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Spectral Temporal Graph Neural Network for Multivariate Time-series Forecasting

This repository is the wooheon's reproducing of StemGNN(NeurIPS20)

Requirements

pip install --upgrade pip
pip install -r requirements.txt

Datasets

https://github.com/microsoft/StemGNN

Training and Evaluation

python main.py --dataset <name of csv file> --window_size <length of sliding window> --horizon <predict horizon> --norm_method z_score --batch_size 64 --train_length 7 --validate_length 2 --test_length 1

The detailed descriptions about the parameters are as following: New parameter are bold type.

Parameter name Description of parameter
dataset file name of input csv
window_size length of sliding window, default 12
horizon predict horizon, default 3
train_length length of training data, default 7
validate_length length of validation data, default 2
test_length length of testing data, default 1
epoch epoch size during training
optimizer optimizer, default RMSProp
lr learning rate, default 1e-3
decay_rate decay rate, default 0.7
exponential_decay_step exponential decay step, default 5
randomwalk_laplacian determine whether to use randomwalk normalized laplacian matrix
attention_channel hyper parameter of latent correlation layer, default 32
kernel_size hyper parameter of Gated CNN's kernel size, default 3
gcnn_channel hyper parameter of Gated CNN's channel, default 32
gconv_channel hyper parameter of Graph Convolution channel, default 64
multi_channel hyper parameter of StemBlock's forecast, backcast output channel, default 128
device device that the code works on, 'cpu' or 'cuda:x'
validate_freq frequency of validation
batch_size batch size, default 64
dropout_rate dropout_rate, default 0.2
leakyrelu_rate leakyrelu rate, default 0.5
norm_method method for normalization, 'z_score' or 'min_max'
early_stop whether to enable early stop, default False

Results

My reproducing model shows following performance on the 10 datasets:

Table 1 Configuration and perforamance for all datasets

Dataset window_size horizon norm_method MAE RMSE MAPE(%)
METR-LA 12 3 z_score
PEMS-BAY 12 3 z_score
PEMS03 12 3 z_score
PEMS04 12 3 z_score
PEMS07 12 3 z_score
PEMS08 12 3 z_score
COVID-19 28 28 z_score

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