cs.LGOct 28, 2025

Quadratic Direct Forecast for Training Multi-Step Time-Series Forecast Models

Authors: Hao Wang, Licheng Pan, Yuan Lu, Zhichao Chen, Tianqiao Liu, Shuting He, Zhixuan Chu, Qingsong Wen, +2 more

Organizations: Xiaohongshu Inc. · State Key Lab of General AI, School of Intelligence Science and Technology, Peking University · College of Engineering, Purdue University · School of Computing and Artificial Intelligence, Shanghai University of Finance and Economics · College of Computer Science and Technology, Zhejiang University · Squirrel AI · Center for Data Science, Peking University · Institute for Artificial Intelligence, Peking University · Pazhou Laboratory (Huangpu), Guangzhou, Guangdong, China

Abstract

The design of learning objectives is central to training time-series forecasting models. Existing learning objectives such as mean squared error mostly treat each future step as an independent, equally weighted task, which leads to the following two challenges: (1) they overlook the label autocorrelation effect among future steps, leading to biased learning objectives; (2) they fail to set heterogeneous task weights for different forecasting tasks corresponding to varying future steps, limiting the forecasting performance. To fill this gap, we propose a novel quadratic-form weighted learning objective, addressing both issues simultaneously. Specifically, the off-diagonal elements of the weighting matrix account for the label autocorrelation effect, whereas the non-uniform diagonals are expected to match the preferred weights of the forecasting tasks with varying future steps. On this basis, we propose a Quadratic Direct Forecast (QDF) learning algorithm, which trains the forecast model using the adaptively updated quadratic-form weighting matrix. Experiments show that our QDF effectively improves the performance of various forecast models, achieving state-of-the-art results. Code is available at https://github.com/Master-PLC/QDF.

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