Dynamic Pooling for the Combination of Forecasts Generated Using Multi Level Learning.

Riedel, S. and Gabrys, B., 2007. Dynamic Pooling for the Combination of Forecasts Generated Using Multi Level Learning. In: Neural Networks, 2007. IJCNN 2007. International Joint Conference on, 12-17 Aug. 2007, Orlando, FL,, pp. 454-459.

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DOI: 10.1109/IJCNN.2007.4370999

Abstract

In this paper we provide experimental results and extensions to our previous theoretical findings concerning the combination of forecasts that have been diversified by three different methods: with parameters learned at different data aggregation levels, by thick modeling and by the use of different forecasting methods. An approach of error variance based pooling as proposed by Aiolfi and Timmermann has been compared with flat combinations as well as an alternative pooling approach in which we consider information about the used diversification. An advantage of our approach is that it leads to the generation of novel multi step multi level forecast generation structures that carry out the combination in different steps of pooling corresponding to the different types of diversification. We describe different evolutionary approaches in order to evolve the order of pooling of the diversification dimensions. Extensions of such evolutions allow the generation of more flexible multi level multi step combination structures containing better adaptive capabilities. We could prove a significant error reduction comparing results of our generated combination structures with results generated with the algorithm of Aiolfi and Timmermann as well as with flat combination for the application of Revenue Management seasonal forecasting.

Item Type:Conference or Workshop Item (Paper)
ISSN:1098-7576
Subjects:Technology > Business, Management and Marketing
Generalities > Computer Science and Informatics > Artificial Intelligence
Generalities > Computer Science and Informatics
Group:School of Design, Engineering & Computing > Smart Technology Research Centre
ID Code:8521
Deposited By:INVALID USER
Deposited On:19 Dec 2008 20:41
Last Modified:07 Mar 2013 15:02

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