Journal
IEEE TRANSACTIONS ON INFORMATION THEORY
Volume 69, Issue 1, Pages 650-665Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TIT.2022.3196707
Keywords
Compressed sensing; sparsity and low-rankness; time series forecasting; Fourier transform; convolution
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This paper investigates the problem of time series forecasting from the perspective of compressed sensing. It converts the forecasting problem into a more inclusive tensor completion problem called TCAS, which aims to restore a tensor from a subset of its entries sampled arbitrarily. The paper proposes a convex program called CNNM and proves its success in solving TCAS under a sampling condition related to the convolution rank of the target tensor. Experimental results on univariate time series, images, and videos demonstrate promising outcomes.
This paper studies the problem of time series forecasting (TSF) from the perspective of compressed sensing. First of all, we convert TSF into a more inclusive problem called tensor completion with arbitrary sampling (TCAS), which is to restore a tensor from a subset of its entries sampled in an arbitrary manner. While it is known that, in the framework of Tucker low-rankness, it is theoretically impossible to identify the target tensor based on some arbitrarily selected entries, in this work we shall show that TCAS is indeed tackleable in the light of a new concept called convolutional low-rankness, which is a generalization of the well-known Fourier sparsity. Then we introduce a convex program termed Convolution Nuclear Norm Minimization (CNNM), and we prove that CNNM succeeds in solving TCAS as long as a sampling condition-which depends on the convolution rank of the target tensor-is obeyed. This theory provides a meaningful answer to the fundamental question of what is the minimum sampling size needed for making a given number of forecasts. Experiments on univariate time series, images and videos show encouraging results.
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