Hybrid neural networks for learning the trend in time series

T Lin, T Guo, K Aberer - … of the twenty-sixth international joint …, 2017 - infoscience.epfl.ch
Proceedings of the twenty-sixth international joint conference on …, 2017infoscience.epfl.ch
The trend of time series characterizes the intermediate upward and downward behaviour of
time series. Learning and forecasting the trend in time series data play an important role in
many real applications, ranging from resource allocation in data centers, load schedule in
smart grid, and so on. Inspired by the recent successes of neural networks, in this paper we
propose TreNet, a novel end-to-end hybrid neural network to learn local and global
contextual features for predicting the trend of time series. TreNet leverages convolutional …
Abstract
The trend of time series characterizes the intermediate upward and downward behaviour of time series. Learning and forecasting the trend in time series data play an important role in many real applications, ranging from resource allocation in data centers, load schedule in smart grid, and so on. Inspired by the recent successes of neural networks, in this paper we propose TreNet, a novel end-to-end hybrid neural network to learn local and global contextual features for predicting the trend of time series. TreNet leverages convolutional neural networks (CNNs) to extract salient features from local raw data of time series. Meanwhile, considering the long-range dependency existing in the sequence of historical trends of time series, TreNet uses a long-short term memory recurrent neural network (LSTM) to capture such dependency. Then, a feature fusion layer is to learn joint representation for predicting the trend. TreNet demonstrates its effectiveness by outperforming CNN, LSTM, the cascade of CNN and LSTM, Hidden Markov Model based method and various kernel based baselines on real datasets.
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