In this paper, we introduce Masked Multi-Step Multivariate Forecasting (MMMF), a novel and general self-supervised learning framework for time series forecasting with known future information. In many real-world forecasting scenarios, some future information is known, e.g., the weather information when making a short-to-mid-term electricity demand forecast, or the oil price forecasts when making an airplane departure forecast. Existing machine learning forecasting frameworks can be categorized into (1) sample-based approaches where each forecast is made independently, and (2) time series regression approaches where the future information is not fully incorporated. To overcome the limitations of existing approaches, we propose MMMF, a framework to train any neural network model capable of generating a sequence of outputs, that combines both the temporal information from the past and the known information about the future to make better predictions. Experiments are performed on two real-world datasets for (1) mid-term electricity demand forecasting, and (2) two-month ahead flight departures forecasting. They show that the proposed MMMF framework outperforms not only sample-based methods but also existing time series forecasting models with the exact same base models. Furthermore, once a neural network model is trained with MMMF, its inference speed is similar to that of the same model trained with traditional regression formulations, thus making MMMF a better alternative to existing regression-trained time series forecasting models if there is some available future information.

本文介绍了一种名为MMM的新型神经网络的自主学习框架，能够结合过去的时间信息和未来的已知信息进行时间序列预测，实验表明这种方法不仅胜过传统的基于样本或回归的方法，而且训练出的神经网络的推理速度与传统回归训练的时间序列预测模型相当，因此是一种比现有回归训练的时间序列预测模型更好的选择。

带未来信息的掩码多步多元时间序列预测