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FlowState: Sampling Rate Invariant Time Series Forecasting

Created by
  • Haebom

Author

Lars Graf, Thomas Ortner, Stanis{\l}aw Wo zniak, Angeliki Pantazi

Outline

FlowState is a novel time-series modeling (TSFM) architecture proposed to address the problems of poor generalization performance, lack of sampling rate adaptability, and computational inefficiency inherent in existing TSFMs. It utilizes a state-space model (SSM)-based encoder and a function basis decoder to enable continuous-time modeling and dynamic time scaling. This enables generalization across all possible time resolutions and dynamically adjusting the prediction horizon. It also adapts internal dynamics to input scales without requiring training on all data for various sampling rates, reducing model size, data requirements, and improving efficiency. An efficient pre-training strategy enhances robustness and accelerates learning, achieving state-of-the-art performance on the GIFT-ZS and Chronos-ZS benchmarks.

Takeaways, Limitations

Takeaways:
Effectively solves the problems of poor generalization performance, lack of sampling rate adaptability, and computational inefficiency of existing TSFMs (Limitations).
A novel architecture based on a state-space model and a function basis decoder enables continuous-time modeling and dynamic time scaling.
Achieve cutting-edge performance even with small model sizes, reducing data requirements and computational costs.
Possesses online adaptability to various sampling ratios.
Limitations:
In this paper, only results for specific benchmarks are presented, and generalization performance for other types of time series data requires further research.
Further validation is needed to determine whether the combination of the state-space model and the function basis decoder guarantees optimal performance for all types of time series data.
Further evaluation of performance and stability in real-world application environments is needed.
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