Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
184 tokens/sec
GPT-4o
7 tokens/sec
Gemini 2.5 Pro Pro
45 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Probabilistic Forecast Reconciliation with Kullback-Leibler Divergence Regularization (2311.12279v1)

Published 21 Nov 2023 in cs.AI and cs.LG

Abstract: As the popularity of hierarchical point forecast reconciliation methods increases, there is a growing interest in probabilistic forecast reconciliation. Many studies have utilized machine learning or deep learning techniques to implement probabilistic forecasting reconciliation and have made notable progress. However, these methods treat the reconciliation step as a fixed and hard post-processing step, leading to a trade-off between accuracy and coherency. In this paper, we propose a new approach for probabilistic forecast reconciliation. Unlike existing approaches, our proposed approach fuses the prediction step and reconciliation step into a deep learning framework, making the reconciliation step more flexible and soft by introducing the Kullback-Leibler divergence regularization term into the loss function. The approach is evaluated using three hierarchical time series datasets, which shows the advantages of our approach over other probabilistic forecast reconciliation methods.

Summary

We haven't generated a summary for this paper yet.