Temporal Fusion Transformer (TFT)

TFT is a model that is thoughtfully designed from the ground up to make the most efficient use of all the different kinds of information in a global modeling context – static and dynamic variables. TFT also has interpretability at the heart of all design decisions. The result is a high-performing, interpretable, and global DL model.

Reference check

The research paper by Lim et al. on TFT is cited in the References section as 10.

At first glance, the model architecture looks complicated and daunting. But once you peel the onion, it is quite simple and ingenious. We will take this one level of abstraction at a time to ease you into the full model. Along the way, there will be many black boxes I’m going to ask you to take for granted, but don’t worry – we will open every one of them as we dive deeper.

The Architecture of TFT

Let’s establish some notations and a setting before we start. We have a dataset...