Methods, systems, and apparatus, including computer programs encoded on computer storage media, for performing long-term forecasting using multi-layer perceptron neural networks. One of the methods includes obtaining time series data; and processing the time series data to generate a respective predicted time series value for each of a plurality of future time points in a horizon sequence, comprising: processing the time series data using an encoder multi-layer perceptron (MLP) neural network to generate an encoded representation of the time series data; and processing at least the encoded representation of the time series data using a decoder MLP neural network to generate a respective predicted time series value for each of the plurality of future time points.