ContrAttNet: Contribution and attention approach to multivariate time-series data imputation.

Abstract

The imputation of missing values in multivariate time-series data is a basic and popular data processing technology. Recently, some studies have exploited Recurrent Neural Networks (RNNs) and Generative Adversarial Networks (GANs) to impute/fill the missing values in multivariate time-series data. However, when faced with datasets with high missing rates, the imputation error of these methods increases dramatically. To this end, we propose a neural network model based on dynamic contribution and attention, denoted as ContrAttNet. ContrAttNet consists of three novel modules: feature attention module, iLSTM (imputation Long Short-Term Memory) module, and 1D-CNN (1-Dimensional Convolutional Neural Network) module. ContrAttNet exploits temporal information and spatial feature information to predict missing values, where iLSTM attenuates the memory of LSTM according to the characteristics of the missing values, to learn the contributions of different features. Moreover, the feature attention module introduces an attention mechanism based on contributions, to calculate supervised weights. Furthermore, under the influence of these supervised weights, 1D-CNN processes the time-series data by treating them as spatial features. Experimental results show that ContrAttNet outperforms other state-of-the-art models in the missing value imputation of multivariate time-series data, with average 6% MAPE and 9% MAE on the benchmark datasets.