Recent studies have shown that deep learning models such as RNNs and
Transformers have brought significant performance gains for long-term
forecasting of time series because they effectively utilize historical
information. We found, however, that there is still great room for improvement
in how to preserve historical information in neural networks while avoiding
overfitting to noise presented in the history. Addressing this allows better
utilization of the capabilities of deep learning models. To this end, we design
a \textbf{F}requency \textbf{i}mproved \textbf{L}egendre \textbf{M}emory model,
or {\bf FiLM}: it applies Legendre Polynomials projections to approximate
historical information, uses Fourier projection to remove noise, and adds a
low-rank approximation to speed up computation. Our empirical studies show that
the proposed FiLM significantly improves the accuracy of state-of-the-art
models in multivariate and univariate long-term forecasting by
(\textbf{20.3\%}, \textbf{22.6\%}), respectively. We also demonstrate that the
representation module developed in this work can be used as a general plug-in
to improve the long-term prediction performance of other deep learning modules.
Code is available at https://github.com/tianzhou2011/FiLM/Comment: Accepted by The Thirty-Sixth Annual Conference on Neural Information
Processing Systems (NeurIPS 2022