The cost of ensembling: is it always worth combining?

Marco Zanotti

No 554, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: Given the continuous increase in dataset sizes and the complexity of forecasting models, the tradeoff between forecast accuracy and computational cost is emerging as an extremely relevant topic, especially in the context of ensemble learning for time series forecasting. To asses it, we evaluated ten base models and eight ensemble configurations across two large-scale retail datasets (M5 and VN1), considering both point and probabilistic accuracy under varying retraining frequencies. We showed that ensembles consistently improve forecasting performance, particularly in probabilistic settings. However, these gains come at a substantial computational cost, especially for larger, accuracy-driven ensembles. We found that reducing retraining frequency significantly lowers costs, with minimal impact on accuracy, particularly for point forecasts. Moreover, efficiency-driven ensembles offer a strong balance, achieving competitive accuracy with considerably lower costs compared to accuracy-optimized combinations. Most importantly, small ensembles of two or three models are often sufficient to achieve near-optimal results. These findings provide practical guidelines for deploying scalable and cost-efficient forecasting systems, supporting the broader goals of sustainable AI in forecasting. Overall, this work shows that careful ensemble design and retraining strategy selection can yield accurate, robust, and cost-effective forecasts suitable for real-world applications.

Keywords: Time series; Demand forecasting; Forecasting competitions; Cross-learning; Global models; Forecast combinations; Ensemble learning; Machine learning; Deep learning; Conformal predictions; Green AI. (search for similar items in EconPapers)
JEL-codes: C52 C53 C55 (search for similar items in EconPapers)
Pages: 43
Date: 2025-06
New Economics Papers: this item is included in nep-cmp and nep-ets
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