EPOC: Endpoint-Preserving Online Correction With Compressed Residual State for Multi-Horizon Time Series Forecasting

Abstract:Completed multi-horizon forecasts provide residual feedback for a fixed forecaster, but retaining full residual blocks increases auxiliary state. We propose Endpoint-Preserving Online Correction (EPOC) with a compressed residual state. It stores low-order discrete cosine transform (DCT) coefficients and the final value of the preceding residual block. Within each channel, the endpoint is shared across component-wise online ridge regressions that also use current-forecast coefficients. The fitted DCT correction is blended with the base forecast. We evaluate eight multivariate series with DLinear and PatchTST, three seeds, and two training variants, yielding 96 matched fixed-base conditions at a 24-step horizon. EPOC achieves mean condition-wise reductions in mean squared error (MSE) and mean absolute error (MAE) of 15.40% and 9.35% from the uncorrected base, respectively, with a median of 6,352 B in retained auxiliary arrays. It has lower paired MSE than the $\delta$-Adapter, COSA, FAC, and OMPB in a majority of conditions and uses less state than each. Full ELF achieves the largest mean MSE reduction, 19.29%, but its median retained state is 474,048 B ($\times$75 relative to EPOC). Equal-size summary controls favor the endpoint by 1.65--2.20% in paired MSE; a coefficient-reconstructed endpoint yields similar accuracy to the observed endpoint, highlighting its role as a shared input. Increasing the retained DCT component count from 4 to 8 adds 1.00 percentage point of MSE reduction for 5,728 B. On jointly trained bases, EPOC lowers MSE by 16.69--20.15% relative to globally blended TEFL-style adapters applied to the same base. The code and numerical records are available at this https URL.

Machine Learning (cs.LG)

arXiv:2609.30929 [cs.LG]

(or arXiv:2609.30929v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2609.30929 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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