Systems and methods for a time series forecasting transformer network

Abstract

Embodiments described herein provide a Transformer architecture for time series data forecasting. Specifically, the Transformer based time series model may be built on a transformer architecture having one or more multi patch size projection layers in the encoder and the decoder, and an any-variate attention module. The Transformer based time series model may receive multivariate time series and consider all variates as a single sequence. Patches of the input are subsequently projected into vector representations via a multi patch size input projection layer. The output tokens of forecasted time series data are then decoded via the multi patch size output projection layers in the parameters of the mixture distribution.

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