VAECGAN: a generating framework for long-term prediction in multivariate time series

Abstract

Long-term prediction is still a difficult problem in data mining. People usually use various kinds of methods of Recurrent Neural Network to predict. However, with the increase of the prediction step, the accuracy of prediction decreases rapidly. In order to improve the accuracy of long-term prediction,we propose a framework Variational Auto-Encoder Conditional Generative Adversarial Network(VAECGAN). Our model is divided into three parts. The first part is the encoder net, which can encode the exogenous sequence into latent space vectors and fully save the information carried by the exogenous sequence. The second part is the generator net which is responsible for generating prediction data. In the third part, the discriminator net is used to classify and feedback, adjust data generation and improve prediction accuracy. Finally, extensive empirical studies tested with five real-world datasets (NASDAQ, SML, Energy, EEG,KDDCUP)demonstrate the effectiveness and robustness of our proposed approach.