arXiv:2412.03068v2 Announce Type: replace
Abstract: Conventional deep models have achieved unprecedented success in time series forecasting. However, facing the challenge of cross-domain generalization, existing studies utilize statistical prior as prompt engineering fails under the huge distribution shift among various domains. In this paper, a novel time series generalization diffusion model (TimeControl) that pioneers the Domain-Fusion paradigm, systematically integrating information from multiple time series domains into a unified generative process via diffusion models. Unlike the autoregressive models that capture the conditional probabilities of the prediction horizon to the historical sequence, we use the diffusion denoising process to model the mixed distribution of the cross-domain data and generate the prediction sequence for the target domain directly utilizing conditional sampling. The proposed TimeControl contains three pivotal designs: (1) The condition network captures the multi-scale fluctuation patterns from the observation sequence, which are utilized as context representations to guide the denoising network to generate the prediction sequence; (2) Adapter-based fine-tuning strategy, the multi-domain universal representation learned in the pretraining stage is utilized for downstream tasks in target domains; (3) A novel hybrid architecture is designed to align the observation and prediction spaces, enabling TimeControl to generate prediction sequences of arbitrary lengths with flexibility. We conduct extensive experiments on mainstream 49 benchmarks and 30 baselines, and the TimeControl outperforms existing baselines on all data domains, exhibiting superior zero-shot generalization ability.