Multivariate Time Series Forecasting exploiting Tensor Projection Embedding and Gated Memory Network

Time series forecasting is very important and plays critical roles in many applications. However, making accurate forecasting is a challenge task due to the requirements of learning complex temporal and spatial patterns and combating noise during the feature learning. To address the challenge issues, we propose TEGMNet, a Tensor projection Embedding and Gated Memory Network for multivariate time series forecasting. To more accurately extract local features and reduce the influence of noise, we propose to amplify the data using several data transformation techniques based on MDT (Multi-way delay embedding transform) and TFNN (tensor factorized neural network) to transform the original 2D matrix data to low dimensional 3D tensor data. The local features are then extracted through convolution and LSTM upon the 3D tensor. We also design a long-term feature extraction module based on the structure of gated memory network, which can largely enhance the longterm pattern feature learning ability when the multivariate time series has complex long-term dependencies with dynamic-period patterns. We have done extensive experiments by comparing our TEGMNet with 7 baseline algorithms using 4 real data sets. The experiment results demonstrate that TEGMNet can achieve very good prediction performance even through the data are polluted with noise.