Fast sharpness-aware training for periodic time series classification and forecasting

Various deep learning architectures have been developed to capture long-term dependencies in time series data, but challenges such as overfitting and computational time still exist. The recently proposed optimization strategy called Sharpness-Aware Minimization (SAM) optimization prevents overfitting by minimizing a perturbed loss within the nearby parameter space. However, SAM requires doubled training time to calculate two gradients per iteration, hindering its practical application in time series modeling such as real-time assessment. In this study, we demonstrate that sharpness-aware training improves generalization performance by capturing trend and seasonal components of time series data. To avoid the computational burden of SAM, we leverage the periodic characteristics of time series data and propose a new fast sharpness-aware training method called Periodic Sharpness-Aware Time series Training (PSATT) that reuses gradient information from past iterations. Empirically, the proposed method achieves both generalization and time efficiency in time series classification and forecasting without requiring additional computations compared to vanilla optimizers.