Entropy Guided Dynamic Patch Segmentation for Time Series Transformers

Patch-based transformers have emerged as efficient and improved long-horizon modeling architectures for time series modeling. Yet, existing approaches rely on temporally-agnostic patch construction, where arbitrary starting positions and fixed lengths fracture temporal coherence by splitting natural transitions across boundaries. This naive segmentation often disrupts short-term dependencies and weakens representation learning. We propose a novel Entropy-Guided Dynamic Patch Encoder (EntroPE), as a temporally informed framework that dynamically detects transition points via conditional entropy and dynamically places patch boundaries. This preserves temporal structure while retaining the computational benefits of patching. EntroPE consists of two key modules, namely an Entropy-based Dynamic Patcher (EDP) that applies information-theoretic criteria to locate natural temporal shifts and determine patch boundaries, and an Adaptive Patch Encoder (APE) that employs pooling and cross-attention to capture intra-patch dependencies and produce fixed-size latent representations. Extensive experiments on long-term forecasting, classification, and anomaly detection demonstrate that the proposed method improves both accuracy and efficiency, establishing entropy-guided dynamic patching as a promising new paradigm for time series modeling. Code is available at https://github.com/Sachithx/EntroPE.