Improving demand forecasting accuracy using nonlinear programming software

J D Bermúdez, J V Segura and E Vercher ()
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J D Bermúdez: Universitat de València
J V Segura: Universidad Miguel Hernández de Elche
E Vercher: Universitat de València

Journal of the Operational Research Society, 2006, vol. 57, issue 1, 94-100

Abstract: Abstract We address the problem of forecasting real time series with a proportion of zero values and a great variability among the nonzero values. In order to calculate forecasts for a time series, the model coefficients must be estimated. The appropriate choice of values for the smoothing parameters in exponential smoothing methods relies on the minimization of the fitting errors of historical data. We adapt the generalized Holt–Winters formulation so that it can consider the starting values of the local components of level, trend and seasonality as decision variables of the nonlinear programming problem associated with this forecasting procedure. A spreadsheet model is used to solve the problems of optimization efficiently. We show that our approach produces accurate forecasts with little data per product.

Keywords: forecasting; time series; Holt–Winters exponential smoothing; spreadsheet (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (7)

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DOI: 10.1057/palgrave.jors.2601941

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