FreqLite: A Lightweight Frequency-Decomposed Linear Model with Adaptive Reversible Normalization for Robust Long-Term Time-Series Forecasting
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Abstract (arXiv)
Long-term time-series forecasting needs models that are accurate yet efficient enough for commodity hardware. Lightweight linear forecasters are remarkably strong in this regime, yet they leave two openings: reversible instance normalization (RevIN) de-normalizes the entire horizon with a single lookback statistic, which is inaccurate under non-stationarity, and time-domain trend/seasonal decomposition relies on a fixed, non-adaptive filter. We present FreqLite, an ultra-lightweight, channel-independent frequency-decomposed linear forecaster: a learnable, lossless, partition-of-unity spectral filter splits the input into bands that are forecast by per-band linear heads and, unlike low-pass-truncation approaches, the high-frequency band is retained and modeled. FreqLite is the best lightweight model on the standard long-term forecasting benchmarks and, at long lookback (L=336), attains a lower average error than a PatchTST Transformer (0.3244 vs. 0.3587 MSE) while using 4x fewer parameters, 2.2x less memory, and 2.2x less time per epoch on a single 4 GB laptop GPU; although modest in magnitude, its improvements are statistically significant under paired Wilcoxon tests across all matched cells (p < 1e-5). We further introduce Adaptive Reversible Instance Normalization (A-RevIN), a regime-adaptive reversible normalization that strictly generalizes RevIN (recovered exactly when its gate is closed), engages under non-stationarity, and reduces to RevIN without harm on stationary data. We validate this on both a real strongly non-stationary dataset (ILI, up to ~5% MSE reduction) and a controlled synthetic drift sweep in which A-RevIN's benefit and its learned gate both rise monotonically with injected non-stationarity. Every component is independently ablatable (Linear and RLinear are special cases of FreqLite), and all results are reproducible on commodity hardware.
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References · 13
- 2017Attention Is All You Needcited by 59,932
- 2022A Time Series is Worth 64 Words: Long-term Forecasting with Transformerscited by 1,981
- 2021Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecastingcited by 1,654
- 2019Energy and Policy Considerations for Deep Learning in NLPcited by 1,242
- 2022FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecastingcited by 1,200
- 2022TimesNet: Temporal 2D-Variation Modeling for General Time Series Analysiscited by 1,030
- 2023iTransformer: Inverted Transformers Are Effective for Time Series Forecastingcited by 906
- 2022Non-stationary Transformers: Exploring the Stationarity in Time Series Forecastingcited by 385
- 2024TimeMixer: Decomposable Multiscale Mixing for Time Series Forecastingcited by 333
- 2023TSMixer: An All-MLP Architecture for Time Series Forecastingcited by 232
- 2023FITS: Modeling Time Series with 10k Parameterscited by 185
- 2023Frequency-domain MLPs are More Effective Learners in Time Series Forecastingcited by 170
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