MSD-Mixer: A Multi-Scale Decomposition MLP-Mixer for Time Series Analysis

This is the PyTorch implementation of our paper: A Multi-Scale Decomposition MLP-Mixer for Time Series Analysis. (https://arxiv.org/abs/2310.11959)

If you find this repo useful, please consider cite our paper:

@misc{zhong2023multiscale,
      title={A Multi-Scale Decomposition MLP-Mixer for Time Series Analysis}, 
      author={Shuhan Zhong and Sizhe Song and Guanyao Li and Weipeng Zhuo and Yang Liu and S. -H. Gary Chan},
      year={2023},
      eprint={2310.11959},
      archivePrefix={arXiv},
      primaryClass={cs.LG}
}

Abstract

Time series data, often characterized by unique composition and complex multi-scale temporal variations, requires special consideration of decomposition and multi-scale modeling in its analysis. Existing deep learning methods on this best fit to only univariate time series, or have not sufficiently accounted for sub-series modeling and the decomposition completeness. To overcome these challenges, we propose MSD-Mixer, a Multi-Scale Decomposition MLP-Mixer which learns to explicitly decompose the input time series into different components, and represents the components in different layers. To handle multi-scale temporal patterns and inter-channel dependencies, we propose a novel temporal patching approach to model the time series as multi-scale sub-series, i.e., patches, and employ MLPs to mix intra- and inter-patch variations and channel-wise correlations. In addition, we propose a loss function to constrain both the magnitude and autocorrelation of the decomposition residual for decomposition completeness. Through extensive experiments on various real-world datasets for five common time series analysis tasks (long- and short-term forecasting, imputation, anomaly detection, and classification), we demonstrate that MSDMixer consistently achieves significantly better performance in comparison with other state-of-the-art task-general and taskspecific approaches.

Dependency Setup

• Create a conda virtual environment

  conda create -n msd-mixer python=3.10
  conda activate msd-mixer

• Install Python Packages

  pip install -r requirements.txt

Dataset Preparation

Please download the datasets from dataset.zip, unzip the content into the dataset folder and structure the directory as follows:

/path/to/MSD-Mixer/dataset/
  electricity/
  ETT-small/
  exchange_rate/
  m4/
  MSL/
  Multivariate_ts/
  PSM/
  SMAP/
  SMD/
  SWaT/
  traffic/
  weather/

Run

Please use python main.py to run the experiments. Please use the -h or --help argument for details.

Long-Term Forecasting

Example training commands:

• Run all benchmarks

  python main.py ltf
  
  # equivalent
  python main.py ltf --dataset all --pred_len all

• Run specific benchmarks

  python main.py ltf --dataset etth1 etth2 --pred_len 96 192 336

Logs, results, and model checkpoints will be saved in /path/to/MSD-Mixer/logs/ltf

Short-Term Forecasting

Example training commands:

• Run all benchmarks

  python main.py stf
  
  # equivalent
  python main.py stf --dataset all

• Run specific benchmarks

  python main.py stf --dataset yearly quarterly monthly

Logs, results, and model checkpoints will be saved in /path/to/MSD-Mixer/logs/stf

Imputation

Example training commands:

• Run all benchmarks

  python main.py imp
  
  # equivalent
  python main.py imp --dataset all --mask_rate all

• Run specific benchmarks

  python main.py imp --dataset ecl ettm1 --mask_rate 0.25 0.5

Logs, results, and model checkpoints will be saved in /path/to/MSD-Mixer/logs/imp

Anomaly Detection

Example training commands:

• Run all benchmarks

  python main.py ad
  
  # equivalent
  python main.py ad --dataset all

• Run specific benchmarks

  python main.py ad --dataset smd msl swat

Logs, results, and model checkpoints will be saved in /path/to/MSD-Mixer/logs/ad

Classification

Example training commands:

• Run all benchmarks

  python main.py cls
  
  # equivalent
  python main.py cls --dataset all

• Run specific benchmarks

  python main.py cls --dataset awr scp1 scp2

Logs, results, and model checkpoints will be saved in /path/to/MSD-Mixer/logs/cls

Acknowledgements

• Time Series Library (TSlib): datasets, experiment settings, and data processing
• UEA Time Series Classification datasets: datasets