Parameter-efficient deep probabilistic forecasting

Olivier Sprangers, Sebastian Schelter and Maarten de Rijke

International Journal of Forecasting, 2023, vol. 39, issue 1, 332-345

Abstract: Probabilistic time series forecasting is crucial in many application domains, such as retail, ecommerce, finance, and biology. With the increasing availability of large volumes of data, a number of neural architectures have been proposed for this problem. In particular, Transformer-based methods achieve state-of-the-art performance on real-world benchmarks. However, these methods require a large number of parameters to be learned, which imposes high memory requirements on the computational resources for training such models. To address this problem, we introduce a novel bidirectional temporal convolutional network that requires an order of magnitude fewer parameters than a common Transformer-based approach. Our model combines two temporal convolutional networks: the first network encodes future covariates of the time series, whereas the second network encodes past observations and covariates. We jointly estimate the parameters of an output distribution via these two networks. Experiments on four real-world datasets show that our method performs on par with four state-of-the-art probabilistic forecasting methods, including a Transformer-based approach and WaveNet, on two point metrics (sMAPE and NRMSE) as well as on a set of range metrics (quantile loss percentiles) in the majority of cases. We also demonstrate that our method requires significantly fewer parameters than Transformer-based methods, which means that the model can be trained faster with significantly lower memory requirements, which as a consequence reduces the infrastructure cost for deploying these models.

Keywords: Probabilistic forecasting; Temporal convolutional network; Efficiency in forecasting methods; Large-scale forecasting Forecasting with neural networks (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:1:p:332-345

DOI: 10.1016/j.ijforecast.2021.11.011

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