Enhancing Time Series Predictability via Structure‐Aware Reservoir Computing

Abstract

Accurate prediction of the future evolution of observational time series is a paramount challenge in current data‐driven research. While existing techniques struggle to learn useful representations from the temporal correlations, the high dimensionality in spatial domain is always considered as obstacle, leading to the curse of dimensionality and excessive resource consumption. This work designs a novel structure‐aware reservoir computing aiming at enhancing the predictability of coupled time series, by incorporating their historical dynamics as well as structural information. Paralleled reservoir computers with redesigned mixing inputs based on spatial relationships are implemented to cope with the multiple time series, whose core idea originates from the principle of the celebrated Granger causality. Representative numerical simulations and comparisons demonstrate the superior performance of the approach over the traditional ones. This work provides valuable insights into deeply mining both temporal and spatial information to enhance the representation learning of data in various machine learning techniques.