HAN Lu, HUO Weigang, ZHANG Yonghui, LIU Tao
Accepted: 2022-12-07
Each variable of the multivariate time series contains multi-scale features of different time spans. These features contain abundant information about the development process, direction and trend, and possess different importance for forecasting task. However, existing time series forecasting models cannot effectively capture multi-scale features and comprehensively evaluate the importance of multi-scale features. To this end, a new time series forecasting model (FFANet) based on multi-scale temporal Feature Fusion and dual Attention mechanism is established in this study. This model can effectively fuse and concentrate important multi-scale features to achieve better forecasting performance. First, the parallel dilated convolutional layers in the multi-scale temporal feature fusion module makes the FFANet have multiple receptive fields. Therefore, the FFANet is capable of extracting and fusing multi-scale features adaptively. Then, the dual attention module is introduced to recalibrate the fused features. The FFANet focuses on key features by normalizing the temporal and channel weights to the corresponding fused features. Experimental results on Traffic, Solar-Energy and Electricity multivariate time series datasets show that the forecasting accuracy index of the proposed model is satisfactory. Compared with the Auto Regressive(AR), Vector Auto Regressive Multilayer Perception(VARMLP), RNN-GRU, Long- and Short-term Time-series network(LSTNet-skip), Temporal Pattern Attention(TPA-LSTM), Multivariate Time Series Forecasting Graph Neural Networks(MTGNN), and Attention-based Auto Regression(AttnAR) models, the prediction accuracy improved by 30.78, 31.76, 22.81, 11.25, 7.51, 3.80 and 1.88 percentage points, respectively.