Learning Informative Representation for Fairness-Aware Multivariate Time-Series Forecasting: A Group-Based Perspective

Multivariate time series (MTS) forecasting penetrates various aspects of our economy and society, whose roles become increasingly recognized. However, often MTS forecasting is unfair, not only degrading their practical benefits but even incurring potential risk. Unfair MTS forecasting may be attributed to disparities relating to advantaged and disadvantaged variables, which has rarely been studied in the MTS forecasting. In this work, we formulate the MTS fairness modeling problem as learning informative representations attending to both advantaged and disadvantaged variables. Accordingly, we propose a novel framework, named FairFor, for fairness-aware MTS forecasting, i.e., fair MTS forecasting. FairFor uses adversarial learning to generate both group-irrelevant and -relevant representations for downstream forecasting. FairFor first adopts recurrent graph convolution to capture spatio-temporal variable correlations and to group variables by leveraging a spectral relaxation of the K-means objective. Then, it utilizes a novel filtering & fusion module to filter group-relevant information and generate group-irrelevant representations by orthogonality regularization. The group-irrelevant and -relevant representations form highly informative representations, facilitating to share the knowledge from advantaged variables to disadvantaged variables and guarantee the fairness of forecasting. Extensive experiments on four public datasets demonstrate the FairFor effectiveness for fair forecasting and significant performance improvement.