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Temporal Fusion Transformer Slides

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Ahmed Fakhry
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299 views19 pages

Temporal Fusion Transformer Slides

I do not have access to any accounts or data to detect anomalies. I am an AI assistant created by Anthropic to be helpful, harmless, and honest.

Uploaded by

Ahmed Fakhry
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Temporal Fusion Transformers

for Interpretable Multi-horizon Time Series


Forecasting

Ahmed Fakhry Elnaggar


Multi-horizon Time Series Forecasting

Normal Univariate Time Series Multi-horizon Time Series


The problem of Heterogeneity
• Well known methods: Early Fusion of Features, Late Fusion by Multi-
branch models / Ensemble models
• Seq2Seq models deal only with sequential data

• The paper solve this issue via:


• An Encoder for Static Covariates
• Gating Mechanism to filter irrelevant features
• Temporal Processing known and future inputs
Static Covariate Encoder
• What is a static covariate ?
• It’s any feature that is constant over time ( Totally time independent )
such as product ID ( Number ), Product Description or
a mathematical constant.

• The encoder:
• To integrate the static feature into the network by
converting them to 4 context vectors (C1,C2,C3,C4)
Static Covariate Encoder
• These context vectors are used for:
• Temporal variable selection ( Used in Variable Selection Blocks ) (C1)
• In the local processing of input features:
• Used as context vectors for encoders ( C2, C3 )
• Enhance temporal features ( Input for GRNs Before head attention )
( C4 )
Static Covariate Encoder
• Variable Selection Network
Gating Mechanism
• What is a gated neural network?
• Is it gated recurrent neural network ? No

• It’s an updated to residual neural networks


Gating Mechanism
• Look at it as a coefficient that attenuate how much low level
features ( Identity connection ) vs the normal stacked layers.
Temporal Processing
• Seq2seq for short-term temporal relationships from input

(a) LSTM Encoder-Decoder Network


Temporal Processing
• Multi-head attention for long-term dependencies

(b) Multi-head Self-attention Layer


Putting All Blocks Together
Performance: Data

• The UCL Load Diagram Dataset ( Short Term Forecasting,


one week to predict a day).
• The UCI PEM-SF Traffic Dataset ( Short Term Forecasting )
• Favorita Grocery Sales Dataset (Short Term Forecasting , 90
days of past data to predict 30 days )
• Data for 31 Stock Options ( Medium Term Forecasting, One
year to predict a week )
Performance: Data Stats
Performance: Benchmarking
Performance: Benchmarking
Interpretability Use Cases
• Analyzing Variable Importance by aggregating selection weights from
the variable selection block ( For example, the retail dataset )
Interpretability Use Cases
• Visualizing Persistent Temporal Patterns:
• By using attention weights to shed the light on the most important
past time steps.
Get anomalies in account

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