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MetaCaster: Meta-Harness-Optimized Agent for End-to-End Few-Shot Learning of Lightweight Time Series Forecasters

ChengAo Shen Wenchao Yu Fangyu Wu Dongjin Song Hanghang Tong Dongsheng Luo Wei Cheng Haifeng Chen Jingchao Ni
Sep 2026
Artificial Intelligence Machine Learning

Abstract

Time series forecasting (TSF) is evolving toward multimodal and agentic settings, yet using foundation models remains uneconomical in resource-constrained scenarios, where compact, specialized forecasters are more desirable. However, lightweight forecasters typically require substantial training data, limiting their use in domains with scarce, slowly accumulated, or privacy-sensitive time series. To address this dilemma, we investigate the challenging problem of few-shot learning for lightweight forecasters. We propose MetaCaster, a meta-harness-optimized multi-agent framework that uses agentic data generation to automatically train specialized lightweight forecasters from only a few examples and textual contexts. Our work highlights a new TSF paradigm in which agents act not as forecasters but as intermediary engineers that prepare efficient, task-specific forecasters for deployment. Experiments on 18 datasets, 23 state-of-the-art lightweight forecasters, and 14 baselines demonstrate that MetaCaster achieves both data efficiency and computational efficiency while maintaining high-quality TSF performance.

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