Transformer Modeling for Both Scalability and Performance in Multivariate Time Series

Variable count is among the main scalability bottlenecks for transformer modeling in multivariate time series (MTS) data. On top of this, a growing consensus in the field points to indiscriminate inter-variable mixing as a potential source of noise-accumulation and performance degradation. This is likely exacerbated by sparsity of informative signals characteristic of many MTS systems coupled with representational misalignment stemming from indiscriminate information mixing between (heterogeneous) variables. While scalability and performance are often seen as competing interests in transformer design, we show that both can be improved simultaneously in MTS by strategically constraining the representational capacity of inter-variable mixing. Our proposed method, transformer with Delegate Token Attention (DELTAformer), constrains inter-variable modeling through what we call delegate tokens which are then used to perform full, unconstrained, inter-temporal modeling. Delegate tokens act as an implicit regularizer that forces the model to be highly selective about what inter-variable information is allowed to propagate through the network. Our results show that DELTAformer scales linearly with variable-count while actually outperforming standard transformers, achieving state-of-the-art performance across benchmarks and baselines. In addition, DELTAformer can focus on relevant signals better than standard transformers in noisy MTS environments and overall exhibit superior noise-resilience. Overall, results across various experiments confirm that by aligning our model design to leverage domain-specific challenges in MTS to our advantage, DELTAformer can simultaneously achieve linear scaling while actually improving its performance against standard, quadratic transformers.