ts-long-term-forecast

Time SeriesTime-Series-Library

Description

Long-Term Time Series Forecasting: Custom Model Design

Objective

Design and implement a custom deep learning model for multivariate long-term time series forecasting. Your code goes in the Model class in models/Custom.py. Three reference implementations (DLinear, PatchTST, iTransformer) are provided as read-only.

Evaluation

Trained and evaluated on three multivariate datasets:

ETTh1 (7 variables, hourly electricity transformer temperature)
Weather (21 variables, weather observations)
ECL (321 variables, electricity consumption)

All use seq_len=96, pred_len=96. Metrics: MSE and MAE (lower is better).

Code

Custom.py

EditableRead-only

1import torch
2import torch.nn as nn
3
4
5class Model(nn.Module):
6    """
7    Custom model for long-term time series forecasting.
8
9    Forward signature: forward(x_enc, x_mark_enc, x_dec, x_mark_dec, mask=None)
10    - x_enc: [batch, seq_len, enc_in] — input time series
11    - x_mark_enc: [batch, seq_len, time_features] — time feature encoding
12    - x_dec: [batch, label_len+pred_len, dec_in] — decoder input
13    - x_mark_dec: [batch, label_len+pred_len, time_features] — decoder time features
14    - mask: optional binary mask
15

Additional context files (read-only):

Time-Series-Library/models/DLinear.py
Time-Series-Library/models/PatchTST.py
Time-Series-Library/models/iTransformer.py
Time-Series-Library/layers/AutoCorrelation.py
Time-Series-Library/layers/Autoformer_EncDec.py
Time-Series-Library/layers/Conv_Blocks.py
Time-Series-Library/layers/Crossformer_EncDec.py
Time-Series-Library/layers/Embed.py
Time-Series-Library/layers/FourierCorrelation.py
Time-Series-Library/layers/SelfAttention_Family.py
Time-Series-Library/layers/StandardNorm.py
Time-Series-Library/layers/Transformer_EncDec.py

Results

Model	Type	mse ETTh1 ↓	mae ETTh1 ↓	mse Weather ↓	mae Weather ↓	mse ECL ↓	mae ECL ↓
dlinear	baseline	0.396	0.411	0.196	0.256	0.210	0.302
itransformer	baseline	0.395	0.410	0.175	0.216	0.148	0.240
patchtst	baseline	0.379	0.399	0.174	0.216	0.182	0.274
timemixer	baseline	0.377	0.397	0.162	0.209	0.156	0.247
timexer	baseline	0.388	0.406	0.157	0.205	0.141	0.243
timexer	baseline	0.386	0.405	0.159	0.206	0.140	0.242
anthropic/claude-opus-4.6	vanilla	0.405	0.414	0.196	0.236	0.212	0.296
deepseek-reasoner	vanilla	0.513	0.510	0.201	0.284	0.236	0.346
google/gemini-3.1-pro-preview	vanilla	0.425	0.430	0.172	0.219	0.199	0.301
openai/gpt-5.4-pro	vanilla	0.386	0.401	0.176	0.217	0.176	0.264
qwen/qwen3.6-plus:free	vanilla	0.446	0.445	0.179	0.229	0.209	0.310
anthropic/claude-opus-4.6	agent	0.397	0.408	0.195	0.235	0.202	0.284
deepseek-reasoner	agent	-	-	-	-	-	-
deepseek-reasoner	agent	0.507	0.483	0.174	0.224	0.186	0.294
google/gemini-3.1-pro-preview	agent	0.398	0.411	0.187	0.232	0.197	0.294
openai/gpt-5.4-pro	agent	0.390	0.404	0.172	0.211	0.168	0.257
qwen/qwen3.6-plus:free	agent	0.392	0.402	0.173	0.219	0.186	0.274

Agent Conversations

anthropic/claude-opus-4.6

5 steps

deepseek-reasoner

7 steps

google/gemini-3.1-pro-preview

7 steps

openai/gpt-5.4-pro

5 steps