How to Develop Convolutional Neural Network Models for Time Series Forecasting

Convolutional Neural Network models, or CNNs for short, can be applied to time series forecasting.

There are many types of CNN models that can be used for each specific type of time series forecasting problem.

In this tutorial, you will discover how to develop a suite of CNN models for a range of standard time series forecasting problems.

The objective of this tutorial is to provide standalone examples of each model on each type of time series problem as a template that you can copy and adapt for your specific time series forecasting problem.

After completing this tutorial, you will know:

• How to develop CNN models for univariate time series forecasting.
• How to develop CNN models for multivariate time series forecasting.
• How to develop CNN models for multi-step time series forecasting.

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How to Develop Convolutional Neural Network Models for Time Series Forecasting
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Tutorial Overview

In this tutorial, we will explore how to develop a suite of different types of CNN models for time series forecasting.

The models are demonstrated on small contrived time series problems intended to give the flavor of the type of time series problem being addressed. The chosen configuration of the models is arbitrary and not optimized for each problem; that was not the goal.

This tutorial is divided into four parts; they are:

1. Univariate CNN Models
2. Multivariate CNN Models
3. Multi-Step CNN Models
4. Multivariate Multi-Step CNN Models

Univariate CNN Models

Although traditionally developed for two-dimensional image data, CNNs can be used to model univariate time series forecasting problems.

Univariate time series are datasets comprised of a single series of observations with a temporal ordering and a model is required to learn from the series of past observations to predict the next value in the sequence.

This section is divided into two parts; they are:

1. Data Preparation
2. CNN Model

Data Preparation

Before a univariate series can be modeled, it must be prepared.

The CNN model will learn a function that maps a sequence of past observations as input to an output observation. As such, the sequence of observations must be transformed into multiple examples from which the model can learn.

Consider a given univariate sequence:

We can divide the sequence into multiple input/output patterns called samples, where three time steps are used as input and one time step is used as output for the one-step prediction that is being learned.

The split_sequence() function below implements this behavior and will split a given univariate sequence into multiple samples where each sample has a specified number of time steps and the output is a single time step.

We can demonstrate this function on our small contrived dataset above.

The complete example is listed below.

Running the example splits the univariate series into six samples where each sample has three input time steps and one output time step.

Now that we know how to prepare a univariate series for modeling, let’s look at developing a CNN model that can learn the mapping of inputs to outputs.

CNN Model

A one-dimensional CNN is a CNN model that has a convolutional hidden layer that operates over a 1D sequence. This is followed by perhaps a second convolutional layer in some cases, such as very long input sequences, and then a pooling layer whose job it is to distill the output of the convolutional layer to the most salient elements.

The convolutional and pooling layers are followed by a dense fully connected layer that interprets the features extracted by the convolutional part of the model. A flatten layer is used between the convolutional layers and the dense layer to reduce the feature maps to a single one-dimensional vector.

We can define a 1D CNN Model for univariate time series forecasting as follows.

Key in the definition is the shape of the input; that is what the model expects as input for each sample in terms of the number of time steps and the number of features.

We are working with a univariate series, so the number of features is one, for one variable.

The number of time steps as input is the number we chose when preparing our dataset as an argument to the split_sequence() function.

The input shape for each sample is specified in the input_shape argument on the definition of the first hidden layer.

We almost always have multiple samples, therefore, the model will expect the input component of training data to have the dimensions or shape:

Our split_sequence() function in the previous section outputs the X with the shape [samples, timesteps], so we can easily reshape it to have an additional dimension for the one feature.

The CNN does not actually view the data as having time steps, instead, it is treated as a sequence over which convolutional read operations can be performed, like a one-dimensional image.

In this example, we define a convolutional layer with 64 filter maps and a kernel size of 2. This is followed by a max pooling layer and a dense layer to interpret the input feature. An output layer is specified that predicts a single numerical value.

The model is fit using the efficient Adam version of stochastic gradient descent and optimized using the mean squared error, or ‘mse‘, loss function.

Once the model is defined, we can fit it on the training dataset.

After the model is fit, we can use it to make a prediction.

We can predict the next value in the sequence by providing the input:

And expecting the model to predict something like:

The model expects the input shape to be three-dimensional with [samples, timesteps, features], therefore, we must reshape the single input sample before making the prediction.

We can tie all of this together and demonstrate how to develop a 1D CNN model for univariate time series forecasting and make a single prediction.

Running the example prepares the data, fits the model, and makes a prediction.

Note: Your results may vary given the stochastic nature of the algorithm or evaluation procedure, or differences in numerical precision. Consider running the example a few times and compare the average outcome.

We can see that the model predicts the next value in the sequence.

Multivariate CNN Models

Multivariate time series data means data where there is more than one observation for each time step.

There are two main models that we may require with multivariate time series data; they are:

1. Multiple Input Series.
2. Multiple Parallel Series.

Let’s take a look at each in turn.

Multiple Input Series

A problem may have two or more parallel input time series and an output time series that is dependent on the input time series.

The input time series are parallel because each series has observations at the same time steps.

We can demonstrate this with a simple example of two parallel input time series where the output series is the simple addition of the input series.

We can reshape these three arrays of data as a single dataset where each row is a time step and each column is a separate time series.

This is a standard way of storing parallel time series in a CSV file.

The complete example is listed below.

Running the example prints the dataset with one row per time step and one column for each of the two input and one output parallel time series.

As with the univariate time series, we must structure these data into samples with input and output samples.

A 1D CNN model needs sufficient context to learn a mapping from an input sequence to an output value. CNNs can support parallel input time series as separate channels, like red, green, and blue components of an image. Therefore, we need to split the data into samples maintaining the order of observations across the two input sequences.

If we chose three input time steps, then the first sample would look as follows:

Input:

Output:

That is, the first three time steps of each parallel series are provided as input to the model and the model associates this with the value in the output series at the third time step, in this case, 65.

We can see that, in transforming the time series into input/output samples to train the model, that we will have to discard some values from the output time series where we do not have values in the input time series at prior time steps. In turn, the choice of the size of the number of input time steps will have an important effect on how much of the training data is used.

We can define a function named split_sequences() that will take a dataset as we have defined it with rows for time steps and columns for parallel series and return input/output samples.

We can test this function on our dataset using three time steps for each input time series as input.

The complete example is listed below.

Running the example first prints the shape of the X and y components.

We can see that the X component has a three-dimensional structure.

The first dimension is the number of samples, in this case 7. The second dimension is the number of time steps per sample, in this case 3, the value specified to the function. Finally, the last dimension specifies the number of parallel time series or the number of variables, in this case 2 for the two parallel series.

This is the exact three-dimensional structure expected by a 1D CNN as input. The data is ready to use without further reshaping.

We can then see that the input and output for each sample is printed, showing the three time steps for each of the two input series and the associated output for each sample.

We are now ready to fit a 1D CNN model on this data, specifying the expected number of time steps and features to expect for each input sample, in this case three and two respectively.

When making a prediction, the model expects three time steps for two input time series.

We can predict the next value in the output series providing the input values of:

The shape of the one sample with three time steps and two variables must be [1, 3, 2].

We would expect the next value in the sequence to be 100 + 105 or 205.

The complete example is listed below.

Note: Your results may vary given the stochastic nature of the algorithm or evaluation procedure, or differences in numerical precision. Consider running the example a few times and compare the average outcome.

Running the example prepares the data, fits the model, and makes a prediction.

There is another, more elaborate way to model the problem.

Each input series can be handled by a separate CNN and the output of each of these submodels can be combined before a prediction is made for the output sequence.

We can refer to this as a multi-headed CNN model. It may offer more flexibility or better performance depending on the specifics of the problem that is being modeled. For example, it allows you to configure each sub-model differently for each input series, such as the number of filter maps and the kernel size.

This type of model can be defined in Keras using the Keras functional API.

First, we can define the first input model as a 1D CNN with an input layer that expects vectors with n_steps and 1 feature.

We can define the second input submodel in the same way.

Now that both input submodels have been defined, we can merge the output from each model into one long vector which can be interpreted before making a prediction for the output sequence.

We can then tie the inputs and outputs together.

The image below provides a schematic for how this model looks, including the shape of the inputs and outputs of each layer.

Plot of Multi-Headed 1D CNN for Multivariate Time Series Forecasting

This model requires input to be provided as a list of two elements where each element in the list contains data for one of the submodels.

In order to achieve this, we can split the 3D input data into two separate arrays of input data; that is from one array with the shape [7, 3, 2] to two 3D arrays with [7, 3, 1]

These data can then be provided in order to fit the model.

Similarly, we must prepare the data for a single sample as two separate two-dimensional arrays when making a single one-step prediction.

We can tie all of this together; the complete example is listed below.

Note: Your results may vary given the stochastic nature of the algorithm or evaluation procedure, or differences in numerical precision. Consider running the example a few times and compare the average outcome.

Running the example prepares the data, fits the model, and makes a prediction.

Multiple Parallel Series

An alternate time series problem is the case where there are multiple parallel time series and a value must be predicted for each.

For example, given the data from the previous section:

We may want to predict the value for each of the three time series for the next time step.

This might be referred to as multivariate forecasting.

Again, the data must be split into input/output samples in order to train a model.

The first sample of this dataset would be:

Input:

Output:

The split_sequences() function below will split multiple parallel time series with rows for time steps and one series per column into the required input/output shape.

We can demonstrate this on the contrived problem; the complete example is listed below.

Running the example first prints the shape of the prepared X and y components.

The shape of X is three-dimensional, including the number of samples (6), the number of time steps chosen per sample (3), and the number of parallel time series or features (3).

The shape of y is two-dimensional as we might expect for the number of samples (6) and the number of time variables per sample to be predicted (3).

The data is ready to use in a 1D CNN model that expects three-dimensional input and two-dimensional output shapes for the X and y components of each sample.

Then, each of the samples is printed showing the input and output components of each sample.

We are now ready to fit a 1D CNN model on this data.

In this model, the number of time steps and parallel series (features) are specified for the input layer via the input_shape argument.

The number of parallel series is also used in the specification of the number of values to predict by the model in the output layer; again, this is three.

We can predict the next value in each of the three parallel series by providing an input of three time steps for each series.

The shape of the input for making a single prediction must be 1 sample, 3 time steps, and 3 features, or [1, 3, 3].

We would expect the vector output to be:

We can tie all of this together and demonstrate a 1D CNN for multivariate output time series forecasting below.

Note: Your results may vary given the stochastic nature of the algorithm or evaluation procedure, or differences in numerical precision. Consider running the example a few times and compare the average outcome.

Running the example prepares the data, fits the model and makes a prediction.

As with multiple input series, there is another more elaborate way to model the problem.

Each output series can be handled by a separate output CNN model.

We can refer to this as a multi-output CNN model. It may offer more flexibility or better performance depending on the specifics of the problem that is being modeled.

This type of model can be defined in Keras using the Keras functional API.

First, we can define the first input model as a 1D CNN model.

We can then define one output layer for each of the three series that we wish to forecast, where each output submodel will forecast a single time step.

We can then tie the input and output layers together into a single model.

To make the model architecture clear, the schematic below clearly shows the three separate output layers of the model and the input and output shapes of each layer.

Plot of Multi-Output 1D CNN for Multivariate Time Series Forecasting

When training the model, it will require three separate output arrays per sample. We can achieve this by converting the output training data that has the shape [7, 3] to three arrays with the shape [7, 1].

These arrays can be provided to the model during training.