TFB: Towards Comprehensive and Fair Benchmarking of Time Series Forecasting Methods

We are further optimizing our code and welcome any suggestions for modifications.

Table of Contents

1. Introduction
2. Quickstart
3. Steps to develop your own method
4. FAQ
5. Citation
6. Acknowledgement
7. Contact

Introduction

TFB is an open-source library designed for time series forecasting researchers.

We provide a clean codebase for end-to-end evaluation of time series forecasting models, comparing their performance with baseline algorithms under various evaluation strategies and metrics.

The below figure provides a visual overview of TFB's pipeline.

The table below provides a visual overview of how TFB's key features compare to other libraries for time series forecasting.

Quickstart

Installation

Given a python environment (note: this project is fully tested under python 3.8), install the dependencies with the following command:

pip install -r requirements.txt

Data preparation

You can obtained the well pre-processed datasets from Google Drive. Then place the downloaded data under the folder ./dataset.

Train and evaluate model

We provide the experiment scripts for all benchmarks under the folder ./scripts/multivariate_forecast, and ./scripts/univariate_forecast. For example you can reproduce a experiment result as the following:

sh ./scripts/multivariate_forecast/ILI_script/DLinear.sh

Steps to develop your own method

Define you model or adapter class

The user-implemented model or adapter class should implement the following functions in order to adapt to this benchmark.

"required_hyper_params" function is optional，repr functions is necessary.

The function prototypes are as follows：

• required_hyper_params function:

  """
  Return the hyperparameters required by the model
  This function is optional and static
  
  :return: A dictionary that represents the hyperparameters required by the model
  :rtype: dict
  """
  # For example
  @staticmethod
  def required_hyper_params() -> dict:
      """
      An empty dictionary indicating that model does not require
      additional hyperparameters.
      """
      return {}
  

• forecast_fit function training model

  """
  Train the model.
  
  :param train_data: Time series data used for training.
  :param train_ratio_in_tv: Represents the splitting ratio of the training
  set validation set. If it is equal to 1, it means that the validation
  set is not partitioned.
  """
  # For example
  def forecast_fit(self, train_data: pd.DataFrame, *, train_ratio_in_tv: float = 1.0, **kwargs) -> "ModelBase":
      pass
  

• forecast function utilizing the model for inference

  """
  Use models for forecasting
  
  :param horizon: Predict length
  :type horizon: int
  :param series: Training data used to fit the model
  :type series: pd.DataFrame
  
  :return: Forecasting results
  :rtype: np.ndarray
  """
  # For example
  def forecast(self, horizon: int, series: pd.DataFrame, **kwargs) -> np.ndarray:
      pass
  

• __repr __ string representation of function model name

  """
  Returns a string representation of the model name
  
  :return: Returns a string representation of the model name
  :rtype: str
  """
  # For example
  def __repr__(self) -> str:
      return self.model_name
  

Configure your Configuration File

• Modify the corresponding config under the folder ./config/.

• Modify the contents in ./scripts/run_benchmark.py/.

• We strongly recommend using the pre-defined configurations in ./config/. Create your own configuration file only when you have a clear understanding of the configuration items.

Run it

python ./scripts/run_benchmark.py --config-path "rolling_forecast_config.json" --data-name-list "ILI.csv" --strategy-args '{"horizon":24}' --model-name "time_series_library.DLinear" --model-hyper-params '{"batch_size": 16, "d_ff": 512, "d_model": 256, "lr": 0.01, "horizon": 24, "seq_len": 104}' --adapter "transformer_adapter"  --gpus 0  --num-workers 1  --timeout 60000  --save-path "ILI/DLinear"

FAQ

How to use Pycharm to run code？

When running under pycharm，please escape the double quotes, remove the spaces, and remove the single quotes at the beginning and end.

Such as: '{"d_ff": 512, "d_model": 256, "horizon": 24}' ---> {\"d_ff\":512,\"d_model\":256,\"horizon\":24}

--config-path "rolling_forecast_config.json" --data-name-list "ILI.csv" --strategy-args {\"horizon\":24} --model-name "time_series_library.DLinear" --model-hyper-params {\"batch_size\":16,\"d_ff\":512,\"d_model\":256,\"lr\":0.01,\"horizon\":24,\"seq_len\":104} --adapter "transformer_adapter"  --gpus 0  --num-workers 1  --timeout 60000  --save-path "ILI/DLinear"

Citation

If you find this repo useful, please cite our paper.

@article{qiu2024tfb,
  title         = {TFB: Towards Comprehensive and Fair Benchmarking of Time Series Forecasting Methods},
  author        = {Qiu, Xiangfei and Hu, Jilin and Zhou, Lekui and Wu, Xingjian and Du, Junyang and Zhang, Buang and Guo, Chenjuan and Zhou, Aoying and Jensen, Christian S and Sheng, Zhenli and Bin Yang},
  journal       = {Proc. {VLDB} Endow.},
  year          = {2024}
}

Acknowledgement

The development of this library has been supported by Huawei Cloud, and we would like to acknowledge their contribution and assistance.

Contact

If you have any questions or suggestions, feel free to contact:

• Xiangfei Qiu ([email protected])
• Xingjian Wu ([email protected])
• Buang Zhang ([email protected])
• Junyang Du ([email protected])

Or describe it in Issues.