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PatchTST

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An offical implementation of PatchTST: "A Time Series is Worth 64 Words: Long-term Forecasting with Transformers." (ICLR 2023) https://arxiv.org/abs/2211.14730

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# PatchTST (ICLR 2023)

### This is an offical implementation of PatchTST: [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://arxiv.org/abs/2211.14730).

:triangular_flag_on_post: Our model has been included in [GluonTS](https://github.com/awslabs/gluonts). Special thanks to the contributor @[kashif](https://github.com/kashif)!

:triangular_flag_on_post: Our model has been included in [NeuralForecast](https://github.com/Nixtla/neuralforecast). Special thanks to the contributor @[kdgutier](https://github.com/kdgutier) and @[cchallu](https://github.com/cchallu)!

:triangular_flag_on_post: Our model has been included in [timeseriesAI(tsai)](https://github.com/timeseriesAI/tsai/blob/main/tutorial_nbs/15_PatchTST_a_new_transformer_for_LTSF.ipynb). Special thanks to the contributor @[oguiza](https://github.com/oguiza)!

We offer a video that provides a concise overview of our paper for individuals seeking a rapid comprehension of its contents: https://www.youtube.com/watch?v=Z3-NrohddJw

## Key Designs

:star2: **Patching**: segmentation of time series into subseries-level patches which are served as input tokens to Transformer.

:star2: **Channel-independence**: each channel contains a single univariate time series that shares the same embedding and Transformer weights across all the series.

![alt text](https://github.com/yuqinie98/PatchTST/blob/main/pic/model.png)

## Results

### Supervised Learning

Compared with the best results that Transformer-based models can offer, PatchTST/64 achieves an overall **21.0%** reduction on MSE and **16.7%** reduction
on MAE, while PatchTST/42 attains a overall **20.2%** reduction on MSE and **16.4%** reduction on MAE. It also outperforms other non-Transformer-based models like DLinear.

![alt text](https://github.com/yuqinie98/PatchTST/blob/main/pic/table3.png)

### Self-supervised Learning

We do comparison with other supervised and self-supervised models, and self-supervised PatchTST is able to outperform all the baselines.

![alt text](https://github.com/yuqinie98/PatchTST/blob/main/pic/table4.png)

![alt text](https://github.com/yuqinie98/PatchTST/blob/main/pic/table6.png)

We also test the capability of transfering the pre-trained model to downstream tasks.

![alt text](https://github.com/yuqinie98/PatchTST/blob/main/pic/table5.png)

## Efficiency on Long Look-back Windows

Our PatchTST consistently <ins>reduces the MSE scores as the look-back window increases</ins>, which confirms our model’s capability to learn from longer receptive field.

![alt text](https://github.com/yuqinie98/PatchTST/blob/main/pic/varying_L.png)

## Getting Started

We seperate our codes for supervised learning and self-supervised learning into 2 folders: ```PatchTST_supervised``` and ```PatchTST_self_supervised```. Please choose the one that you want to work with.

### Supervised Learning

1. Install requirements. ```pip install -r requirements.txt```

2. Download data. You can download all the datasets from [Autoformer](https://drive.google.com/drive/folders/1ZOYpTUa82_jCcxIdTmyr0LXQfvaM9vIy). Create a seperate folder ```./dataset``` and put all the csv files in the directory.

3. Training. All the scripts are in the directory ```./scripts/PatchTST```. The default model is PatchTST/42. For example, if you want to get the multivariate forecasting results for weather dataset, just run the following command, and you can open ```./result.txt``` to see the results once the training is done:
```
sh ./scripts/PatchTST/weather.sh
```

You can adjust the hyperparameters based on your needs (e.g. different patch length, different look-back windows and prediction lengths.). We also provide codes for the baseline models.

### Self-supervised Learning

1. Follow the first 2 steps above

2. Pre-training: The scirpt patchtst_pretrain.py is to train the PatchTST/64. To run the code with a single GPU on ettm1, just run the following command
```
python patchtst_pretrain.py --dset ettm1 --mask_ratio 0.4
```
The model will be saved to the saved_model folder for the downstream tasks. There are several other parameters can be set in the patchtst_pretrain.py script.
 
 3. Fine-tuning: The script patchtst_finetune.py is for fine-tuning step. Either linear_probing or fine-tune the entire network can be applied.
```
python patchtst_finetune.py --dset ettm1 --pretrained_model <model_name>
```

## Acknowledgement

We appreciate the following github repo very much for the valuable code base and datasets:

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

https://github.com/zhouhaoyi/Informer2020

https://github.com/thuml/Autoformer

https://github.com/MAZiqing/FEDformer

https://github.com/alipay/Pyraformer

https://github.com/ts-kim/RevIN

https://github.com/timeseriesAI/tsai

## Contact

If you have any questions or concerns, please contact us: ynie@princeton.edu or nnguyen@us.ibm.com or submit an issue

## Citation

If you find this repo useful in your research, please consider citing our paper as follows:

```
@inproceedings{Yuqietal-2023-PatchTST,
  title     = {A Time Series is Worth 64 Words: Long-term Forecasting with Transformers},
  author    = {Nie, Yuqi and
               H. Nguyen, Nam and
               Sinthong, Phanwadee and 
               Kalagnanam, Jayant},
  booktitle = {International Conference on Learning Representations},
  year      = {2023}
}
```

PatchTST

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