This is the original pytorch implementation for the following paper: FECAM: Frequency Enhanced Channel Attention Mechanism for Time Series Forecasting. Alse see the Open Review verision.

If you find this repository useful for your research work, please consider citing it as follows:

@article{2022FECAM,

title={FECAM: Frequency Enhanced Channel Attention Mechanism for Time Series Forecasting},

author={Jiang, Maowei and Zeng, Pengyu and Wang, Kai and Chen, Wenbo and Liu, Huan and Liu, Haoran},

journal=Arxiv, 2022},

year={2022}

}

• [2022-12-01] FECAM v1.0 is released

• Support Six popular time-series forecasting datasets, namely Electricity Transformer Temperature (ETTh1, ETTh2 and ETTm1,ETTm2) , Traffic, National Illness, Electricity and Exchange Rate , ranging from power, energy, finance,illness and traffic domains.
• We generalize FECAM into a module which can be flexibly and easily applied into any deep learning models within just few code lines.

• Provide all training logs.

• Integrate FECAM into other mainstream models(eg:Pyraformer,Bi-lstm,etc.) for better performance and higher efficiency on real-world time series.
• Validate FECAM on more spatial-temporal time series datasets.
• As a sequence modelling module,we believe it can work fine on NLP tasks too,like Machine Translation and Name Entity Recognization.Further more,as a frequency enhanced module it can theoretically work in any deep-learning models like Resnet.

Stay tuned!

1. Install the required package first(Mainly including Python 3.8, PyTorch 1.9.0):

    cd FECAM
    conda create -n fecam python=3.8
    conda activate fecam
    pip install -r requirements.txt

2. Download data. You can obtain all the six benchmarks from Tsinghua Cloud or Google Drive. All the datasets are well pre-processed and can be used easily.
3. Train the model. We provide the experiment scripts of all benchmarks under the folder ./scripts. You can reproduce the experiment results by:

    bash ./scripts/ETT_script/FECAM_ETTm2.sh
    bash ./scripts/ECL_script/FECAM.sh
    bash ./scripts/Exchange_script/FECAM.sh
    bash ./scripts/Traffic_script/FECAM.sh
    bash ./scripts/Weather_script/FECAM.sh
    bash ./scripts/ILI_script/FECAM.sh

FECAM outperforms all transformer-based methods by a large margin.

We conduct the experiments on 6 popular time-series datasets, namely Electricity Transformer Temperature (ETTh1, ETTh2 and ETTm1) and Traffic, Weather,Illness, Electricity and Exchange Rate, ranging from power, energy, finance , health care and traffic domains.

Download data. You can obtain all the six benchmarks from Tsinghua Cloud or Google Drive. All the datasets are well pre-processed and can be used easily.(We thanks Author of Autoformer ,Haixu Wu for sorting datasets and public sharing them.)

The data directory structure is shown as follows.

./
└── datasets/
    ├── electricity
    │   └── electricity.csv
    ├── ETT-small
    │   ├── ETTh1.csv
    │   ├── ETTh2.csv
    │   ├── ETTm1.csv
    │   └── ETTm2.csv
    ├── exchange_rate
    │   └── exchange_rate.csv
    ├── illness
    │   └── national_illness.csv
    ├── traffic
    │   └── traffic.csv
    └── weather
        └── weather.csv

If you have any questions, feel free to contact us or post github issues. Pull requests are highly welcomed!

Maowei Jiang: [email protected]

Thank you all for your attention to our work!

This code uses (Autoformer,Informer, Reformer, Transformer, LSTM,N-HiTS, N-BEATS, Pyraformer, ARIMA) as baseline methods for comparison and further improvement.

We appreciate the following github repos a lot for their valuable code base or datasets:

https://github.com/zhouhaoyi/Informer2020

https://github.com/thuml/Autoformer

https://github.com/cure-lab/LTSF-Linear

https://github.com/zhouhaoyi/ETDataset

https://github.com/laiguokun/multivariate-time-series-data