English

DBLoss: Decomposition-based Loss Function for Time Series Forecasting

Machine Learning 2025-10-29 v1

Abstract

Time series forecasting holds significant value in various domains such as economics, traffic, energy, and AIOps, as accurate predictions facilitate informed decision-making. However, the existing Mean Squared Error (MSE) loss function sometimes fails to accurately capture the seasonality or trend within the forecasting horizon, even when decomposition modules are used in the forward propagation to model the trend and seasonality separately. To address these challenges, we propose a simple yet effective Decomposition-Based Loss function called DBLoss. This method uses exponential moving averages to decompose the time series into seasonal and trend components within the forecasting horizon, and then calculates the loss for each of these components separately, followed by weighting them. As a general loss function, DBLoss can be combined with any deep learning forecasting model. Extensive experiments demonstrate that DBLoss significantly improves the performance of state-of-the-art models across diverse real-world datasets and provides a new perspective on the design of time series loss functions.

Keywords

Cite

@article{arxiv.2510.23672,
  title  = {DBLoss: Decomposition-based Loss Function for Time Series Forecasting},
  author = {Xiangfei Qiu and Xingjian Wu and Hanyin Cheng and Xvyuan Liu and Chenjuan Guo and Jilin Hu and Bin Yang},
  journal= {arXiv preprint arXiv:2510.23672},
  year   = {2025}
}

Comments

Accepted by NeurIPS 2025

R2 v1 2026-07-01T07:08:14.597Z