U-Net Inspired Transformer Architecture for Far Horizon Time Series Forecasting

Time series data is ubiquitous in research as well as in a wide variety of industrial applications. Effectively analyzing the available historical data and providing insights into the far future allows us to make effective decisions. Recent research has witnessed the superior performance of transformer-based architectures, especially in the regime of far horizon time series forecasting. However, the current state of the art sparse Transformer architectures fail to couple down- and upsampling procedures to produce outputs in a similar resolution as the input. We propose a U-Net inspired Transformer architecture named Yformer, based on a novel Y-shaped encoder-decoder architecture that (1) uses direct connection from the downscaled encoder layer to the corresponding upsampled decoder layer in a U-Net inspired architecture, (2) Combines the downscaling/upsampling with sparse attention to capture long-range effects, and (3) stabilizes the encoder-decoder stacks with the addition of an auxiliary reconstruction loss. Extensive experiments have been conducted with relevant baselines on three benchmark datasets, demonstrating an average improvement of 19.82, 18.41% MSE and 13.62, 11.85% MAE in comparison to the baselines for the univariate and the multivariate settings respectively.