time series
• missing value imputation
• sequence-to-sequence
• self-attention