Geometric algebra based recurrent neural network for multi-dimensional time-series prediction

Recent RNN models deal with various dimensions of MTS as independent channels, which may lead to the loss of dependencies between different dimensions or the loss of associated information between each dimension and the global. To process MTS in a holistic way without losing the inter-relationship among dimensions, this paper proposes a novel Long-and Short-term Time-series network based on geometric algebra (GA), dubbed GA-LSTNet. Specifically, taking advantage of GA, multi-dimensional data at each time point of MTS is represented as GA multi-vectors to capture the inherent structures and preserve the correlation of those dimensions. In particular, traditional real-valued RNN, real-valued LSTM, and the back-propagation through time are extended to the GA domain. We evaluate the performance of the proposed GA-LSTNet model in prediction tasks on four well-known MTS datasets, and compared the prediction performance with other six methods. The experimental results indicate that our GA-LSTNet model outperforms traditional real-valued LSTNet with higher prediction accuracy, providing a more accurate solution for the existing shortcomings of MTS prediction models.