Transformers have achieved remarkable performance in multivariate time series(MTS) forecasting due to their capability to capture long-term dependencies. However, the canonical attention mechanism has two key limitations: (1) its quadratic time complexity limits the sequence length, and (2) it generates future values from the entire historical sequence. To address this, we propose a Dozer Attention mechanism consisting of three sparse components: (1) Local, each query exclusively attends to keys within a localized window of neighboring time steps. (2) Stride, enables each query to attend to keys at predefined intervals. (3) Vary, allows queries to selectively attend to keys from a subset of the historical sequence. Notably, the size of this subset dynamically expands as forecasting horizons extend. Those three components are designed to capture essential attributes of MTS data, including locality, seasonality, and global temporal dependencies. Additionally, we present the Dozerformer Framework, incorporating the Dozer Attention mechanism for the MTS forecasting task. We evaluated the proposed Dozerformer framework with recent state-of-the-art methods on nine benchmark datasets and confirmed its superior performance. The code will be released after the manuscript is accepted.

基于Dozer Attention机制的Dozerformer框架在多元时间序列（MTS）预测任务中取得了出色的性能，该机制通过解决注意力机制中的两个关键限制，即二次时间复杂度和基于整个历史序列生成未来值的问题，来捕捉MTS数据的局部性、季节性和全局时间依赖性。

Dozerformer: 序列自适应稀疏Transformer用于多变量时间序列预测