Autoformer

This model was released on 2021-06-24 and added to Hugging Face Transformers on 2023-05-30.

Autoformer

Overview

The Autoformer model was proposed in Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting by Haixu Wu, Jiehui Xu, Jianmin Wang, Mingsheng Long.

This model augments the Transformer as a deep decomposition architecture, which can progressively decompose the trend and seasonal components during the forecasting process.

The abstract from the paper is the following:

Extending the forecasting time is a critical demand for real applications, such as extreme weather early warning and long-term energy consumption planning. This paper studies the long-term forecasting problem of time series. Prior Transformer-based models adopt various self-attention mechanisms to discover the long-range dependencies. However, intricate temporal patterns of the long-term future prohibit the model from finding reliable dependencies. Also, Transformers have to adopt the sparse versions of point-wise self-attentions for long series efficiency, resulting in the information utilization bottleneck. Going beyond Transformers, we design Autoformer as a novel decomposition architecture with an Auto-Correlation mechanism. We break with the pre-processing convention of series decomposition and renovate it as a basic inner block of deep models. This design empowers Autoformer with progressive decomposition capacities for complex time series. Further, inspired by the stochastic process theory, we design the Auto-Correlation mechanism based on the series periodicity, which conducts the dependencies discovery and representation aggregation at the sub-series level. Auto-Correlation outperforms self-attention in both efficiency and accuracy. In long-term forecasting, Autoformer yields state-of-the-art accuracy, with a 38% relative improvement on six benchmarks, covering five practical applications: energy, traffic, economics, weather and disease.

This model was contributed by elisim and kashif. The original code can be found here.

Resources

A list of official Hugging Face and community (indicated by 🌎) resources to help you get started. If you’re interested in submitting a resource to be included here, please feel free to open a Pull Request and we’ll review it! The resource should ideally demonstrate something new instead of duplicating an existing resource.

• Check out the Autoformer blog-post in HuggingFace blog: Yes, Transformers are Effective for Time Series Forecasting (+ Autoformer)

AutoformerConfig

[[autodoc]] AutoformerConfig

AutoformerModel

[[autodoc]] AutoformerModel - forward

AutoformerForPrediction

[[autodoc]] AutoformerForPrediction - forward