Probabilistic Forecasting with Coherent Aggregation

• Main Authors: Olivares, Kin G, Négiar, Geoffrey, Ma, Ruijun, Meetei, O. Nangba, Cao, Mengfei, Mahoney, Michael W
• Format: Journal Article
• Language: English
• Published: 19.07.2023
• Subjects: Computer Science - Artificial Intelligence; Computer Science - Learning
• DOI: 10.48550/arxiv.2307.09797

Obtaining accurate probabilistic forecasts is an important operational challenge in many applications, perhaps most obviously in energy management, climate forecasting, supply chain planning, and resource allocation. In many of these applications, there is a natural hierarchical structure over the forecasted quantities; and forecasting systems that adhere to this hierarchical structure are said to be coherent. Furthermore, operational planning benefits from accuracy at all levels of the aggregation hierarchy. Building accurate and coherent forecasting systems, however, is challenging: classic multivariate time series tools and neural network methods are still being adapted for this purpose. In this paper, we augment an MQForecaster neural network architecture with a novel deep Gaussian factor forecasting model that achieves coherence by construction, yielding a method we call the Deep Coherent Factor Model Neural Network (DeepCoFactor) model. DeepCoFactor generates samples that can be differentiated with respect to model parameters, allowing optimization on various sample-based learning objectives that align with the forecasting system's goals, including quantile loss and the scaled Continuous Ranked Probability Score (CRPS). In a comparison to state-of-the-art coherent forecasting methods, DeepCoFactor achieves significant improvements in scaled CRPS forecast accuracy, with gains between 4.16 and 54.40%, as measured on three publicly available hierarchical forecasting datasets.