Abstract
In this paper, we present a recurrent neural system named Long Short-term Cognitive Networks (LSTCNs) as a generalisation of the Short-term Cognitive Network (STCN) model. Such a generalisation is motivated by the difficulty of forecasting very long time series in an efficient, greener fashion. The LSTCN model can be defined as a collection of STCN blocks, each processing a specific time patch of the (multivariate) time series being modelled. In this neural ensemble, each block passes information to the subsequent one in the form of a weight matrix referred to as the prior knowledge matrix. As a second contribution, we propose a deterministic learning algorithm to compute the learnable weights while preserving the prior knowledge resulting from previous learning processes. As a third contribution, we introduce a feature influence score as a proxy to explain the forecasting process in multivariate time series. The simulations using three case studies show that our neural system reports small forecasting errors while being up to thousands of times faster than state-of-the-art recurrent models.
Abstract (translated)
URL
https://arxiv.org/abs/2106.16233
