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YunhaoZhang-Mars committed Jun 9, 2024
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# UP2ME: <u>U</u>nivariate <u>P</u>re-training to <u>M</u>ultivariate Fin<u>e</u>-tuning as a General-purpose Framework for Multivariate Time Series Analysis (ICML 2024)

This is the origin Pytorch implementation of “UP2ME: Univariate Pre-training to Multivariate Fine-tuning as a General-purpose Framework for Multivariate Time Series Analysis ICML L2024)”
This is the origin Pytorch implementation of “[UP2ME: Univariate Pre-training to Multivariate Fine-tuning as a General-purpose Framework for Multivariate Time Series Analysis (ICML 2024)](https://openreview.net/pdf?id=aR3uxWlZhX)

## Workflow
UP2ME is a general-purpose framework for Multivariate Time Series Analysis. It conducts taskagnostic pre-training when downstream tasks are unspecified. Once the task and setting (e.g. forecasting length) are determined, it gives sensible solutions with frozen pre-trained parameters. Further accuracy is achieved through multivariate fine-tuning.
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2. Download the datasets from [UP2ME-datasets](https://drive.google.com/file/d/1oLYcQa7NJcMDSP_rYSkP5hQHzXL2rpZM/view?usp=drive_link) and unzip it into the folder `datasets` in the root folder. The struture should be like:
- datasets
- ETT
- ETTm1.csv
- ...... same for csv format datasets: weather, ECL(Electricity) and traffic
- SMD
- SMD_train.npy
- SMD_test.npy
- SMD_test_label.npy
- ...... same for npy format datasets: PSM, SWaT and NIPS_Water(GECCO)
```
datasets
├── ETT
│ └── ETTm1.csv
├── same for csv format datasets: weather, ECL(Electricity) and traffic
├── SMD
│ ├── SMD_train.npy
│ ├── SMD_test.npy
│ └── SMD_test_label.npy
└── same for npy format datasets: PSM, SWaT and NIPS_Water(GECCO)
```
3. We have already put the pre-trained model for each dataset in `./pretrain-library`. To get forecasting results on ETTm1, run:
```
bash scripts/forecast_scripts/ETTm1.sh
```
the immediate reaction(UP2ME(IR)) and fine-tuning(UP2ME(FT)) modes will be tested on 4 different forecasting lengths (96, 192, 336, 720) and results will be saved in a new folder `./forecast_result`.
the immediate reaction(UP2ME(IR)) and fine-tuning(UP2ME(FT)) modes will be tested on 4 different forecasting lengths (96, 192, 336, 720) and results will be saved in a new folder `./forecast_results`.
4. To reproduce results for all 3 tasks on all 8 datasets, run other scripts in `./scripts`.
## Citation
If you find this repository useful in your research, please cite:
```
@inproceedings{zhang2024upme,
title={{UP}2{ME}: Univariate Pre-training to Multivariate Fine-tuning as a General-purpose Framework for Multivariate Time Series Analysis},
author={Yunhao Zhang and Minghao Liu and Shengyang Zhou and Junchi Yan},
booktitle={International Conference on Machine Learning (ICML)},
year={2024}
}
```
## Acknowledgement
We appreciate the following works for their valuable code and data:
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