Multivariate Time Series Deep Spatiotemporal Forecasting with Graph Neural Network

Abstract

Multivariate time series forecasting has long been a subject of great concern. For example, there are many valuable applications in forecasting electricity consumption, solar power generation, traffic congestion, finance, and so on. Accurately forecasting periodic data such as electricity can greatly improve the reliability of forecasting tasks in engineering applications. Time series forecasting problems are often modeled using deep learning methods. However, the deep information of sequences and dependencies among multiple variables are not fully utilized in existing methods. Therefore, a multivariate time series deep spatiotemporal forecasting model with a graph neural network (MDST-GNN) is proposed to solve the existing shortcomings and improve the accuracy of periodic data prediction in this paper. This model integrates a graph neural network and deep spatiotemporal information. It comprises four modules: graph learning, temporal convolution, graph convolution, and down-sampling convolution. The graph learning module extracts dependencies between variables. The temporal convolution module abstracts the time information of each variable sequence. The graph convolution is used for the fusion of the graph structure and the information of the temporal convolution module. An attention mechanism is presented to filter information in the graph convolution module. The down-sampling convolution module extracts deep spatiotemporal information with different sparsities. To verify the effectiveness of the model, experiments are carried out on four datasets. Experimental results show that the proposed model outperforms the current state-of-the-art baseline methods. The effectiveness of the module for solving the problem of dependencies and deep information is verified by ablation experiments.

Keywords

• multivariate time series
• deep spatiotemporal information
• down-sampling convolution
• attention
• graph neural network