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MTGNN

This is a PyTorch implementation of the paper: Connecting the Dots: Multivariate Time Series Forecasting with Graph Neural Networks, published in KDD-2020.

Requirements

The model is implemented using Python3 with dependencies specified in requirements.txt

Data Preparation

Multivariate time series datasets

Download Solar-Energy, Traffic, Electricity, Exchange-rate datasets from https://github.com/laiguokun/multivariate-time-series-data. Uncompress them and move them to the data folder.

Traffic datasets

Download the METR-LA and PEMS-BAY dataset from Google Drive or Baidu Yun provided by Li et al. . Move them into the data folder.

# Create data directories
mkdir -p data/{METR-LA,PEMS-BAY}

# METR-LA
python generate_training_data.py --output_dir=data/METR-LA --traffic_df_filename=data/metr-la.h5

# PEMS-BAY
python generate_training_data.py --output_dir=data/PEMS-BAY --traffic_df_filename=data/pems-bay.h5

Model Training

Single-step

• Solar-Energy

python train_single_step.py --save ./model-solar-3.pt --data ./data/solar_AL.txt --num_nodes 137 --batch_size 4 --epochs 30 --horizon 3
#sampling
python train_single_step.py --num_split 3 --save ./model-solar-sampling-3.pt --data ./data/solar_AL.txt --num_nodes 137 --batch_size 16 --epochs 30 --horizon 3

• Traffic

python train_single_step.py --save ./model-traffic3.pt --data ./data/traffic.txt --num_nodes 862 --batch_size 16 --epochs 30 --horizon 3
#sampling
python train_single_step.py --num_split 3 --save ./model-traffic-sampling-3.pt --data ./data/traffic --num_nodes 321 --batch_size 16 --epochs 30 --horizon 3

• Electricity

python train_single_step.py --save ./model-electricity-3.pt --data ./data/electricity.txt --num_nodes 321 --batch_size 4 --epochs 30 --horizon 3
#sampling 
python train_single_step.py --num_split 3 --save ./model-electricity-sampling-3.pt --data ./data/electricity.txt --num_nodes 321 --batch_size 16 --epochs 30 --horizon 3

• Exchange-Rate

python train_single_step.py --save ./model/model-exchange-3.pt --data ./data/exchange_rate.txt --num_nodes 8 --subgraph_size 8  --batch_size 4 --epochs 30 --horizon 3
#sampling
python train_single_step.py --num_split 3 --save ./model-exchange-3.pt --data ./data/exchange_rate.txt --num_nodes 8 --subgraph_size 2  --batch_size 16 --epochs 30 --horizon 3

Multi-step

• METR-LA

python train_multi_step.py --adj_data ./data/sensor_graph/adj_mx.pkl --data ./data/METR-LA --num_nodes 207

• PEMS-BAY

python train_multi_step.py --adj_data ./data/sensor_graph/adj_mx_bay.pkl --data ./data/PEMS-BAY/ --num_nodes 325

Citation

@inproceedings{wu2020connecting,
  title={Connecting the Dots: Multivariate Time Series Forecasting with Graph Neural Networks},
  author={Wu, Zonghan and Pan, Shirui and Long, Guodong and Jiang, Jing and Chang, Xiaojun and Zhang, Chengqi},
  booktitle={Proceedings of the 26th ACM SIGKDD International Conference on Knowledge Discovery \& Data Mining},
  year={2020}
}