TS-Fastformer: Fast Transformer for Time-Series Forecasting

Abstract

Many real-world applications require precise and fast time-series forecasting. Recent trends in time-series forecasting models are shifting from LSTM-based models to Transformer-based models. However, the Transformer-based model has a limited ability to represent sequential relationships in time-series data. In addition, the transformer-based model suffers from slow training and inference speed due to the bottleneck incurred by a deep encoder and step-by-step decoder inference. To address these problems, we propose a time-series forecasting optimized Transformer model, called TS-Fastformer. TS-Fastformer introduces three new optimizations: First, we propose a Sub Window Tokenizer for compressing input in a simple manner. The Sub Window Tokenizer reduces the length of input sequences to mitigate the complexity of self-attention and enables both single and multi-sequence learning. Second, we propose Time-series Pre-trained Encoder to extract effective representations through pre-training. This optimization enables TS-Fastformer to capture both seasonal and trend representations as well as to mitigate bottlenecks of conventional transformer models. Third, we propose the Past Attention Decoder to forecast target by incorporating past long short-term dependency patterns. Furthermore, Past Attention Decoder achieves high performance improvement by removing a trend distribution that changes over a long period. We evaluate the efficiency of our model with extensive experiments using seven real-world datasets and compare our model to six representative time-series forecasting approaches. The results show that the proposed TS-Fastformer reduces MSE by 10.1% compared to state-of-the-art model, and demonstrates 21.6% faster training time compared to the existing fastest transformer respectively.