Part of Advances in Neural Information Processing Systems 35 (NeurIPS 2022) Main Conference Track
Yuzhou Chen, Yulia Gel, H. Vincent Poor
Graph neural networks (GNNs) offer a new powerful alternative for multivariate time series forecasting, demonstrating remarkable success in a variety of spatio-temporal applications, from urban flow monitoring systems to health care informatics to financial analytics. Yet, such GNN models pre-dominantly capture only lower order interactions, that is, pairwise relations among nodes, and also largely ignore intrinsic time-conditioned information on the underlying topology of multivariate time series. To address these limitations, we propose a new time-aware GNN architecture which amplifies the power of the recently emerged simplicial neural networks with a time-conditioned topological knowledge representation in a form of zigzag persistence. That is, our new approach, Zigzag Filtration Curve based Supra-Hodge Convolution Networks (ZFC-SHCN) is built upon the two main components: (i) a new highly computationally efficientzigzag persistence curve which allows us to systematically encode time-conditioned topological information, and (ii) a new temporal multiplex graph representation module for learning higher-order network interactions. We discuss theoretical properties of the proposed time-conditioned topological knowledge representation and extensively validate the new time-aware ZFC-SHCN model in conjunction with time series forecasting on a broad range of synthetic and real-world datasets: traffic flows, COVID-19 biosurveillance, Ethereum blockchain, surface air temperature, wind energy, and vector autoregressions. Our experiments demonstrate that the ZFC-SHCN achieves the state-of-the-art performance with lower requirements on computational costs.