George Adamopoulos

Yuriy Nevmyvaka

Aiming to build foundation models for time-series forecasting and study their scaling behavior, we present here our work-in-progress on Lag-… (see more)Llama, a general-purpose univariate probabilistic time-series forecasting model trained on a large collection of time-series data. The model shows good zero-shot prediction capabilities on unseen "out-of-distribution" time-series datasets, outperforming supervised baselines. We use smoothly broken power-laws to fit and predict model scaling behavior. The open source code is made available at https://github.com/kashif/pytorch-transformer-ts.

2023-11-01

NeurIPS.cc/2023/Workshop/R0-FoMo (poster)

doi.org

openreview.net

Lag-Llama: Towards Foundation Models for Probabilistic Time Series Forecasting

Kashif Rasul

Arjun Ashok

Andrew Robert Williams

Arian Khorasani

George Adamopoulos

Rishika Bhagwatkar

Marin Bilovs

Hena Ghonia

N. Hassen

Anderson Schneider

Sahil Garg

Yuriy Nevmyvaka

Over the past years, foundation models have caused a paradigm shift in machine learning due to their unprecedented capabilities for zero-sho… (see more)t and few-shot generalization. However, despite the success of foundation models in modalities such as natural language processing and computer vision, the development of foundation models for time series forecasting has lagged behind. We present Lag-Llama, a general-purpose foundation model for univariate probabilistic time series forecasting based on a decoder-only transformer architecture that uses lags as covariates. Lag-Llama is pretrained on a large corpus of diverse time series data from several domains, and demonstrates strong zero-shot generalization capabilities compared to a wide range of forecasting models on downstream datasets across domains. Moreover, when fine-tuned on relatively small fractions of such previously unseen datasets, Lag-Llama achieves state-of-the-art performance, outperforming prior deep learning approaches, emerging as the best general-purpose model on average. Lag-Llama serves as a strong contender to the current state-of-art in time series forecasting and paves the way for future advancements in foundation models tailored to time series data.

2023-10-12

ArXiv (preprint)

arxiv.org

Lag-Llama: Towards Foundation Models for Probabilistic Time Series Forecasting

Kashif Rasul

Arjun Ashok

Andrew Robert Williams

Arian Khorasani

George Adamopoulos

Rishika Bhagwatkar

Marin Bilovs

Hena Ghonia

Nadhir Hassen

Anderson Schneider

Sahil Garg

Yuriy Nevmyvaka

2023-10-12

ArXiv (preprint)

arxiv.org

Lag-Llama: Towards Foundation Models for Time Series Forecasting

Kashif Rasul

Arjun Ashok

Andrew Robert Williams

Arian Khorasani

George Adamopoulos

Rishika Bhagwatkar

Marin Biloš

Hena Ghonia

N. Hassen

Anderson Schneider

Sahil Garg

Yuriy Nevmyvaka