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马巴时间序列预测与不确定性量化
Pedro Pessoa1,2, Paul Campitelli1,2, Douglas P Shepherd1,2
1Center for Biological Physics, Tempe, AZ, United States of America.
概括
像Mamba这样的状态空间模型对时间序列预测有希望,但缺乏准确的不确定性量化. 我们的Mamba-ProbTSF方法通过建模预测不确定性来增强Mamba,提高电力和交通数据的预测可靠性.
科学领域:
- 机器学习 机器学习
- 时间序列分析时间序列分析
- 概率学预测 概率学预测
背景情况:
- 包括Mamba在内的状态空间模型越来越多地用于时间序列预测,因为它们具有序列模式识别能力.
- 现有的Mamba实现显示了电力消耗中显著的平均误差 (约. 8%) 和交通占用率 (约. 18%) 的基准指标.
- 需要量化Mamba预测中的不确定性,以区分不准确性和固有的数据变化.
研究的目的:
- 开发一种方法来量化基于Mamba的时间序列预测的预测不确定性.
- 引入一个双网络框架,Mamba-ProbTSF,用于使用Mamba架构进行概率预测.
- 与现有方法相比,评估Mamba-ProbTSF的性能和可靠性.
主要方法:
- 提出了一个双网络框架,集成Mamba用于概率时间序列预测.
- 一个网络生成点预测;第二个网络通过估计差异来模型预测不确定性.
- 使用概率TSF (Mamba-ProbTSF) 工具实现了Mamba,代码可在GitHub上找到.
主要成果:
- 实现了减少Kullback-Leibler分歧 (合成数据为10^-3,现实数据为10^-1),表明了改进的概率分布建模.
- 验证了真实轨迹在基准数据集中约95%的时间都处于预测的两西格玛不确定性区间内.
- 与DeepAR和ARIMA相比,持续显示较低的预测误差和更可靠的不确定性量化.
结论:
- Mamba-ProbTSF有效量化了Mamba预测中的预测不确定性,提高了时间序列预测任务的可靠性.
- 该方法在DeepAR和ARIMA等领先的概率预测模型中表现出卓越的性能.
- 该框架有可能在随机过程中应用,包括布朗运动和分子动力学.
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