PatchTST model pre-trained on ETTh1 dataset

PatchTST is a transformer-based model for time series modeling tasks, including forecasting, regression, and classification. This repository contains a pre-trained PatchTST model encompassing all seven channels of the ETTh1 dataset. This particular pre-trained model produces a Mean Squared Error (MSE) of 0.3881 on the test split of the ETTh1 dataset when forecasting 96 hours into the future with a historical data window of 512 hours.

For training and evaluating a PatchTST model, you can refer to this demo notebook.

Model Details

Model Description

The PatchTST model was proposed in A Time Series is Worth 64 Words: Long-term Forecasting with Transformers by Yuqi Nie, Nam H. Nguyen, Phanwadee Sinthong, Jayant Kalagnanam.

At a high level the model vectorizes time series into patches of a given size and encodes the resulting sequence of vectors via a Transformer that then outputs the prediction length forecast via an appropriate head.

The model is based on two key components: (i) segmentation of time series into subseries-level patches which are served as input tokens to Transformer; (ii) channel-independence where each channel contains a single univariate time series that shares the same embedding and Transformer weights across all the series. The patching design naturally has three-fold benefit: local semantic information is retained in the embedding; computation and memory usage of the attention maps are quadratically reduced given the same look-back window; and the model can attend longer history. Our channel-independent patch time series Transformer (PatchTST) can improve the long-term forecasting accuracy significantly when compared with that of SOTA Transformer-based models.

In addition, PatchTST has a modular design to seamlessly support masked time series pre-training as well as direct time series forecasting, classification, and regression.

Model Sources

Uses

This pre-trained model can be employed for fine-tuning or evaluation using any Electrical Transformer dataset that has the same channels as the ETTh1 dataset, specifically: HUFL, HULL, MUFL, MULL, LUFL, LULL, OT. The model is designed to predict the next 96 hours based on the input values from the preceding 512 hours. It is crucial to normalize the data. For a more comprehensive understanding of data pre-processing, please consult the paper or the demo.

How to Get Started with the Model

Use the code below to get started with the model.

Demo

Training Details

Training Data

ETTh1/train split. Train/validation/test splits are shown in the demo.

Training hyperparameters

The following hyperparameters were used during training:

learning_rate: 5e-05
train_batch_size: 8
eval_batch_size: 8
seed: 42
optimizer: Adam with betas=(0.9,0.999) and epsilon=1e-08
lr_scheduler_type: linear
num_epochs: 10

Training Results

Training Loss	Epoch	Step	Validation Loss
0.4306	1.0	1005	0.7268
0.3641	2.0	2010	0.7456
0.348	3.0	3015	0.7161
0.3379	4.0	4020	0.7428
0.3284	5.0	5025	0.7681
0.321	6.0	6030	0.7842
0.314	7.0	7035	0.7991
0.3088	8.0	8040	0.8021
0.3053	9.0	9045	0.8199
0.3019	10.0	10050	0.8173

Evaluation

Testing Data

ETTh1/test split. Train/validation/test splits are shown in the demo.

Metrics

Mean Squared Error (MSE).

Results

It achieves a MSE of 0.3881 on the evaluation dataset.

Hardware

1 NVIDIA A100 GPU

Framework versions

Transformers 4.36.0.dev0
Pytorch 2.0.1
Datasets 2.14.4
Tokenizers 0.14.1

Citation

BibTeX:

@misc{nie2023time,
      title={A Time Series is Worth 64 Words: Long-term Forecasting with Transformers}, 
      author={Yuqi Nie and Nam H. Nguyen and Phanwadee Sinthong and Jayant Kalagnanam},
      year={2023},
      eprint={2211.14730},
      archivePrefix={arXiv},
      primaryClass={cs.LG}
}

APA:

Nie, Y., Nguyen, N., Sinthong, P., & Kalagnanam, J. (2023). A Time Series is Worth 64 Words: Long-term Forecasting with Transformers. arXiv preprint arXiv:2211.14730.

ibm-granite
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granite-timeseries-patchtst