Large Scale Hierarchical Industrial Demand Time-Series Forecasting incorporating Sparsity

• URL: http://arxiv.org/abs/2407.02657v1
• Date: Tue, 2 Jul 2024 20:40:08 GMT
• Title: Large Scale Hierarchical Industrial Demand Time-Series Forecasting incorporating Sparsity
• Abstract summary: We propose HAILS, a novel probabilistic hierarchical model that enables accurate and calibrated probabilistic forecasts across the hierarchy. We deploy HAILS at a large chemical manufacturing company for a product demand forecasting application with over ten thousand products and observe a significant 8.5% improvement in forecast accuracy and 23% better improvement for sparse time-series.
• Score: 16.609280485541323
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Hierarchical time-series forecasting (HTSF) is an important problem for many real-world business applications where the goal is to simultaneously forecast multiple time-series that are related to each other via a hierarchical relation. Recent works, however, do not address two important challenges that are typically observed in many demand forecasting applications at large companies. First, many time-series at lower levels of the hierarchy have high sparsity i.e., they have a significant number of zeros. Most HTSF methods do not address this varying sparsity across the hierarchy. Further, they do not scale well to the large size of the real-world hierarchy typically unseen in benchmarks used in literature. We resolve both these challenges by proposing HAILS, a novel probabilistic hierarchical model that enables accurate and calibrated probabilistic forecasts across the hierarchy by adaptively modeling sparse and dense time-series with different distributional assumptions and reconciling them to adhere to hierarchical constraints. We show the scalability and effectiveness of our methods by evaluating them against real-world demand forecasting datasets. We deploy HAILS at a large chemical manufacturing company for a product demand forecasting application with over ten thousand products and observe a significant 8.5\% improvement in forecast accuracy and 23% better improvement for sparse time-series. The enhanced accuracy and scalability make HAILS a valuable tool for improved business planning and customer experience.

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