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Title: Long-term Forecasting using Tensor-Train RNNs

Paper content:
We present Tensor-Train RNN (TT-RNN), a novel family of neural sequence architectures for multivariate forecasting in environments with nonlinear dynamics.
Long-term forecasting in such systems is highly challenging, since there exist long-term temporal dependencies, higher-order correlations and sensitivity to error propagation.
Our proposed tensor recurrent architecture addresses these issues by learning the nonlinear dynamics directly using higher order moments and high-order state transition functions.
Furthermore, we decompose the higher-order structure using the tensor-train (TT) decomposition to reduce the number of parameters while preserving the model performance.
We theoretically establish the approximation properties of Tensor-Train RNNs for general sequence inputs, and such guarantees are not available for usual RNNs.
We also demonstrate significant long-term prediction improvements over general RNN and LSTM architectures on a range of simulated environments with nonlinear dynamics, as well on real-world climate and traffic data.
One of the central questions in science is forecasting: given the past history, how well can we predict the future?
In many domains with complex multivariate correlation structures and nonlinear dynamics, forecasting is highly challenging since the system has long-term temporal dependencies and higher-order dynamics.
Examples of such systems abound in science and engineering, from biological neural network activity, fluid turbulence, to climate and traffic systems (see FIG0 ).
Since current forecasting systems are unable to faithfully represent the higher-order dynamics, they have limited ability for accurate long-term forecasting.
Therefore, a key challenge is accurately modeling nonlinear dynamics and obtaining stable long-term predictions, given a dataset of realizations of the dynamics.
Here, the forecasting problem can be stated as follows: how can we efficiently learn a model that, given only few initial states, can reliably predict a sequence of future states over a long horizon of T time-steps?
Common approaches to forecasting involve linear time series models such as auto-regressive moving average (ARMA), state space models such as hidden Markov model (HMM), and deep neural networks.
We refer readers to a survey on time series forecasting by BID2 and the references therein.
A recurrent neural network (RNN), as well as its memory-based extensions such as the LSTM, is a class of models that have achieved good performance on sequence prediction tasks from demand forecasting BID5 to speech recognition BID15 and video analysis BID9 .
Although these methods can be effective for short-term, smooth dynamics, neither analytic nor data-driven learning methods tend to generalize well to capturing long-term nonlinear dynamics and predicting them over longer time horizons.To address this issue, we propose a novel family of tensor-train recurrent neural networks that can learn stable long-term forecasting.
These models have two key features: they
1) explicitly model the higher-order dynamics, by using a longer history of previous hidden states and high-order state interactions with multiplicative memory units; and
2) they are scalable by using tensor trains, a structured low-rank tensor decomposition that greatly reduces the number of model parameters, while mostly preserving the correlation structure of the full-rank model.In this work, we analyze Tensor-Train RNNs theoretically, and also experimentally validate them over a wide range of forecasting domains.
Our contributions can be summarized as follows:• We describe how TT-RNNs encode higher-order non-Markovian dynamics and high-order state interactions.
To address the memory issue, we propose a tensor-train (TT) decomposition that makes learning tractable and fast.•
We provide theoretical guarantees for the representation power of TT-RNNs for nonlinear dynamics, and obtain the connection between the target dynamics and TT-RNN approximation. In
contrast, no such theoretical results are known for standard recurrent networks.• We
validate TT-RNNs on simulated data and two real-world environments with nonlinear dynamics (climate and traffic). Here
, we show that TT-RNNs can forecast more accurately for significantly longer time horizons compared to standard RNNs and LSTMs.
In this work, we considered forecasting under nonlinear dynamics.We propose a novel class of RNNs -TT-RNN.
We provide approximation guarantees for TT-RNN and characterize its representation power.
We demonstrate the benefits of TT-RNN to forecast accurately for significantly longer time horizon in both synthetic and real-world multivariate time series data.As we observed, chaotic dynamics still present a significant challenge to any sequential prediction model.
Hence, it would be interesting to study how to learn robust models for chaotic dynamics.
In other sequential prediction settings, such as natural language processing, there does not (or is not known to) exist a succinct analytical description of the data-generating process.
It would be interesting to further investigate the effectiveness of TT-RNNs in such domains as well.

assistant: text: Accurate forecasting over very long time horizons using tensor-train RNNs