联合张量补全与循环神经网络的时间序列插补法
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1.中国人民大学信息学院,北京 100872;2.温州大学温州发展模式研究院,温州 325035

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浙江省哲学社会科学新兴(交叉)重大项目(21XXJC04ZD)。


Time Series Imputation Method Combining Tensor Completion and Recurrent Neural Network
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Affiliation:

1.School of Information,Renmin University of China, Beijing 100872, China;2.Academy of Wenzhou Model Development, Wenzhou University, Wenzhou 325035, China

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    摘要:

    现存的插补方法大致分为基于统计的插补法和基于深度学习的插补法。基于统计的插补法只能捕捉线性时间关系,导致无法精准建模时间序列的非线性关系;基于深度学习的插补法往往没有考虑到不同时间序列之间的相关性。针对现有方法的问题,本文提出了联合张量补全与循环神经网络的时间序列插补法。首先,将多元时间序列建模成张量,通过张量的低秩补全捕获不同时间序列之间的关系。其次,提出了一个基于时间的动态权重,将张量插补结果和循环神经网络的预测结果进行融合,避免因为连续缺失导致的预测误差累积。最后,在多个真实的时间序列数据集上对所提方法进行了实验评估,结果显示该模型优于已有相关模型,且基于插补后的时间序列可以提升时间序列预测效果。

    Abstract:

    The existing imputation methods are roughly divided into statistical methods and deep learning methods. The statistical methods can only capture the linear time relationship, which makes it impossible to accurately capture the relationship of non-linear time series data. The deep learning imputation methods usually donot consider the correlation between different time series. To solve these problems, a new model jointing the tensor completion and the recurrent neural network is proposed. Firstly, the multivariate time series are modeled as a tensor, and the correlation of different time series is captured by low rank tensor completion. Secondly, a time based dynamic weight is proposed to fuse the tensor completion results with the prediction results of the recurrent neural network to avoid the accumulation of prediction error caused by continuous missing. The proposed method is evaluated on several real time series datasets, and the results show that the proposed model outperforms the existing models in term of imputation accuracy, which is helpful for improving classification and regression accuracy.

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何军,赖赵远,时勘.联合张量补全与循环神经网络的时间序列插补法[J].数据采集与处理,2024,(3):598-608

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  • 收稿日期:2023-09-15
  • 最后修改日期:2023-12-10
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  • 在线发布日期: 2024-05-25